Arbeitspapier
Response of stock markets to monetary policy: An Asian stock market perspective
We estimate the response of Asian stock market prices to exogenous monetary policy shocks using a vector error correction model. In our paper, monetary policy transmits to stock market price through three routes: money by itself, exchange rate, and inflation. Our result points to the fact that stock prices increase persistently in response to an exogenous easing monetary policy. Variance deposition results show that, after 10 periods, the forecast error variance of beyond 53% of the Tehran Stock Exchange Price Index (TEPIX) can be explained by exogenous shocks to the US dollar-Iranian rial exchange rate, while this ratio for exogenous shocks to Iranian real gross domestic product was only 17%. We argue that such evidence can be accounted for by an endogenous response of the stock prices to the monetary policy shocks.
- Sprache
-
Englisch
- Erschienen in
-
Series: ADBI Working Paper ; No. 497
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
asian stock market
monetary policy shocks
vector error correction model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Yoshino, Naoyuki
Taghizadeh-Hesary, Farhad
Hassanzadeh, Ali
Danu Prasetyo, Ahmad
- Ereignis
-
Veröffentlichung
- (wer)
-
Asian Development Bank Institute (ADBI)
- (wo)
-
Tokyo
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Yoshino, Naoyuki
- Taghizadeh-Hesary, Farhad
- Hassanzadeh, Ali
- Danu Prasetyo, Ahmad
- Asian Development Bank Institute (ADBI)
Entstanden
- 2014
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