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Respuesta del retorno accionario a la politica monetaria: Evidencia para el mercado chileno
[Stock return response to monetary policy: Evidence from the Chilean market]

Author

Listed:
  • Acuña, Andres A.
  • Pinto, Cristian F.

Abstract

This paper analyzes the response of the stock market returns to monetary policy decisions by the Central Bank of Chile. It adopts the event-study methodology in order to gauge the influence of anticipated and unanticipated changes in the Chilean monetary policy interest rate (TPM), decided in every meeting of Monetary Policy Comitee, on the return of stocks traded at Santiago Stock Exchange in the monthly period 2001-2012. Unlike most the literature on this subject, mainly associated with US Federal Reserve monetary policy, no evidence is found on the impact of monetary surprises on stock returns, when surprise is measured using the Economic Expectations Survey.

Suggested Citation

  • Acuña, Andres A. & Pinto, Cristian F., 2012. "Respuesta del retorno accionario a la politica monetaria: Evidencia para el mercado chileno
    [Stock return response to monetary policy: Evidence from the Chilean market]
    ," MPRA Paper 41091, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:41091
    as

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    File URL: https://mpra.ub.uni-muenchen.de/41091/1/MPRA_paper_41091.pdf
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    References listed on IDEAS

    as
    1. Thorbecke, Willem, 1997. " On Stock Market Returns and Monetary Policy," Journal of Finance, American Finance Association, vol. 52(2), pages 635-654, June.
    2. Guo, Hui, 2004. "Stock prices, firm size, and changes in the federal funds rate target," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 487-507, September.
    3. Basistha, Arabinda & Kurov, Alexander, 2008. "Macroeconomic cycles and the stock market's reaction to monetary policy," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2606-2616, December.
    4. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-921, September.
    5. Refet S Gürkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
    6. Tobin, James, 1969. "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 15-29, February.
    7. Rozeff, Michael S., 1974. "Money and stock prices : Market efficiency and the lag in effect of monetary policy," Journal of Financial Economics, Elsevier, vol. 1(3), pages 245-302, September.
    8. Boschen, John F & Mills, Leonard O, 1995. "The Relation between Narrative and Money Market Indicators of Monetary Policy," Economic Inquiry, Western Economic Association International, vol. 33(1), pages 24-44, January.
    9. Cook, Timothy & Hahn, Thomas, 1989. "The effect of changes in the federal funds rate target on market interest rates in the 1970s," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 331-351, November.
    10. Ehrmann, Michael & Fratzscher, Marcel, 2004. "Taking stock: monetary policy transmission to equity markets," Working Paper Series 354, European Central Bank.
    11. Milton Friedman & Anna J. Schwartz, 1963. "A Monetary History of the United States, 1867–1960," NBER Books, National Bureau of Economic Research, Inc, number frie63-1, January.
    12. Jansen, Dennis W. & Tsai, Chun-Li, 2010. "Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 981-990, December.
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    More about this item

    Keywords

    event study; inflation targeting; monetary policy; stock returns;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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