Stock market reactions to monetary policy surprises under uncertainty

Jonathan Benchimol, Yossi Saadon and Nimrod Segev

EconStor Open Access Articles and Book Chapters, 2023, vol. 89, No 102783, 12 pages

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; Shock identification; Event study; Stock markets; Central bank communication; Volatility (search for similar items in EconPapers)
JEL-codes: D53 E44 E52 E58 G12 G14 (search for similar items in EconPapers)
Date: 2023
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/323617/1/s ... ises-uncertainty.pdf (application/pdf)

Related works:
Journal Article: Stock market reactions to monetary policy surprises under uncertainty (2023)
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:zbw:espost:323617

Access Statistics for this article

More articles in EconStor Open Access Articles and Book Chapters from ZBW - Leibniz Information Centre for Economics Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().