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11.
A. Gregoriou A. Kontonikas R. MacDonald A. Montagnoli 《Financial Markets and Portfolio Management》2009,23(4):401-410
This paper examines the impact of anticipated and unanticipated interest rate changes on aggregate and sectoral stock returns
in the United Kingdom. The monetary policy shock is generated from the change in the 3-month sterling LIBOR futures contract.
Results from time-series and panel analysis indicate an important structural break in the relationship between stock returns
and monetary policy shifts. Specifically, whereas before the credit crunch, the stock market response to both expected and
unexpected interest rate changes is negative and significant; the relationship becomes positive during the credit crisis.
The latter finding highlights the inability, so far, of monetary policymakers to reverse, via interest rate cuts, the negative
trend observed in stock prices since the onset of the credit crisis. 相似文献
12.
Andros Gregoriou Alexandros Kontonikas 《Journal of International Financial Markets, Institutions & Money》2010,20(2):166-176
We examine the long-run relationship between stock prices and goods prices to gauge whether stock market investment can hedge against inflation. Data from 16 OECD countries over the period 1970–2006 are used. We account for different inflation regimes with the use of sub-sample regressions, while maintaining the power of tests in small sample sizes by combining time-series data across our sample countries in a panel unit root and panel cointegration econometric framework. The evidence supports a positive long-run relationship between goods prices and stock prices with the estimated goods price coefficient being in line with the generalized Fisher hypothesis. 相似文献
13.
In this paper, we examine the time series properties of inflation in seven countries that have adopted inflation targeting. Unlike previous studies, we utilize a non‐linear mean reverting adjustment mechanism for inflation and we discover that, although deviations of inflation from the target can exhibit a region of non‐stationary behaviour, overall they are stationary indicating successful targeting implementation. 相似文献
14.
Filipa Da Silva Fernandes Alexandros Kontonikas Serafeim Tsoukas 《Oxford bulletin of economics and statistics》2019,81(3):617-646
Using a large panel of mainly unquoted euro‐area firms over the period 2003–2011, this paper examines the impact of financial pressure on firms’ employment. The analysis finds evidence that financial pressure negatively affects firms’ employment decisions. This effect is stronger during the euro area‐crisis (2010–2011), especially for firms in the periphery compared to their counterparts in non‐periphery European economies. When we introduce firm‐level heterogeneity, we show that financial pressure appears to be both statistically and quantitatively more important for bank‐dependent, small and privately held firms operating in periphery economies during the crisis. 相似文献
15.
Should monetary policy respond to asset price misalignments? 总被引:1,自引:0,他引:1
This paper analyses the relationship between monetary policy and asset prices using a structural rational expectations open economy model that allows for the effect of asset prices and exchange rates on aggregate demand. We assume that asset prices and exchange rates follow a partial adjustment mechanism whereas they are positively affected by past changes, thus allowing for ‘momentum trading’, while at the same time we allow for reversion towards fundamentals. We then conduct stochastic simulations using two alternative monetary policy rules, inflation-forecast targeting and the standard Taylor rule. The results indicate that, under both rules, interest rate setting that takes into account asset price misalignments leads to lower overall macroeconomic volatility, as measured by the postulated loss function of the central bank. 相似文献