Impact of Monetary Policy on the Volatility of Stock Market in Pakistan

Abdul Qayyum and Saba Anwar ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper addresses the linkages between the monetary policy and the stock market in Pakistan. The estimation technique employed includes Engle Granger two step procedure and the bivariate EGARCH method. The results indicate that any change in the monetary policy stance have a significant impact on the volatility of the stock market. Thus contributing to the ongoing debate in the monetary policy rule literature regarding the proactive and reactive approach.

Keywords: Interest Rate; Stock Market; Monetary Policy; EGARCH; Pakistan (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-mac and nep-mon
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Citations: View citations in EconPapers (9)

Published in International Journal of Business and Social Science 11.2(2011): pp. 18-24

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Related works:
Journal Article: Impact of monetary policy on the volatility of stock market in pakistan (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:31188

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