 The impact of monetary policy on stock market performance: Evidence from twelve (12) African countriesIddrisu Suhaibu (), Simon K. Harvey and Mohammed Amidu Research in International Business and Finance, 2017, vol. 42, issue C, 1372-1382 Abstract: This work takes a comprehensive look at the monetary policy and stock market dynamics from the African perspective, using five indicators namely; S&P global equity indices, inflation rate, money and quasi growth (M2), real interest rate and GDP growth in a panel VAR model. The panel VAR approach addresses the endogeneity problem by allowing the endogenous interaction between the variables in the system of equations. The study models the dynamic relationship in the system of panel VAR equations with data from 1979:2013, performing cross-sectional dependence, unit-root and cointegration tests, and thus estimated the contemporaneous regression model. The study established that, the stock markets of the 12 African countries are positively affected contemporaneously by their respective monetary policies through the interest rate channel, but could not find evidence to the reverse reaction. Keywords: Monetary policy; Stock market; Endogeneity; Panel VAR; Impulse response functions (IRF); Forecast error variance decomposition (FEVD) (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:riibaf:v:42:y:2017:i:c:p:1372-1382 DOI: 10.1016/j.ribaf.2017.07.075 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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