臺灣博碩士論文加值系統

This study aims to examine the relationship between monetary policy and stock returns in both developed and emerging stock markets with three widely used monetary policy indicators, overnight rate, money supply and discount rate. Unlike most of previous studies, we focus on the lead-lag and long-run relationship between stock returns and monetary policy by Granger causality and Johansen cointegration tests. We also examine the influence of U.S. monetary policy on international stock markets. Empirical results suggest that monetary policy, indicated by overnight rate and money supply particularly, seems to work better in emerging markets. Contrary to past literatures, U.S. monetary policy has little impact on foreign stock markets, especially those developed markets. Our findings indicate that only U.S. money supply can explain international stock returns while the federal funds rate and discount rate have almost no predictive power on international returns.

This article examines the dynamic linkages between U.S. and international monetary indicators and a conventional hypothesis that a floating exchange rate regime can insulate domestic monetary environments from changes in foreign monetary conditions, indicated by U.S. monetary indicators. Seven developed countries with more flexible regimes and six emerging countries that adopt more rigid regimes are included in our sample. Dividing sample period into subperiods, we provide some evidence supporting this conventional hypothesis. First, although U.S. monetary indicators influence monetary conditions in developed countries before 1990s, this situation disappears in recent fifteen years. Second, we find that a shift from rigid regimes to flexible ones indeed renders monetary conditions in emerging countries less affected by U.S. monetary policy. This phenomenon is more apparent after Asia financial crisis when most of these emerging countries give up pegged exchange rate system. Overall, our results exhibit a trend that U.S. monetary condition gradually loses impact on those in foreign countries.

Essay I. 1
A cointegration and causality analysis of relationship between monetary policy and stock returns 1
Abstract 1
1. Introduction 2
2. Literature review 4
3. Data and variables 8
4. Methodology 10
4.1. Unit root test 10
4.2. Cointegration tests 11
4.3. Granger Causality test 13
5. Empirical results 14
5.1. Unit root test 14
5.2. Johansen’s cointegration tests 15
5.3. Causality between monetary policy and stock market returns 17
5.4. The impact of U.S. monetary policy on international stock returns 19
6. Discussion 20
6.1. Local monetary policy and stock market returns 21
6.2. U.S. monetary policy and international stock returns 22
7. Conclusion 22
References 25
Essay II. 48
The Impact of US monetary policy: international evidences 48
Abstract 48
1. Introduction 49
2. Literature review 51
3. Data, variables and exchange rate regime 55
3.1. Data and variables 55
3.2. Classification of exchange rate regime 57
4. Methodology 58
4.1. Unit root tests 58
4.2. Granger Causality tests 59
5. Empirical results 60
5.1. Unit root tests 60
5.2. Impact of U.S. monetary policy on international monetary indicators 60
6. Conclusion 67
References 70

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