The impact of monetary policy on stock prices

Ioannidis, C. and Kontonikas, A. (2008) The impact of monetary policy on stock prices. Journal of Policy Modeling, 30(1), pp. 33-53. (doi: 10.1016/j.jpolmod.2007.06.015)

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Abstract

This paper investigates the impact of monetary policy on stock returns in 13 OECD countries over the period 1972–2002. Our results indicate that monetary policy shifts significantly affect stock returns, thereby supporting the notion of monetary policy transmission via the stock market. Our contribution with respect to previous work is threefold. First, we show that our findings are robust to various alternative measures of stock returns. Second, our inferences are adjusted for the non-normality exhibited by the stock returns data. Finally, we take into account the increasing co-movement among international stock markets. The sensitivity analysis indicates that the results remain largely unchanged.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Kontonikas, Professor Alexandros
Authors: Ioannidis, C., and Kontonikas, A.
Subjects:H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Journal of Policy Modeling
ISSN:0161-8938
ISSN (Online):1873-8060
Published Online:27 July 2007

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