Details

Autor(en) / Beteiligte

• Taamouti, Abderrahim

Titel

Stock market’s reaction to money supply: a nonparametric analysis

Ist Teil von

• Studies in nonlinear dynamics and econometrics, 2015-12, Vol.19 (5), p.669-689

Ort / Verlag

Berlin: De Gruyter

Erscheinungsjahr

2015

Quelle

EBSCOhost Business Source Ultimate

Beschreibungen/Notizen

• We empirically investigate the link between monetary policy measures and stock market prices. We document the following stylized facts about stock market’s reaction to money supply and examine the effect across the entire distribution of stock returns. Using a Granger causality in test, we find that money supply has no impact on stock prices, which confirms many of the existing results that were based on . By contrast, when a causality in (hereafter Granger causality) test and regression based test were used, the effect of money becomes apparent and statistically very significant. Interestingly, money supply affects the left and right tails of stock return distribution but not its center. This might indicate that the monetary policy measure money supply is effective only during recessions and expansions. We have also investigated the extent to which the impact of money supply on stock returns detected by the nonparametric and quantile regression based tests can be attributed to a time-varying conditional variance of stock returns. After controlling for volatility persistence in stock returns, we continue to find evidence for the reaction of conditional distribution of stock market returns to money supply growth rate.