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US Monetary Policy, Oil and Gold Prices: Which has a greater impact on BRICS Stock Markets?

Ansari Md Gyasuddin () and Rudra Sensarma
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Ansari Md Gyasuddin: Indian Institute of Management Kozhikode

No 343, Working papers from Indian Institute of Management Kozhikode

Abstract: This paper examines the effect of US monetary policy, oil price and gold price on stock indices of BRICS countries. Vector Auto Regression model is applied to study the stock indices of all BRICS countries as a group overthe period 1996-2018. We find that the Bombay Sensex responds positively to the Federal Funds Rate. The stock index of South Africa—FTSE JSE of Johannesburg—responds negatively to shocks in oil price while stock indices of Russia and Brazil—RTSI of Moscow and BVSP of Sao Paulo respectively—respond positively to gold price changes. We provide managerial and policy implications of these results.

Keywords: Monetary Policy; Stock Indices; Gold Price; Brent Crude; Federal Fund Rate (search for similar items in EconPapers)
Pages: 38 pages
Date: 2019-08
New Economics Papers: this item is included in nep-cis and nep-ene
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Citations: View citations in EconPapers (7)

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