Acuña, Andres A. and Pinto, Cristian F. (2012): Respuesta del retorno accionario a la politica monetaria: Evidencia para el mercado chileno.
Download (309kB) | Preview
This paper analyzes the response of the stock market returns to monetary policy decisions by the Central Bank of Chile. It adopts the event-study methodology in order to gauge the influence of anticipated and unanticipated changes in the Chilean monetary policy interest rate (TPM), decided in every meeting of Monetary Policy Comitee, on the return of stocks traded at Santiago Stock Exchange in the monthly period 2001-2012. Unlike most the literature on this subject, mainly associated with US Federal Reserve monetary policy, no evidence is found on the impact of monetary surprises on stock returns, when surprise is measured using the Economic Expectations Survey.
|Item Type:||MPRA Paper|
|Original Title:||Respuesta del retorno accionario a la politica monetaria: Evidencia para el mercado chileno|
|English Title:||Stock return response to monetary policy: Evidence from the Chilean market|
|Keywords:||event study; inflation targeting; monetary policy; stock returns|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
|Depositing User:||Andrés A. Acuña|
|Date Deposited:||07. Sep 2012 09:39|
|Last Modified:||21. Jul 2015 17:27|
Basistha, A. and Kurov, A. (2008). Macroeconomic cycles and the stock market's reaction to monetary policy. Journal of Banking and Finance, 32, 2606–2616.
Bernanke, B. S. and Blinder, A. S. (1992). The Federal funds rate and the channels of monetary transmission. American Economic Review, 82(4), 901–921.
Bernanke, B. S. and Kuttner, K. N. (2005). What explains the stock market's reaction to Federal Reserve policy? Journal of Finance, 60(3), 1221–1257.
Boschen, J. F. and Mills, L. O. (1995). The relation between narrative and money market indicators of monetary policy. Economic Inquiry, 33(1), 24–44.
Cook, T. and Hahn, T. (1989). The effect of changes in the Federal funds rate target on market interest rates in the 1970s. Journal of Monetary Economics, 24, 331–351.
Ehrmann, M. and Fratzscher, M. (2004). Taking stock: Monetary policy transmission to equity markets. Journal of Money, Credit and Banking, 36(4), 719–737.
Friedman, M. and Schwartz, A. (1963). A monetary history of the United States, 1867-1960. New Jersey, USA: Princeton University Press.
Guo, H. (2004). Stock prices, firm size, and changes in the federal funds rate target. The Quarterly Review of Economics and Finance, 44, 487–507.
Gurkaynak, R. S., Sack, B., and Swanson, E. T. (2005). Do actions speak louder than words? The response of asset prices to monetary policy actions and statements. International Journal of Central Banking, 1(1), 55–93.
Hamilton, J. D. (1994). Time series analysis. New Jersey, USA: Princeton University Press.
Jansen, D. W. and Tsai, C. (2010). Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets. Journal of Empirical Finance, 17(5), 981–990.
Larrain, M. (2007). Sorpresas de politica monetaria y la curva de rendimiento en Chile. Economia Chilena, 10(1), 37–50.
Muñoz, J., Recabal, C., and Acuña, A. (2007). La politica monetaria y su impacto sobre los retornos reales del mercado bursatil chileno. Horizontes Empresariales, 6(2), 9–29.
Rozeff, M. S. (1974). Money and stock prices: Market efficiency and the lag in effect of monetary policy. Journal of Financial Economics, 1(3), 245–302.
Thorbecke, W. (1997). On stock market returns and monetary policy. Journal of Finance, 52(2), 635–654.
Tobin, J. (1969). A general equilibrium approach to monetary theory. Journal of Money, Credit and Banking, 1(1), 15–29.
Tsay, R. S. (2005). Analysis of financial time series. New Jersey, USA: John Wiley & Sons, Inc.