The Predictive Power of Monetary Policy on International Stock Market Returns-Evidence From TV-ARMAX Model

Xiao Li, Wenjun Xue and Kaimeng Zhang ()
Additional contact information
Kaimeng Zhang: Department of Finance, University at Albany, SUNY, Albany, NY, USA

Asian Economics Letters, 2024, vol. 5, issue 2, 1-8

Abstract: In this paper, we apply the time-varying ARMA model with exogenous variable (TV-ARMAX) to examine the predictive power of monetary policy on international stock returns. This method allows time-varying coefficient estimates and uses time-dependent cumulated variation penalty to filter noisy outlier data points. Based on a wide range of 31 countries, our method robustly outperforms other popular methods including the simple linear-regression model (SLM), the vector autoregression and its variants (VAR, TV-VAR, and VARX) and the ARMA model with exogenous variable (ARMAX).

Keywords: Monetary policy; International market returns; TV-ARMAX model (search for similar items in EconPapers)
JEL-codes: C53 E52 G15 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://a-e-l.scholasticahq.com/api/v1/articles/91 ... m-tv-armax-model.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ayb:jrnael:94

Access Statistics for this article

Asian Economics Letters is currently edited by Chun-Ping Chang (Shih Chien University, Taiwan) and Professor Chien-Chiang Lee (Nanchang University, China)

More articles in Asian Economics Letters from Asia-Pacific Applied Economics Association Contact information at EDIRC.
Bibliographic data for series maintained by Asia-Pacific Applied Economics Association ().