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Title:
The Impact of Fed’s Monetary Policy on the Capital Market in the USA
Creator:
Ulikhanyan, Tatevik ; Teryan, Diana
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Uncontrolled Keywords:
US monetary policy ; capital market ; VAR ; impulse response analysis ; variance decomposition
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Abstract:
The focus of this paper is the impact of the Federal Reserve (Fed) System’s monetary policy on the United States capital market. To identify the capital market, we have segmented it into the government bond market, the corporate bond market, and the stock market. We have utilized a structural vector autoregressive model methodology in order to assess the interrelations between six US variables. We have performed impulse response functions and forecast error variance decomposition analyses for the model interpretation. The empirical findings based on monthly data suggest that the results, in general, are consistent with the expected effects, despite some deviations. The responses of the government, corporate bond markets and the stock market in the United States to the Fed’s monetary policy interest rate shocks have developed mainly in the short run and gradually faded away in the long run. There are significant interdependencies between the observed variables, though each of them is affected to its own specific extent.
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Երևան
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Նյութը վերցված է Հայաստանի պետական տնտեսագիտական համալսարանի կայքից։