Impact of Monetary Policy on the US Stock Market
| Název práce v češtině: | Vliv měnové politiky na akciový trh USA |
|---|---|
| Název v anglickém jazyce: | Impact of Monetary Policy on the US Stock Market |
| Klíčová slova: | Monetary policy, Interest rate, Stock market, VAR model |
| Klíčová slova anglicky: | Monetary policy, Interest rate, Stock market, VAR model |
| Akademický rok vypsání: | 2019/2020 |
| Typ práce: | diplomová práce |
| Jazyk práce: | angličtina |
| Ústav: | Institut ekonomických studií (23-IES) |
| Vedoucí / školitel: | prof. Ing. Evžen Kočenda, M.A., Ph.D., DSc. |
| Řešitel: | skrytý - zadáno vedoucím/školitelem |
| Datum přihlášení: | 27.06.2020 |
| Datum zadání: | 27.06.2020 |
| Datum a čas obhajoby: | 18.09.2024 09:00 |
| Místo konání obhajoby: | Opletalova, O109, AULA Michala Mejstříka č. 109 |
| Datum odevzdání elektronické podoby: | 27.07.2024 |
| Datum proběhlé obhajoby: | 18.09.2024 |
| Oponenti: | prof. PhDr. Tomáš Havránek, Ph.D. |
| Seznam odborné literatury |
| Alex D. Patelis, (Dec., 1997). Stock Return Predictability and The Role of Monetary Policy. The Journal of Finance, 52(5), 1951-1972.
Ali F. Darrat., (1990, Sep). Stock Returns, Money, and Fiscal Deficits. The Journal of Financial and Quantitative Analysis, 25 (3), 387-398. Animesh B., & Joy D., (2022). Assessing the long-run and short-run effect of monetary variables on stock market in the presence of structural breaks: evidence from liberalized India, IIM Ranchi Journal of Management Studies, Emerald Group Publishing Limited, 2(1), 70-81. Bradford Cornell., (1983, Sep). The Money Supply Announcements Puzzle: Review and Interpretation. The American Economic Review, 73 (4), 644-657. Cassola N., & Morana C. (2004). Monetary policy and the stock market in the euro area. Journal of Policy Modeling, 26, 387–399. Cassola, N., & Morana, C. (2004). Monetary Policy and the Stock Market in the Euro Area. Journal of Policy Modeling, 26, 387-399. Christopher A. Sims. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1- 48. Engle, R., Granger, C., (1987). Cointegration and Error Correction: Representation, Estimation and Testing. Econometrica, 55, 251-276. Homa, K.E. and Jaffee, D.M. (1971). The Supply of Money and Common Stock Prices. The Journal of Finance, 26, 1045-1066. Jensen Gerald R. & Johnson Robert R., 1995. Discount rate changes and security returns in the U.S., 1962-1991. Journal of Banking & Finance, 19(1), 79-95. Jerome Stein, (1969). "Neoclassical" and "Keynes-Wicksell" Monetary Growth Models. Journal of Money, Credit and Banking, 1(2), 153-71. Johansen, S., (1988). Statistical Analysis of Cointegrating Vectors. Journal of Economic Dynamics and Control, 12, 231-254. Granger, C., (1969). Investigating Causal Relations by Econometric Models and Cross-Spectral Methods. Econometrica, 37, 424-438. John Maynard Keynes, 1936. The General Theory of Employment, Interest, and Money. Palgrave Macmillan. Khaled Lafi AL-Naif, (2017). The Relationship Between Interest Rate and Stock Market Index: Empirical Evidence from Arabian Countries. Research Journal of Finance and Accounting, 8(4),181-191. Madurapperuma, W., (2023). The dynamic relationship between economic crisis, macroeconomic variables and stock prices in Sri Lanka. Journal of Money and Business, 3(1), 25-42. Martin F., Florian H., & Michael P., 2021. Measuring the effectiveness of US monetary policy during the COVID-19 recession. [online] Available at: https://doi.org/10.1111/sjpe.12275 [Accessed 08 February 2021] Martin Lettau & Jessica A. Wachter, (2011). The term structures of equity and interest rates. Journal of Financial Economics, 101(1), 90-113. Michael Ehrmann & Marcel Fratzscher, (2004). Taking Stock: Monetary Policy Transmission to Equity Markets. Journal of Money, Credit and Banking, 36 (4), 719- 737. Michael J Hamburger and Levis A Kochin (1972). Money and Stock Prices: The Channels of Influence. Journal of Finance, 27(2), 231-49. Michael W. Keran. (1971). Expectations, money, and the stock market. Review, Federal Reserve Bank of St. Louis, 53(1), 16-31. Mookerjee Rajen & Yu Qiao, (1997). Macroeconomic variables and stock prices in a small open economy: The case of Singapore. Pacific-Basin Finance Journal, Elsevier, 5(3), 377-388. Myron J. Gordon & Eli Shapiro, (Oct., 1956). Capital Equipment Analysis: The Required Rate of Profit. Management Science, 3(1), 102-110. Qiming T., & Chuntao L., (2000). The Impact on Stock Market from Cut Downs of Interest Rate. Statistical Research, 42-46. Rapach, D.E., Wohar, M.E. and