Monetary-fiscal policies and stock market performance: evidence from linear ARDL framework
Objective - To explore the impacts of monetary and fiscal policies, the appropriateness of both policies and how the stock market is affected by their adoption and implementation in the United States (US). Hence, this study aims to determine the short and long run relationships between monetary and...
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| Format: | Article |
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Global Academy of Training and Research (GATR) Enterprise
2021
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| Online Access: | http://psasir.upm.edu.my/id/eprint/94263/ |
| _version_ | 1848861950301175808 |
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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 | Objective - To explore the impacts of monetary and fiscal policies, the appropriateness of both policies and how the stock market is affected by their adoption and implementation in the United States (US). Hence, this study aims to determine the short and long run relationships between monetary and fiscal policies and stock market performance as well as establish potential factors and policies contributing to the highs and lows.
Methodology/Technique - We use autoregressive distribution lag (ARDL) developed by Pesaran et al. (2001) to achieve the objective. In this study, annual time series data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, was used.
Findings - The results show that both policies play a significant role in the stock market. We find a significant positive effect of real gross domestic product (RGDP) and the interest rate on the US stock market in the long run and significant negative relationship effect of the consumer price index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant.
Novelty - As the US stock market heavily depends on the Tax Revenue in the short run, any changes in TR can impact on the US stock market considerably. Thus, shareholders can benefit from these results when they look at macroeconomic data in order to enhance their investment strategy. |
| first_indexed | 2025-11-15T13:09:16Z |
| format | Article |
| id | upm-94263 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-15T13:09:16Z |
| publishDate | 2021 |
| publisher | Global Academy of Training and Research (GATR) Enterprise |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-942632023-05-08T04:20:33Z http://psasir.upm.edu.my/id/eprint/94263/ Monetary-fiscal policies and stock market performance: evidence from linear ARDL framework Emamian, Aref Mazlan, Nur Syazwani Objective - To explore the impacts of monetary and fiscal policies, the appropriateness of both policies and how the stock market is affected by their adoption and implementation in the United States (US). Hence, this study aims to determine the short and long run relationships between monetary and fiscal policies and stock market performance as well as establish potential factors and policies contributing to the highs and lows. Methodology/Technique - We use autoregressive distribution lag (ARDL) developed by Pesaran et al. (2001) to achieve the objective. In this study, annual time series data from the Federal Reserve, World Bank, and International Monetary Fund, from 1986 to 2017 pertaining to the American economy, was used. Findings - The results show that both policies play a significant role in the stock market. We find a significant positive effect of real gross domestic product (RGDP) and the interest rate on the US stock market in the long run and significant negative relationship effect of the consumer price index (CPI) and broad money on the US stock market both in the short run and long run. On the other hand, this study only could support the significant positive impact of tax revenue and significant negative impact of real effective exchange rate on the US stock market in the short run while in the long run are insignificant. Novelty - As the US stock market heavily depends on the Tax Revenue in the short run, any changes in TR can impact on the US stock market considerably. Thus, shareholders can benefit from these results when they look at macroeconomic data in order to enhance their investment strategy. Global Academy of Training and Research (GATR) Enterprise 2021-03 Article PeerReviewed Emamian, Aref and Mazlan, Nur Syazwani (2021) Monetary-fiscal policies and stock market performance: evidence from linear ARDL framework. Journal of Business and Economics Review, 5 (4). 69 - 80. ISSN 2636-9184; ESSN: 0128-259X http://gatrenterprise.com/GATRJournals/JBER/vol5.4_7.html 10.35609/jber.2021.5.4(7) |
| spellingShingle | Emamian, Aref Mazlan, Nur Syazwani Monetary-fiscal policies and stock market performance: evidence from linear ARDL framework |
| title | Monetary-fiscal policies and stock market performance: evidence from linear ARDL framework |
| title_full | Monetary-fiscal policies and stock market performance: evidence from linear ARDL framework |
| title_fullStr | Monetary-fiscal policies and stock market performance: evidence from linear ARDL framework |
| title_full_unstemmed | Monetary-fiscal policies and stock market performance: evidence from linear ARDL framework |
| title_short | Monetary-fiscal policies and stock market performance: evidence from linear ARDL framework |
| title_sort | monetary-fiscal policies and stock market performance: evidence from linear ardl framework |
| url | http://psasir.upm.edu.my/id/eprint/94263/ http://psasir.upm.edu.my/id/eprint/94263/ http://psasir.upm.edu.my/id/eprint/94263/ |