The Impact of Monetary Policy on Financial Markets in Small Open Economies : More or Less Effective During the Global Financial Crisis?

Pennings, Steven ; Ramayandi, Arief ; Tang, Hsiao Chink

Elsevier

关键词: monetary policy;    exchange rates;    stock prices;    economic crisis;    Asian economies;   

DOI  :  10.1016/j.jmacro.2015.01.001
RP-ID  :  104038

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

This paper estimates the impact of monetary policy on exchange rates and stock prices of eight small open economies: Australia, Canada, the Republic of Korea, New Zealand, the United Kingdom, Indonesia, Malaysia, and Thailand. On average across these countries in the full sample, a one percentage point surprise rise in official interest rates leads to a 1% appreciation of the exchange rate and a 0.5–1% fall in stock prices, with somewhat stronger effects in OECD countries than non-OECD countries (though differences are sometimes not significant). We find little robust evidence of a change in the effect of monetary policy surprises during the recent financial crisis.