货币政策的影响股票价格外文翻译.docVIP

原文 The Impact of Monetary Policy on Stock Prices Material Source:chool of Management, University of Bath, Bath, UK； Department of Economics,University of Glasgow,Glasgow,UK Autor:Christos Ioannidis and Alexandros Kontonikas b* Previous empirical evidence broadly supports the notion that restrictive . monetary policy decreases (increases) contemporaneous stock returns, as well as expected stock returns. These studies typically relate stock returns to measures of monetary policy stringency in the context of single equation specifications and/or multivariate Vector Autoregressions.In this paper we take a closer look at the impact of monetary policy on stock returns by utilising thirty years of data across thirteen OECD countries. Given the considerable debate on the relative merits of money aggregates during the late 1970s and early 1980s, we adopt the nowadays standard approach of measuring monetary policy using interest rate variables. We expand previous work by examining the sensitivity of our findings to the inclusion of dividend payments in the stock returns calculation, while considering both nominal and real returns. Our results indicate that for the majority of the countries under investigation the monetary environment is an important determinant of investors’ required returns. We also examine the contemporaneous effect of monetary policy on stock returns taking into account the non-normality typically inherent in such data as well as the significant co-movement of international stock markets. The main result, that expansionary monetary policy boosts the stock market, remains largely robust in most sample countries. The implications of such findings for monetary policy making and investor portfolio formation are highly important.Central bankers and stock market participants should be aware of the relationship between monetary policy and stock market performance in order to better understand the effects of policy shifts. Monetary authorities in partic