CAJ | 학술논문

本文研究以贴现率变动度量的不同货币政策环境是否对股票收益产生影响。根据最近一次贴现率变动把货币政策环境分为扩张性货币政策环境和紧缩性货币政策环境,本文采用包含4个发达国家和3个发展中国家1991年1月至2010年9月的月度数据检验货币政策环境与股票收益的相关性。与之前的研究结论不同,本文的回归结果表明,在样本期内,不管是国内货币政策环境还是国际货币政策环境,对股票收益都没有影响。
본문연구이첩현솔변동도량적불동화폐정책배경시부대고표수익산생영향。근거최근일차첩현솔변동파화폐정책배경분위확장성화폐정책배경화긴축성화폐정책배경,본문채용포함4개발체국가화3개발전중국가1991년1월지2010년9월적월도수거검험화폐정책배경여고표수익적상관성。여지전적연구결론불동,본문적회귀결과표명,재양본기내,불관시국내화폐정책배경환시국제화폐정책배경,대고표수익도몰유영향。
The focus of this paper is to determine whether stock returns are associated with both local and international monetary environments. We classify the monetary environments as either expansive or restrictive based on the most resent discount rate change. We examine monthly data from January 1991 to September 2010. Four developed countries and three developing countries are included in our samples. Inconsistent with the previous findings, our results indicate that both local monetary environment and international monetary environment can not affect the stock returns.