The Impact of Monetary Policy Shocks on Stock Prices: Evidence from Canada and the United States
Yun Daisy Li (),
Talan B. Işcan () and
Kuan Xu ()
Working Papers from Dalhousie University, Department of Economics
Using structural VAR models with short-run restrictions appropriate for Canada and the United States, we empirically examine whether openness and macroeconomic interdependence matter for the impact on and transmission to stock prices of monetary policy shocks. We find that, in Canada, the immediate response of stock prices to a domestic contractionary monetary policy shock is small and the dynamic response is brief, whereas in the U.S., the immediate response of stock prices to a similar shock is relatively large and the dynamic response is relatively prolonged. We argue that these results are largely driven by differences in dynamic responses of domestic short-term interest rates to monetary policy shocks, and are ultimately due to structural differences between the two countries that we model in this paper.
Keywords: monetary policy shocks; stock prices; open economy; structural vector autoregressive model (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Published in Journal of International Money and Finance, 2010, pages 876-896
Downloads: (external link)
Journal Article: The impact of monetary policy shocks on stock prices: Evidence from Canada and the United States (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:dal:wpaper:daleconwp2007-07
Access Statistics for this paper
More papers in Working Papers from Dalhousie University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Kuan Xu ().