دانلود رایگان مقاله تاثیر سیاست پولی بر عملکرد بازار سهام

Abstract

This work takes a comprehensive look at the monetary policy and stock market dynamics from the African perspective, using five indicators namely; S&P global equity indices, inflation rate, money and quasi growth (M2), real interest rate and GDP growth in a panel VAR model. The panel VAR approach addresses the endogeneity problem by allowing the endogenous interaction between the variables in the system of equations. The study models the dynamic relationship in the system of panel VAR equations with data from 1979:2013, performing cross-sectional dependence, unit-root and cointegration tests, and thus estimated the contemporaneous regression model. The study established that, the stock markets of the 12 African countries are positively affected contemporaneously by their respective monetary policies through the interest rate channel, but could not find evidence to the reverse reaction. The study then estimated impulse response functions and thus established that both money supply and real interest rate decline in response to positive and negative stock market shocks respectively, whiles inflation responds positively to a negative stock market shock. Using the forecast error variance decompositions (fevds), we establish that between the two monetary policy stances considered (money supply and real interest rate), real interest rate has the greatest influence on the stock market and inflation. Conversely, the stock market turns to exert greater influence on real interest rate than it does on money supply, therefore indicating a reverse relationship between monetary policy and the stock market. Similar reverse relationships among the other variables have been observed. This in the estimation of the researchers is enough evidence to conclude that there is a bidirectional relationship between monetary policy and stock market performance. In conclusion, our results confirm the economic theories and empirics that there are complicated and significant relationships between monetary policy and stock market performance and that the relationship is bidirectional.

4 RESULTS AND DISCUSSION

4.1 Cross-sectional Dependence

Test The cross-sectional dependence test of Pesaran (2004), is performed under the hypothesis:

H0: Cross-sectional independence

Pesaran's test of cross sectional independence statistic = 17.650 and Pr = 0.0000

Average absolute value of the off-diagonal elements = 0.372.

The CD test statistic of 17.650 and a p value of 0.000 strongly rejects the null hypothesis of no cross-sectional dependence. Further, the average absolute correlation of 0.372, is evidence of cross-sectional dependence across the panels.

Therefore, all the series are cross-sectional correlated, which may imply the existence of similar regulations in various fields such as macroeconomic policies, monetary policy frame works, and stock market operations (Boubtane et al. 2012). The results here imply that the results of the study will hold for all the countries in the sample studied.