Qayyum, Abdul and Anwar, Saba (2011): Impact of Monetary Policy on the Volatility of Stock Market in Pakistan. Published in: International Journal of Business and Social Science , Vol. 2, No. 11 (22. May 2011): pp. 18-24.
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This paper addresses the linkages between the monetary policy and the stock market in Pakistan. The estimation technique employed includes Engle Granger two step procedure and the bivariate EGARCH method. The results indicate that any change in the monetary policy stance have a significant impact on the volatility of the stock market. Thus contributing to the ongoing debate in the monetary policy rule literature regarding the proactive and reactive approach.
|Item Type:||MPRA Paper|
|Original Title:||Impact of Monetary Policy on the Volatility of Stock Market in Pakistan|
|Keywords:||Interest Rate, Stock Market, Monetary Policy, EGARCH, Pakistan|
|Subjects:||E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
|Depositing User:||Abdul Qayyum|
|Date Deposited:||03. Jun 2011 10:37|
|Last Modified:||12. Feb 2013 08:14|
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