Stock market response to monetary and fiscal policy shocks: Multi-country evidence

Authors: Chatziantoniou, I., Duffy, D. and Filis, G.

http://eprints.bournemouth.ac.uk/20575/

Journal: Economic Modelling

Volume: 30

Pages: 754-769

ISSN: 0264-9993

DOI: 10.1016/j.econmod.2012.10.005

A Structural VAR model is employed to investigate the effects of monetary and fiscal policy shocks on stock market performance in Germany, UK and the US. A significant number of past studies have concentrated their attention on the relationship between monetary policy and stock market performance, yet only few on the effects of fiscal policy on stock markets. Even more we know little, if any, on the effects of fiscal and monetary policies on stock market performance when the two policies interact. This study aims to fill this void. Our results show that both fiscal and monetary policies influence the stock market, via either direct or indirect channels. More importantly, we find evidence that the interaction between the two policies is very important in explaining stock market developments. Thus, investors and analysts in their effort to understand the relationship between macroeconomic policies and stock market performance should consider fiscal and monetary policies in tandem rather than in isolation.

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This data was imported from Scopus:

Authors: Chatziantoniou, I., Duffy, D. and Filis, G.

http://eprints.bournemouth.ac.uk/20575/

Journal: Economic Modelling

Volume: 30

Issue: 1

Pages: 754-769

ISSN: 0264-9993

DOI: 10.1016/j.econmod.2012.10.005

A Structural VAR model is employed to investigate the effects of monetary and fiscal policy shocks on stock market performance in Germany, UK and the US. A significant number of past studies have concentrated their attention on the relationship between monetary policy and stock market performance, yet only few on the effects of fiscal policy on stock markets. Even more we know little, if any, on the effects of fiscal and monetary policies on stock market performance when the two policies interact. This study aims to fill this void. Our results show that both fiscal and monetary policies influence the stock market, via either direct or indirect channels. More importantly, we find evidence that the interaction between the two policies is very important in explaining stock market developments. Thus, investors and analysts in their effort to understand the relationship between macroeconomic policies and stock market performance should consider fiscal and monetary policies in tandem rather than in isolation. © 2012 Elsevier B.V.

This data was imported from Web of Science (Lite):

Authors: Chatziantoniou, I., Duffy, D. and Filis, G.

http://eprints.bournemouth.ac.uk/20575/

Journal: ECONOMIC MODELLING

Volume: 30

Pages: 754-769

ISSN: 0264-9993

DOI: 10.1016/j.econmod.2012.10.005

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