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Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News./
Author:	Pinchuk, Mykola.
Description:	1 online resource (79 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 84-11, Section: A.
Contained By:	Dissertations Abstracts International84-11A.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9798379523466

Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News.
Pinchuk, Mykola.

Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News. - 1 online resource (79 pages)

Source: Dissertations Abstracts International, Volume: 84-11, Section: A.

Thesis (Ph.D.)--University of Rochester, 2023.

Includes bibliographical references

This paper examines the effect of macroeconomic news announcements (MNA) on the stock market. Stocks exhibit a strong positive response to major MNA: 1 standard deviation of MNA surprise causes 11-25 bps higher returns. This response is highly time-varying and is weaker during periods of high monetary uncertainty. I decompose this response into cash flow and risk-free rate channels. 1 standard deviation of good MNA surprise leads to plus 30 bps returns from the cash flow channel and minus 23 bps per 1% of monetary uncertainty from the risk-free rate channel. The risk-free rate channel is time-varying and is stronger when monetary uncertainty is high. High levels of monetary uncertainty mask the strong positive response of stocks to MNA, which explains why past research failed to detect this relation.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798379523466Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Asset pricingIndex Terms--Genre/Form:

554714
Electronic books.

Monetary Uncertainty as a Determinant of the Response of Stock Market to Macroeconomic News.
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504 $a Includes bibliographical references
520 $a This paper examines the effect of macroeconomic news announcements (MNA) on the stock market. Stocks exhibit a strong positive response to major MNA: 1 standard deviation of MNA surprise causes 11-25 bps higher returns. This response is highly time-varying and is weaker during periods of high monetary uncertainty. I decompose this response into cash flow and risk-free rate channels. 1 standard deviation of good MNA surprise leads to plus 30 bps returns from the cash flow channel and minus 23 bps per 1% of monetary uncertainty from the risk-free rate channel. The risk-free rate channel is time-varying and is stronger when monetary uncertainty is high. High levels of monetary uncertainty mask the strong positive response of stocks to MNA, which explains why past research failed to detect this relation.
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538 $a Mode of access: World Wide Web
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653 $a Asset pricing
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653 $a Monetary policy
653 $a Monetary uncertainty
653 $a Stock market
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