Stock market reactions to monetary policy surprises under uncertainty

Jonathan Benchimol, Yossi Saadon and Nimrod Segev

International Review of Financial Analysis, 2023, vol. 89, issue C

Abstract: This article investigates how uncertainty impacts the effect of monetary policy surprises on stock returns. Using high-frequency US data, we demonstrate that stock markets respond more aggressively to monetary policy surprises during periods of high uncertainty. We also show that uncertainty asymmetrically influences the transmission of positive and negative monetary policy surprises to stock market prices. The amplifying effect of uncertainty is found to be stronger for expansionary shocks than for contractionary shocks. Our robustness analysis confirms that financial uncertainty has a significant role in shaping the influence of monetary policy on the stock market.

Keywords: Monetary policy; Uncertainty; Stock returns; High-frequency data; Event study (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 G12 G14 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1057521923002995
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Stock market reactions to monetary policy surprises under uncertainty (2023)
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:eee:finana:v:89:y:2023:i:c:s1057521923002995

DOI: 10.1016/j.irfa.2023.102783

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().