The impact of monetary policy on value and growth stocks

An international evaluation

Research output: Contribution to journalArticle

Abstract

This paper examines the influence of the monetary policy environment on the mean and conditional variance of value and growth stock returns. Using international data for 17 countries from 1975 to 2000, a threshold autoregressive conditional heteroscedastic model (TARCH), in addition to regression analysis, is used to analyse the influence of the local monetary regime and a global monetary regime (proxied by US monetary policy). Overall, the findings suggest that the stance of monetary policy has an asymmetric effect on value and growth stocks. For example, the returns on value stocks in France, Germany, the Netherlands, Spain, Sweden and the US are likely to be around 2 per cent lower in a restrictive monetary policy regime relative to growth stocks. In comparison, US monetary policy has a symmetric impact on UK value and growth stocks, while monetary policy in the UK has a negligible effect on value and growth stocks in the UK.

Original languageEnglish
Pages (from-to)142-172
Number of pages30
JournalJournal of Asset Management
Volume3
Issue number2
DOIs
Publication statusPublished - 2002

Fingerprint

Value stocks
Growth stocks
Monetary policy
Evaluation
Monetary regimes
Mean-variance
Asymmetric effects
Regression analysis
Conditional variance
Conditional model
The Netherlands
France
Stock returns
Spain
Sweden
Germany
Monetary policy regimes

Keywords

  • value stocks
  • growth stocks
  • value premium
  • TARCH
  • monetary policy

Cite this

The impact of monetary policy on value and growth stocks : An international evaluation. / Black, Angela J.

In: Journal of Asset Management, Vol. 3, No. 2, 2002, p. 142-172.

Research output: Contribution to journalArticle

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