Stock prices, exchange rate and interest rate: evidence beyond symmetry

dc.contributor.author Ajaz, Taufeeq
dc.contributor.author Nain, Md Zulquar
dc.contributor.author Kamaiah, Bandi
dc.contributor.author Sharma, Naresh Kumar
dc.date.accessioned 2022-03-27T02:10:01Z
dc.date.available 2022-03-27T02:10:01Z
dc.date.issued 2017-01-01
dc.description.abstract Purpose: This paper aims to examine the dynamic interactions between monetary and financial variables in the Indian context. Design/methodology/approach: In this paper, the authors have applied a recently developed asymmetric autoregressive distributed lag (ARDL) model by Shin et al. (2014), for detecting nonlinearities focusing on the long-run and short-run asymmetries among economic variables. Findings: The results point toward the presence of asymmetric reaction of stock prices to changes in interest rate and exchange rate in full sample, as well as in pre-crisis. However, no asymmetry was found in the post-crisis period. The results further suggest that tight monetary policies appear to retard the stock prices, more than easy monetary policies that stimulate them. Practical implications: The findings of the study can be helpful in understanding the policy transmission mechanism through asset price channel. Originality/value: To the best of the authors’ knowledge, this is the first study that examines the interactions between monetary and financial variables in the Indian context in an asymmetric framework. The findings of this study are quite interesting and are different from several existing studies in the literature.
dc.identifier.citation Journal of Financial Economic Policy. v.9(1)
dc.identifier.issn 17576385
dc.identifier.uri 10.1108/JFEP-01-2016-0007
dc.identifier.uri https://www.emerald.com/insight/content/doi/10.1108/JFEP-01-2016-0007/full/html
dc.identifier.uri https://dspace.uohyd.ac.in/handle/1/4819
dc.subject Macroeconomics and monetary economics
dc.subject Monetary policy
dc.subject Time-series models
dc.title Stock prices, exchange rate and interest rate: evidence beyond symmetry
dc.type Journal. Article
dspace.entity.type
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