金融政策が株価に与える影響 : いくつかの論文の考察

概要

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This paper gives a selective review of literature on the relationship between monetary policy and stock returns(or stock prices). This is an area of research that has interested monetary and financial economists for a long time. Monetary economists have been interested in the question whether monetary policy has any effect on stock returns(or stock prices). Understanding the links between monetary policy and asset prices is crucially important for understanding the policy transmission mechanism. To examine the relationship between monetary policy and stock returns(or stock prices), a variety of empirical techniques which contain a VAR model, a narrative approach, an event study, a multifactor model and a heteroscedasticity-based estimator approach have been employed. Many empirical studies show that monetary policy can be helpful in predicting future stock returns(or stock prices). In many cases the evidence indicates that expansionary policy increase stock returns(or stock prices).
同志社大学の論文
2007-12-00