Polityka monetarna Europejskiego Banku Centralnego a ceny aktywów

• Autorzy: Andreas Lipa

Warianty tytułu

European Central Bank Monetary Policy and Asset Prices

• Języki publikacji: PL

Abstrakty

Niniejsze opracowanie miało na celu sprawdzenie związków przyczynowo-skutkowych między polityką pieniężną Europejskiego Banku Centralnego a europejskim rynkiem akcji. Osiągnięte wyniki pokazują, że polityka pieniężna EBC ma wpływ na ceny akcji. Jednak wpływu tego nie da się wyjaśnić za pomocą teorii portfelowej. Wygląda na to, że z punktu widzenia teorii portfelowej Markowitza uczestnicy europejskiego rynku kapitałowego w latach 1999-2008 zachowywali się nieefektywnie. Nie stwierdzono zależności polityki monetarnej od rozwoju cen akcji dla całego okresu badawczego, co umacnia wiarygodność EBC i daje nadzieję, że obniżki stóp procentowych w ostatnim czasie miały tylko charakter incydentalny.(abstrakt oryginalny)

EN

The present study analyses the casual consecutive relations between the monetary policy of European Central Bank and European stock market in 1999-2008. The achieved results show that the European Central Bank Policy has an impact on prices of shares. The impact, however, cannot be explained by means of the Markowitz portfolio theory. The dependence of monetary policy of share prices development was not found.(original abstract)

Słowa kluczowe

PL

Polityka pieniężna Europejskiego Banku Centralnego; Aktywa; Wspólna Polityka Monetarna; Rynek kapitałowy

EN

Monetary Policy of the ECB; Assets; Common Monetary Policy; Capital market

• Czasopismo: Studia i Prace Kolegium Zarządzania i Finansów / Szkoła Główna Handlowa
• Rocznik: 2009
• Numer: z. 95
• Strony: 122--138

Twórcy

autor

Andreas Lipa

• Szkoła Główna Handlowa w Warszawie

Bibliografia

• Alchian A., Klein B., On a correct measure of inflation, "Journal of Money, Credit and Banking", 1973, No. 5.
• Ando A., Modigliani F., Tests of the Life Cycle Hypothesis of Saving: Comments and Suggestions, Oxford Institute of Statistics Bulletin, Vol. xix, May 1957
• Ang A., Bekaert G., Wei M., Do macro variables, asset markets or surveys forecast inflation better?, "Journal of Monetary Economics", Vol. 54, Issue 4, May 2007.
• Balduzzi P., Elton E. J., Green T. C., Economic News and Bond Prices: Evidence From the U.S. Treasury Market, "Journal of Financial and Quantitative Analysis", 36, 2001.
• Barsky R. B., Why Don't the Prices of Stocks and Bonds Move Together?, "The American Economic Review", 79, 1989
• Bernanke B., Gertler M., Agency costs, net worth and business fluctuations, "The American Economic Review", Vol. 79, No. 1, 1989.
• Bernanke B. S., Kuttner K. N., What Explains the Stock Market's Reaction to Federal Reserve Policy?, "The Journal of Finance", No. 3, 2005.
• Bollerslev T., Cai J., Song F. M., Intraday Periodicity, Long Memory Volatility and Macroeconomic Announcement Effects in the U.S. Treasury Bond Market, "Journal of Empirical Finance", 7, 2000
• Campbell J. Y., Ammer J., What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns, "Journal of Finance", No. 48, 1993.
• David A., Veronesi P., Inflation and Earnings Uncertainty and Volatility Forecasts, Working Paper, University of Chicago, 2006.
• Dornbusch R., Fischer S., Makroökonomik, Oldenburg 1989.
• Ehrmann M., Rigobon R., Fratzscher M., Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission, "ECB Working Paper", No. 452, 2005.
• Ehrmann M., Fratzscher M., Taking stock: Monetary policy transmission to equity markets, "Journal of Money, Credit and Banking", 36 (4), 2004.
• Fisher I., The Purchasing Power of Money, The Macmillan Company, New York 1911
• Flannery M.J., Protopapadakis A., Macroeconomic Factors do Influence Aggregate Stock Returns, "Review of Financial Studies", 15, 2002.
• Friedman B.M., Roley V.V., Investors' Portfolio Behavior Under Alternative Models of Long-Term Interest Rate Expectations: Unitary, Rational, Or Autoregressive, NBER Working Paper Series, Vol. w0178, 1980
• Friedman M., A Theory of the Consumption Function, National Bureau of Economic Research, Princeton 1957.
• Genberg H., Lipsky J., Cecchetti S., Wadhwani S., Asset Prices and Central Bank Policy, Centre for Economic Policy Research, London 2000.
• Goodhart C., Hofmann B., Do asset prices help predict consumer price inflation, "Manchester School Journal", 68, 2000.
• Gurkaynak R., Sack B., Swanson E., Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements, International "Journal of Central Banking", Vol. 1, 2005.
• Hayashi F., Tobin's Marginal q and Average q: A Neoclassical Interpretation, "Econometrica, Econometric Society", Vol. 50(1), January 1982.
• Hildreth C., Lu J., Demand Relations with Autocorrelated Disturbances, w: Research Bulletin 276, Michigan State University Agricultural Experiment Station 1960.
• Lattemann Ch., Zum Zusammenhang zwischen der Kursentwicklung der Aktien am Kapitalmarkt und der Geldpolitik der Deutschen Bundesbank - Transmi-ssionstheoretische und empirische Analyse der Wechselbeziehungen zwischen der Geldmarktpolitik und den Kapitalmärkten, Dissertation, Bremen 1997.
• Markowitz H., Portfolio Selection, "Journal of Finance", Vol. VII , No. 1, 1952.
• Poterba J., Stock market wealth and consumption, "Journal of Economic Perspectives", Vol. 14, No. 2, 2000.
• Rigobon R., Sack B., Measuring the Reaction of Monetary Policy to the Stock Market, "Quarterly Journal of Economics", 118, 2003 (a).
• Rigobon R., Sack B., Spillovers Across U.S. Financial Markets, NBER Working Paper No. 9640, Cambridge 2003 (b).
• Shiller R.J., Beltratti A.E., Stock Prices and Bond Yields, "Journal of Monetary Economics", 30, 1992.
• Stock J., Watson M., Forecasting inflation, "Journal of Monetary Economics", 44, 1999.
• Tobin J., A General Equilibrium Approach to Monetary Theory, "Journal of Monay, Credit, and Banking", February 1969, 1.
• Board of Governors of the Federal Reserve System, http://www.federalreserve.gov/newsevents/press/monetary/20081216b.htm, 29 stycznia 2009 r.
• Europejski Bank Centralny, http://www.ecb.int/press/pressconf/2009/html/is090115.en.html, 29 stycznia 2009 r. (a).
• Europejski Bank Centralny, http://www.ecb.int/stats/monetary/rates/html/index.en.html, 29 stycznia 2009 r. (b).