Monetary policy announcements and stock reactions: An international comparison

North American Journal of Economics and Finance

Volumn 23, Issue 2, 2012, Pages 145-164

  Wang, Shen ^a   Mayes, David G ^a  

^a UNIVERSITY OF AUCKLAND   (New Zealand)

Author keywords

Asymmetry; Financial crisis; Monetary policy; Stock prices; Surprises

Indexed keywords

EID: 84861399091     PISSN: 10629408     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.najef.2012.02.002     Document Type: Article

References (41)

1. Anderson Torben G., Bollerslev Tim, Diebold Francis X., Vega Clara Real-time price discovery in global stock, bond and foreign exchange markets. Journal of International Economics 2007, 73(2):251-277.
2. Basistha Arabinda, Kurov Alexander Macroeconomic cycles and the stock market's reaction to monetary policy. Journal of Banking and Finance 2008, 32(12):2606-2616.
3. Bernanke Ben, Gertler Mark Should central banks respond to movements in asset prices?. American Economic Review 2001, 91(2):253-257.
4. Bernanke Ben S., Kuttner Kenneth N. What explains the stock market's reaction to Federal Reserve policy?. Journal of Finance 2005, 60(3):1221-1257.
5. Bernanke Ben, Laubach Tim, Mishkin Frederic, Posen Adam Inflation targeting: Lessons from the international experience 1999, Princeton University Press, Princeton, NJ.
6. Bredin Don, Hyde Stuart, Nitzsche Dirk, O'Reilly Gerard European monetary policy surprises: The aggregate and sectoral stock market response. International Journal of Finance and Economics 2007, 14(2):156-171.
7. Bredin Don, Hyde Stuart, Nitzsche Dirk, O'Reilly Gerard UK stock returns and the impact of domestic monetary policy shocks. Journal of Business Finance and Accounting 2007, 34(5-6):872-888.
8. Bohl Martin T., Siklos Pierre L., Sondermann David European stock markets and the ECB's monetary policy surprises. International Finance 2008, 11(2):117-130.
9. Boyd John H., Hu Jian, Jagannathan Ravi The stock market's reaction to unemployment news: Why bad news is usually good for stocks. Journal of Finance 2005, 60(2):649-672.
10. Cecchetti Stephen, Genburg Henk, Lipsky John, Wadhwani Sushil Asset prices and monetary policy, Geneva Report on the World Economy, no. 2 2000, CEPR, London.
11. Chernenko Sergey V., Schwarz Krista B., Wright Jonathan H. The information content of forward and futures prices: Market expectations and the price of risk, FRB international finance discussion paper 808 2004, Board of Governors of the Federal Reserve System.
12. D'Agostino Antonello, Sala Luca, Surico Paolo The Fed and the stock market, Computing in economics and finance 2005 conference paper 293 2005, Society for Computational Economics.
13. Farka Mira The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases. Review of Financial Economics 2009, 18(1):47-55.
14. Filardo A.J. Monetary policy and asset prices. Federal Reserve Bank of Kansas City Economic Review 2000, 85(3):11-37.
15. Fraser Bernie Some aspects of monetary policy 1993, Reserve Bank of Australia, Bulletin, April, pp. 1-7.
16. Goodhart Charles, Hofmann Boris Asset prices and the conduct of monetary policy 2000, mimeo, LSE.
17. Gregoriou Andros, Kontonikas Alexandros, MacDonald Ronald, Montagnoli Alberto Monetary policy shocks and stock returns: Evidence from the British market. Financial Markets and Portfolio Management 2009, 23(4):401-410.
18. Guender Alfred, Rimer Oyvinn The implementation of monetary policy in New Zealand: What factors affect the 90-day bill rate?. North American Journal of Economics and Finance 2008, 19(2):215-234.
19. Guthrie Graeme, Wright Julian Open Mouth Operations. Journal of Monetary Economics 2000, 46(2):489-516.
20. Honda Yuzo, Kuroki Yoshihiro Financial and capital markets' responses to changes in the central bank's target interest rate: The case of Japan. The Economic Journal 2006, 116(513):812-842.
21. Iacoviello Marco, Minetti Raoul Financial liberalization and the sensitivity of house prices to monetary policy: Theory and evidence. Manchester School 2003, 71(1):20-34.
22. Iacoviello Marco, Minetti Raoul The credit channel of monetary policy: Evidence from the housing market. Journal of Macroeconomics 2008, 30(1):69-96.
23. Jensen Gerald R., Mercer Jeffrey M., Johnson Robert R. Business conditions, monetary policy and expected security returns. Journal of Financial Economics 1996, 40(2):213-237.
24. Kholodilin Konstantin, Montagnoli Alberto, Napolitano Oreste, Siliverstovs Boriss Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view. Economics Letters 2009, 105(3):211-213.
25. Krippner, Leo (2012). Modifying Gaussian term-structure models when interest rates are near the lower bound, New Zealand Econometric Study Group conference paper, available at . http://www.rbnz.govt.nz/research/workshops/feb2012/4682251.pdf.
26. Kuttner Kenneth N. Monetary policy surprises and interest rates: Evidence from the Fed funds futures market. Journal of Monetary Economics 2001, 47(3):523-544.
27. Mayes David G., Riches Brendon The effectiveness of monetary policy in New Zealand. Reserve Bank of New Zealand Bulletin 1996, 59(1):5-20.
28. Mayes David G., Viren Matti Asymmetry and aggregation in the EU 2011, Palgrave-Macmillan, Basingstoke.
29. Miller Marcus, Weller Paul, Zhang Lei Moral hazard and the US stock market: Analysing the Greenspan Put. Economic Journal 2002, 112(478):C171-C186.
30. Montagnoli, Alberto, & Mayes, David G. Uncertainty and monetary policy, In Siklos, P., & Sturm, J.-E. (Eds.), Central bank communication, decision making and governance. Cambridge, MA: MIT Press; in press.
31. Patelis Alex D. Stock return predictability and the role of monetary policy. Journal of Finance 1997, 52(5):1951-1972.
32. Piazzesi Monika, Swanson Eric T. Futures prices as risk-adjusted forecasts of monetary policy. Journal of Monetary Economics 2008, 55(4):677-691.
33. Rigobon Roberto, Sack Brian Measuring the response of monetary policy to the stock market. The Quarterly Journal of Economics 2003, 118(2):639-669.
34. Rigobon Roberto, Sack Brian The impact of monetary policy on asset prices. Journal of Monetary Economics 2004, 51(8):1553-1575.
35. Rosa Carlo Talking less and moving the market more: Is this the recipe for monetary policy effectiveness? Evidence from the ECB and the Fed', CEP discussion paper no. 855 2008, LSE.
36. Rosa Carlo The validity of the event-study approach: Evidence from the impact of the Fed's monetary policy on US and foreign asset prices. Economica Early View 2011, 78(311):429-439.
37. Rosa Carlo, Verga Giovanni On the consistency and effectiveness of central bank communication: Evidence from the ECB. European Journal of Political Economy 2007, 23(2):146-175.
38. Rosa Carlo, Verga Giovanni The impact of central bank announcements on asset prices in real time'. International Journal of Central Banking 2008, 4(2):175-217.
39. Teräsvirta Timo, Granger Clive Modelling nonlinear economic relationships 1993, Oxford University Press, Oxford.
40. Tong Howell Threshold models in nonlinear time series analysis 1983, Springer Verlag, New York.
41. Wongswan Jon The response of global equity indexes to U.S. monetary policy announcements. Journal of International Money and Finance 2005, 28(2):344-365.