Monetary and fiscal policy shocks on the stock market performance in the United States: evidence from the SVAR framework
Evidence from studies of monetary and fiscal policy shocks on the stock market is still arguable not only for researchers but also for central banks and governments. In addition, the interaction between the two policies is very crucial; however, very few studies are available on this topic. In this...
| Main Authors: | , |
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| Format: | Article |
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TuEngr Group
2021
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| Online Access: | http://psasir.upm.edu.my/id/eprint/94262/ |
| _version_ | 1848861950015963136 |
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| author | Emamian, Aref Mazlan, Nur Syazwani |
| author_facet | Emamian, Aref Mazlan, Nur Syazwani |
| author_sort | Emamian, Aref |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | Evidence from studies of monetary and fiscal policy shocks on the stock market is still arguable not only for researchers but also for central banks and governments. In addition, the interaction between the two policies is very crucial; however, very few studies are available on this topic. In this regard, we examined the impact of monetary and fiscal policies shock on the stock market in the United States by utilising the annual data of the U.S. economy from the Federal Reserve, World Bank, and International Monetary Fund from 1980 until 2018. More specifically, we used the Structural Vector Autoregression (SVAR) framework to examine the dynamic relationship between fiscal and monetary policies and the stock market performance. Our results confirm that the interaction between both policies is crucial in understanding the stock market movements and both policies have a direct impact on the U.S. stock market. In the interpretation of stock market performance, the incorporation of the fiscal policy parameter does not add any significant values, suggesting that there is no significant difference when fiscal policy is removed from the model. |
| first_indexed | 2025-11-15T13:09:16Z |
| format | Article |
| id | upm-94262 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-15T13:09:16Z |
| publishDate | 2021 |
| publisher | TuEngr Group |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-942622023-05-08T04:16:03Z http://psasir.upm.edu.my/id/eprint/94262/ Monetary and fiscal policy shocks on the stock market performance in the United States: evidence from the SVAR framework Emamian, Aref Mazlan, Nur Syazwani Evidence from studies of monetary and fiscal policy shocks on the stock market is still arguable not only for researchers but also for central banks and governments. In addition, the interaction between the two policies is very crucial; however, very few studies are available on this topic. In this regard, we examined the impact of monetary and fiscal policies shock on the stock market in the United States by utilising the annual data of the U.S. economy from the Federal Reserve, World Bank, and International Monetary Fund from 1980 until 2018. More specifically, we used the Structural Vector Autoregression (SVAR) framework to examine the dynamic relationship between fiscal and monetary policies and the stock market performance. Our results confirm that the interaction between both policies is crucial in understanding the stock market movements and both policies have a direct impact on the U.S. stock market. In the interpretation of stock market performance, the incorporation of the fiscal policy parameter does not add any significant values, suggesting that there is no significant difference when fiscal policy is removed from the model. TuEngr Group 2021-09 Article PeerReviewed Emamian, Aref and Mazlan, Nur Syazwani (2021) Monetary and fiscal policy shocks on the stock market performance in the United States: evidence from the SVAR framework. International Transaction Journal of Engineering, Management, & Applied Sciences & Technologies, 12 (12). art. no. 12A12F. pp. 1-13. ISSN 2228-9860; ESSN: 1906-9642 https://tuengr.com/A12/12A12/12A12F.html 10.14456/ITJEMAST.2021.237 |
| spellingShingle | Emamian, Aref Mazlan, Nur Syazwani Monetary and fiscal policy shocks on the stock market performance in the United States: evidence from the SVAR framework |
| title | Monetary and fiscal policy shocks on the stock market performance in the United States: evidence from the SVAR framework |
| title_full | Monetary and fiscal policy shocks on the stock market performance in the United States: evidence from the SVAR framework |
| title_fullStr | Monetary and fiscal policy shocks on the stock market performance in the United States: evidence from the SVAR framework |
| title_full_unstemmed | Monetary and fiscal policy shocks on the stock market performance in the United States: evidence from the SVAR framework |
| title_short | Monetary and fiscal policy shocks on the stock market performance in the United States: evidence from the SVAR framework |
| title_sort | monetary and fiscal policy shocks on the stock market performance in the united states: evidence from the svar framework |
| url | http://psasir.upm.edu.my/id/eprint/94262/ http://psasir.upm.edu.my/id/eprint/94262/ http://psasir.upm.edu.my/id/eprint/94262/ |