Search results

1 – 10 of over 38000
Article
Publication date: 12 October 2015

J. Christopher Hughen and Scott Beyer

In the increasingly globalized economy, foreign exchange fluctuations have multiple, conflicting effects on domestic stock prices. The purpose of this paper is to examine return…

2318

Abstract

Purpose

In the increasingly globalized economy, foreign exchange fluctuations have multiple, conflicting effects on domestic stock prices. The purpose of this paper is to examine return data to determine the relation between the dollar’s value and stock prices as it relates to monetary policy.

Design/methodology/approach

The authors examine US stock returns over a 40-year period, which is classified according to monetary policy and dollar trend. To better understand the impact of foreign exchange fluctuations, the authors estimate a model of stock returns using the three Fama-French factors and a momentum factor. Then the authors explore the underlying economic fundamentals that drive the sharp difference in annual returns between periods when the dollar is in an uptrend trend with loose monetary policy and periods when the dollar is in a downtrend with tight monetary policy.

Findings

Over the last 40 years, US stock returns were 2.5 times higher when the dollar was trending up vs down. The factor model of returns shows that equity returns are positively associated with periods when the dollar appreciated. Returns were particularly high when the dollar was in an uptrend during accommodative monetary policy. During these periods, stocks in the consumer goods and services industries provided relatively high returns. This occurred with strong economic growth due to consumer spending. Stocks exhibited the lowest returns when the dollar was depreciating and the Federal Reserve was tightening.

Originality/value

The key contribution of the research is that currency trends should be analyzed in the light of monetary policy. During periods of accommodative monetary policy and dollar appreciation, the US stock market provided average returns of 18.7 percent compared to −3.29 percent during a period of restrictive monetary policy and dollar depreciation. This result is driven by stronger economic growth, which is composed of consumer spending that more than offsets the dollar’s impact on net exports.

Details

Managerial Finance, vol. 41 no. 10
Type: Research Article
ISSN: 0307-4358

Keywords

Content available
Book part
Publication date: 13 May 2019

Rosaria Rita Canale and Rajmund Mirdala

Abstract

Details

Fiscal and Monetary Policy in the Eurozone: Theoretical Concepts and Empirical Evidence
Type: Book
ISBN: 978-1-78743-793-7

Book part
Publication date: 9 November 2023

Anna Szelągowska and Ilona Skibińska-Fabrowska

The monetary policy implementation and corporate investment are closely intertwined. The aim of modern monetary policy is to mitigate economic fluctuations and stabilise economic…

Abstract

Research Background

The monetary policy implementation and corporate investment are closely intertwined. The aim of modern monetary policy is to mitigate economic fluctuations and stabilise economic growth. One of the ways of influencing the real economy is influencing the level of investment by enterprises.

Purpose of the Chapter

This chapter provides evidence on how monetary policy affected corporate investment in Poland between 1Q 2000 and 3Q 2022. We investigate the impact of Polish monetary policy on investment outlays in contexts of high uncertainty.

Methodology

Using the correlation analysis and the regression model, we show the relation between the monetary policy and the investment outlays of Polish enterprises. We used the least squares method as the most popular in linear model estimation. The evaluation includes model fit, independent variable significance and random component, i.e. constancy of variance, autocorrelation, alignment with normal distribution, along with Fisher–Snedecor test and Breusch–Pagan test.

Findings

We find that Polish enterprises are responsive to changes in monetary policy. Hence, the corporate investment level is correlated with the effects of monetary policy (especially with the decision on the central bank's basic interest rate changes). We found evidence that QE policy has a positive impact on Polish investment outlays. The corporate investment in Poland is positively affected by respective monetary policies through Narodowy Bank Polski (NBP) reference rate, inflation, corporate loans, weighted average interest rate on corporate loans.

Details

Modeling Economic Growth in Contemporary Poland
Type: Book
ISBN: 978-1-83753-655-9

Keywords

Book part
Publication date: 13 May 2019

Rosaria Rita Canale and Rajmund Mirdala

The role of money and monetary policy of the central bank in pursuing macroeconomic stability has significantly changed over the period since the end of World War II…

Abstract

The role of money and monetary policy of the central bank in pursuing macroeconomic stability has significantly changed over the period since the end of World War II. Globalization, liberalization, integration, and transition processes generally shaped the crucial milestones of the macroeconomic development and substantial features of economic policy and its framework in Europe. Policy-driven changes together with variety of exogenous shocks significantly affected the key features of macroeconomic environment on the European continent that fashioned the framework and design of monetary policies.

This chapter examines the key basis of the central bank’s monetary policy on its way to pursue and preserve the internal and external stability of the purchasing power of money. Substantial elements of the monetary policy like objectives and strategies are not only generally introduced but also critically discussed according to their accuracy, suitability, and reliability in the changing macroeconomic conditions. Brief overview of the Eurozone common monetary policy milestones and the past Eastern bloc countries’ experience with a variety of exchange rate regimes provides interesting empirical evidence on origins and implications of vital changes in the monetary policy conduction in Europe and the Eurozone.

Details

Fiscal and Monetary Policy in the Eurozone: Theoretical Concepts and Empirical Evidence
Type: Book
ISBN: 978-1-78743-793-7

Keywords

Abstract

Details

Central Bank Policy: Theory and Practice
Type: Book
ISBN: 978-1-78973-751-6

Abstract

Details

Quantitative and Empirical Analysis of Nonlinear Dynamic Macromodels
Type: Book
ISBN: 978-0-44452-122-4

Abstract

Details

The Impacts of Monetary Policy in the 21st Century: Perspectives from Emerging Economies
Type: Book
ISBN: 978-1-78973-319-8

Book part
Publication date: 1 October 2014

Xuan Vinh Vo and Phuc Canh Nguyen

A thorough understanding of transmission mechanism is a key to a successful conduct of monetary policy. This chapter attempts to improve knowledge in this respect by examining the…

Abstract

A thorough understanding of transmission mechanism is a key to a successful conduct of monetary policy. This chapter attempts to improve knowledge in this respect by examining the impacts of commercial bank risks on the transmission of monetary policy. We investigate the impact of monetary policy on bank risk in Vietnam pre and post 2008 global financial crisis employing a unique and disaggregated bank level data set from 2003 to 2012. The results of panel data estimation indicate that the bank lending channel of monetary is evidenced in Vietnam. In addition, we find that the transmission mechanism is affected by characteristics of commercial banks.

Details

Risk Management Post Financial Crisis: A Period of Monetary Easing
Type: Book
ISBN: 978-1-78441-027-8

Keywords

Abstract

Details

Central Bank Policy: Theory and Practice
Type: Book
ISBN: 978-1-78973-751-6

Book part
Publication date: 1 July 2015

Qiheng Han, Junqing Li and Jianbo Zhang

Based on an uncertainty model with an infinite horizon, this chapter analyzes how financial development and monetary policy in two countries can impact international trade and…

Abstract

Based on an uncertainty model with an infinite horizon, this chapter analyzes how financial development and monetary policy in two countries can impact international trade and capital flows and influence individual behavior and welfare. Our study shows that differences in capital market development are the major contributing factors for trade imbalance and investment among countries. We also find that monetary policies are important factors affecting the trade balance, consumption, and investment. Countries with one-sided, pegging exchange rate policies tend to buy more bonds and enjoy larger trade surpluses. This effect is closely related to the level of capital market development: in these two countries, at higher stages of development, the effects of idiosyncratic monetary policy on imbalance are amplified.

Details

Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons
Type: Book
ISBN: 978-1-78441-779-6

Keywords

1 – 10 of over 38000