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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Finance and Economics Discussion Series: The Effect of Monetary Policy on Monthly and Quarterly Stock Market Returns

Finance and Economics Discussion Series: The Effect of Monetary Policy on Monthly and Quarterly Stock Market Returns

Durham, J. Benson
United States Federal Reserve Board

Paperback

General Political Science

Publisher Price: $15.75

ISBN10: 1288716222
ISBN13: 9781288716227
Publisher: Bibliogov
Published: Feb 6 2013
Pages: 46
Weight: 0.22
Height: 0.10 Width: 7.44 Depth: 9.69
Language: English
Several studies report an empirical link between changes in monetary policy and short- as well as long-run stock market performance in the United States. Such findings are germane both to the study of market anomalies and to monetary policy transmission mechanisms. Previous univariate time-series results on long-run data, which use the discount rate as the main policy indicator, seem robust to alternative specifications of stock price returns given data on 16 countries from 1956 through 2000. However, out-of-sample tests indicate that the relation has largely decreased over time. Also, panel regressions, which notably include cross-sectional variance and therefore are particularly relevant to market participants, suggest that the relation is less sturdy, and consideration of excess as opposed to raw equity price returns in time-series regressions indicates no relation. Finally, alternative measures of central bank policy suggest a weaker and a diminished correlation between monetary policy changes and long-run stock market performance.

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