U.S. stock markets and the role of real interest rates

Huang, Wanling; Mollick, André Varella; Nguyen, Khoa Huu

doi:10.1016/j.qref.2015.07.006

Cited by 48 publications

(36 citation statements)

References 61 publications

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“…The negative and significant signs of both variables correlate to the findings of Huang et al (Huang et al, 2016), which imply that the U.S. stock market responds negatively to interest rates. Furthermore, Assefa et al (Assefa et al, 2017) find statistically significant, negative effects of interest rates on stock returns in developed countries.…”

Section: Resultssupporting

confidence: 69%

“…Huang et al (Huang et al, 2016) specify that a low level of interest rates makes the discounting cash flow high, thus justifying the increase in current stock prices. Based on the stock valuation models, stock prices are predicted by the discounted value of expected cash flow.…”

Section: Introductionmentioning

confidence: 99%

“…There are two main reasons for revisiting the relationship between the equity market and interest rates. First, a significant volume of literature developed by Chen, Roll and Ross (Chen et al, 1986), Campbell and Ammer (Campbell & Ammer, 1993), Thorbecke (Thorbecke, 1997), Laopodis (Laopodis, 2013), Huang et al (Huang et al, 2016), and Assefa et al (Assefa et al, 2017) focuses on the effects of macro-variables on stock prices.…”

Section: Introductionmentioning

confidence: 99%

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The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration

Türsoy

2019

Financ Innov

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This paper demonstrates a significant, long-running relationship between stock prices and domestic interest rates in Turkey's financial markets for the period of 2001 M1 -2017 M4. Cointegration analysis is investigated using the autoregressivedistributed lag bounds (ARDL Bounds) test and vector autoregressive cointegration. Additionally, cointegrating equations such as the fully modified ordinary least square, dynamic ordinary least squares, and canonical cointegrating regression are applied to check the long-run elasticities in the concerned relationship. The ARDL Bounds and Johansen Cointegration test results show that, dynamically, both prices are significantly related to each other. The cointegrating equation outcomes demonstrate elasticities whereby both coefficients have negative signs. Additionally, the same results are corroborated by the impulse response where all variables respond negatively to each other.

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Section: Resultssupporting

confidence: 69%

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration

Türsoy

2019

Financ Innov

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“…This finding tells that when the inflation rate is increasing and the consumers' purchasing power is reducing, it will reduce the company revenues and profits as well as slowing down the economy. The negative and significant sign of interest rate are accordance to the findings of Huang et al (2016), which demonstrate that the U.S. stock market responds negatively to interest rate. In addition, Assefa et al (2017) proved that interest rates are statistically significant and affect negatively to the stock returns in the developed countries.…”

Section: Ardl Bound Test For Cointegrationsupporting

confidence: 86%

Macroeconomic Factors and Stock Markets Interdependencies: Evidence From United States and China

Beh¹,

Yew²

2020

jcr

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Over the past few decades, the stock markets of China and United States have shown rapid growth in terms of value and volume, bringing investment opportunities and significant capital inflows in these two countries. This paper investigates the dependency and interdependency of macroeconomic factors and stock markets in the United States and China. Auto-regressive Distributed Lag (ARDL) approach is implemented in this study to investigate the long term and short term impact of the macroeconomic factors against the stock markets in China and the United States. The analysis considered Dow Jones Industrial Average Index, NASDAQ Composite Index and S&P 500 Index, Shanghai Composite Index (SSE) and Shenzhen Stock Exchange Index (SZSE) as the stock market in the United States and China. Macroeconomic factors in these two countries such as consumer price index, export, interest rates, money supply, real effective exchange rates, total reserves, gold price and crude oil price are considered in this study. In conclusion, ARDL approach shown that the export value, money supply, real effective exchange rate in the United States and the gold price were the determinant factors to the stock market in United States. The SSE and SZSE markets are found to have long term and short term relationship with the macroeconomic factors in the United States. Lastly, the SZSE market is influencing by the China macroeconomic factors such as China CPI and China real effective exchange rate in long term and short term.

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“…By utilising a weekly data from January 3, 2003 to March 27, 2015, Huang, Mollick and Nguyen (2016) examine the reactions of U.S stock returns to monetary policy while controlling for oil prices and the value of U.S dollars against major industrialised currencies [59]. Estimation using the VAR technique and the vine copula models identify the structure of dependence across the market and shows that U.S real interest rates have continuously becomes negative over the period.…”

Section: Review Of the Empirical Literaturementioning

confidence: 99%

Macroeconomic Analysis of Interest Rate and Economic Growth in Nigeria: A Time Series Approach

Idris¹

2019

IJFBR

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This study examines the impact of interest rate on economic growth in Nigeria using annual time series data spanning 1980 to 2017. This phenomenon is particularly interesting from a theoretical standpoint as well as for the understanding of financial market mechanisms. The Vector Autoregression (VAR) model and the Granger causality test are employed to estimate the model coefficients and measure the causal relationship among the concerned variables. From the VAR-based impulse response function and its corresponding variance decomposition estimates, result shows the existence of negative relationship between interest rate and economic growth in Nigeria. In addition, the Granger causality test indicates the presence of bi-directional causal relationship between interest rate and economic growth. Consequently, monetary authorities should designed and implement interest rate policies that enhance investment and take into cognisance other elements that retard investment progression. To attain the desired growth level in Nigeria, monetary authorities and policy makers should adopt policy measures that are growth oriented and have the potentials to accelerate the economy to higher productivity and sustainable economic growth.

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U.S. stock markets and the role of real interest rates

Cited by 48 publications

References 61 publications

The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration

The interaction between stock prices and interest rates in Turkey: empirical evidence from ARDL bounds test cointegration

Macroeconomic Factors and Stock Markets Interdependencies: Evidence From United States and China

Macroeconomic Analysis of Interest Rate and Economic Growth in Nigeria: A Time Series Approach

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