 How are green stocks and monetary policy related?Paresh Kumar Narayan, Bhavesh Garg, Iman Gunadi and Arnita Rishanty Pacific-Basin Finance Journal, 2024, vol. 87, issue C Abstract: We propose and test the hypothesis that green stocks and monetary policies are interdependent. Using time-series data for two large economies (India and Indonesia), that have adopted inflation targeting regimes, we develop a structural vector autoregressive model of monetary policy and green stocks that combines with output. We find that green stock prices fall (rise) in response to inflation with a lagged effect and policy rate shocks for India (Indonesia). Currency depreciation, on the other hand, increases green stock prices for India but has a muted effect for Indonesia. We also discover that, for India, monetary policies hardly respond to green stock price shocks while, for Indonesia, green stock prices do influence the evolution of monetary price variables. Our main contribution is that we decipher the effects of green stocks from aggregate market shocks and show each of these market price shocks is related to the monetary aggregates. Keywords: Monetary policy; Green stock prices; Structural VAR (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:87:y:2024:i:c:s0927538x24002683 DOI: 10.1016/j.pacfin.2024.102516 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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