Monetary policy and stock returns under the MPC and inflation targeting

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• 作者：Georgios Chortareas ; Emmanouil Noikokyris
• 关键词：G14 ; E44 ; E52
• 刊名：International Review of Financial Analysis
• 出版年：January, 2014
• 年：2014
• 卷：31
• 期：Complete
• 页码：109-116
• 全文大小：367 K

文摘

We examine the implications of the Monetary Policy Committee (MPC) framework for the monetary policy-equity returns relationship in the UK. Using a standard event study methodology, we do not find a significant relationship between market-based policy surprises and equity returns. After controlling for joint response bias using Thornton's (in press) framework, we find that unexpected policy rate changes enter the stock prices discovery process. Moreover, we produce evidence that the impact of MPC policy decisions on equities depends on the MPC members' voting record publication, especially when the last reveals unanimity versus dissent voting.