Monetary policy shocks and stock returns: evidence from the British market |
| |
Authors: | A Gregoriou A Kontonikas R MacDonald A Montagnoli |
| |
Institution: | (1) Department of Finance, Dolan School of Business, Fairfield University, North Benson Rd, Fairfield, CT 06824, USA |
| |
Abstract: | 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. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|