Empirical evaluation of monetary policy transmission to stock markets and further transfer of macroeconomic shocks to the real sector

dc.contributor.authorSova, Yevgenii
dc.contributor.authorLukianenko, Iryna
dc.date.accessioned2022-06-16T04:59:47Z
dc.date.available2022-06-16T04:59:47Z
dc.date.issued2022
dc.description.abstractThe study focuses on revealing key monetary policy instruments that can influence stock market development and elaborating whether shocks from financial markets and other macroeconomic conditions are further transferred to the real sector, as expected under the monetary transmission mechanism. This paper is an extension of our previous theoretical and empirical research expanding to ten developed and eight developing economies for the period of 1999-2020 using panel data and vector autoregressive models, impulse response functions, and scenario analysis. Firstly, it was examined that actions of monetary policymakers were efficient for stimulating the development of stock markets mostly for developed countries, whereas stock indices in most developing countries seemed not to be sensitive to changes in monetary conditions. Using scenario analysis and impulse response functions, it was discovered that in developing countries, including Poland and Ukraine, an expansionary policy focused on increasing money supply would mitigate deceleration and facilitate the growth of stock indices in the next four quarters, whereas, in developed countries, including the USA, a decline in interest rates under expansionary regime would stimulate the development of stock markets. Finally, the evolution of financial markets together with macroeconomic, social, and political conditions was concluded to be a statistically important factor of economic growth, as initially expected.en_US
dc.identifier.citationSova Y. Empirical evaluation of monetary policy transmission to stock markets and further transfer of macroeconomic shocks to the real sector / Yevgenii Sova, Iryna Lukianenko // Journal of International Studies. - 2022. - Vol. 15, Issue 1. - Р. 117-132. - https://doi.org/10.14254/2071-8330.2022/15-1/8en_US
dc.identifier.issn2071-8330
dc.identifier.urihttps://doi.org/10.14254/2071-8330.2022/15-1/8
dc.identifier.urihttps://ekmair.ukma.edu.ua/handle/123456789/23102
dc.language.isoenuk_UA
dc.relation.sourceJournal of International Studiesen_US
dc.statusfirst publisheduk_UA
dc.subjectmonetary policyen_US
dc.subjectstock marketen_US
dc.subjectdeveloped and developing countriesen_US
dc.subjectvector autoregressive modelsen_US
dc.subjectpanel data modelsen_US
dc.subjectscenario analysisen_US
dc.subjectimpulse response functionsen_US
dc.subjectarticleen_US
dc.titleEmpirical evaluation of monetary policy transmission to stock markets and further transfer of macroeconomic shocks to the real sectoren_US
dc.typeArticleuk_UA
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