Rangvid, J. (2005) Macro Variables and International Stock Return Predictability. International Journal of Forecasting, 21, 137-166. Richard J. Rogalski & Joseph D., (1977). Stock Returns, Money Supply and the Direction of Causality. The Journal of Finance, 32 (4), 1017-1030. Rigobon Roberto & Brian Sack, (Nov., 2004). The Impact Of Monetary Policy On Asset Prices. Journal of Monetary Economics, 51, 1553-1575. Rik Hafer, (Mar., 1986). The response of stock prices to changes in weekly money and the discount rate. Review, Federal Reserve Bank of St. Louis, 5-14. Robert Shiller., (1981). Do Stock Price Move too Much to be Justified by Subsequent Changes in Dividends?. American Economic Review, 421-436. Rozeff Michael S., (1974). Money and stock prices : Market efficiency and the lag in effect of monetary policy, Journal of Financial Economics, 1(3), 245-302. Sims, C.A., (1980). Macroeconomics and reality. Econometrica, 48, 1–48. Sprinkel, B.W. (1964). Money and Stock Prices. RD Irwin, Homewood. Syed M. Ali & M. Aynul Hasan., (1993). Is the Canadian stock market efficient with respect to fiscal policy? Some vector autoregression results. Journal of Economics and Business, 45 (1), 49-59 Willem Thorbecke. (Jun., 1997). On Stock Market Returns and Monetary Policy. The Journal of Finance, 52(2), 635-654. William F. Sharpe, 1970. Portfolio Theory and Capital Markets. McGraw-Hill. William Lastrapes, (1998). International evidence on equity prices, interest rates and money. Journal of International Money and Finance, 17(3), 377-406. Yuancheng H., & Jianwei C., (2003). An Empirical Research on the Transmission Mechanism of Monetary Policy in Chinese Capital Market. Quantitative & Technical Economics, 5. |
| Předběžná náplň práce |
| With the U.S. capital market's rapid development and continuous improvement, the stock market has become an important financing channel. More and more people tend to participate in the stock investments. The proportion of stocks in the structure of residents' assets continues to increase, and the relationship between the stock price and the actual economic activities becomes increasingly closer.
The thesis first summarizes and compares the theories and opinions of relevant studies on the impact of monetary policy on the stock market. Then, the author empirically investigates the impact of monetary policy on the stock market using data from January 2013 to March 2024, divides the test interval into two periods, and adopts the vector autoregressive model to test the impact of money supply and interest rate on the stock market. Finally, the author analyzes and interprets the results of the empirical tests by combining the actual situation of the stock market and monetary policy, and finds out that for the data from March 2023 to March 2024, the interest rate is helpful to explain the changes in stock prices. Nonetheless, only considering the money supply or interest rate cannot explain the changes in stock prices. At the same time, the government is advised to further strengthen its regulatory efforts to enhance markets and financial stability. |
| Předběžná náplň práce v anglickém jazyce |
| With the U.S. capital market's rapid development and continuous improvement, the stock market has become an important financing channel. More and more people tend to participate in the stock investments. The proportion of stocks in the structure of residents' assets continues to increase, and the relationship between the stock price and the actual economic activities becomes increasingly closer.
The thesis first summarizes and compares the theories and opinions of relevant studies on the impact of monetary policy on the stock market. Then, the author empirically investigates the impact of monetary policy on the stock market using data from January 2013 to March 2024, divides the test interval into two periods, and adopts the vector autoregressive model to test the impact of money supply and interest rate on the stock market. Finally, the author analyzes and interprets the results of the empirical tests by combining the actual situation of the stock market and monetary policy, and finds out that for the data from March 2023 to March 2024, the interest rate is helpful to explain the changes in stock prices. Nonetheless, only considering the money supply or interest rate cannot explain the changes in stock prices. At the same time, the government is advised to further strengthen its regulatory efforts to enhance markets and financial stability. |