Effect of money supply on the stock market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F17%3A43912833" target="_blank" >RIV/62156489:43110/17:43912833 - isvavai.cz</a>
Result on the web
<a href="https://doi.org/10.11118/actaun201765020465" target="_blank" >https://doi.org/10.11118/actaun201765020465</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201765020465" target="_blank" >10.11118/actaun201765020465</a>

Result language
angličtina
Original language name
Effect of money supply on the stock market
Original language description
This paper observes effect of money supply on the stock market through the portfolio balance channel as a transmission mechanism of monetary policy. National flow of funds accounts, specifically assets from US households' portfolios, represent a key data source. Johansen's cointegration methodology is employed in the empirical part of the paper to analyze both short term and long term relationships among researched variables. Estimates of vector error correction model help to reliably quantify intensity of the effect. Results show money supply excercises influence on valuation of S&P 500 index with 6 months lag. The impact is also distinguishable in the long run, whereas all observed asset classes can positively influence price of S&P 500. Findings are then contextualized in the concluding part of the paper using a monetary policy framework.
Czech name
—
Czech description
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Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50206 - Finance

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
—
Volume of the periodical
65
Issue of the periodical within the volume
2
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
8
Pages from-to
465-472
UT code for WoS article
—
EID of the result in the Scopus database
2-s2.0-85018454262

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