{"title":"How are green stocks and monetary policy related?","authors":"","doi":"10.1016/j.pacfin.2024.102516","DOIUrl":null,"url":null,"abstract":"<div><p>We propose and test the hypothesis that green stocks and monetary policies are interdependent. Using time-series data for two large economies (India and Indonesia), that have adopted inflation targeting regimes, we develop a structural vector autoregressive model of monetary policy and green stocks that combines with output. We find that green stock prices fall (rise) in response to inflation with a lagged effect and policy rate shocks for India (Indonesia). Currency depreciation, on the other hand, increases green stock prices for India but has a muted effect for Indonesia. We also discover that, for India, monetary policies hardly respond to green stock price shocks while, for Indonesia, green stock prices do influence the evolution of monetary price variables. Our main contribution is that we decipher the effects of green stocks from aggregate market shocks and show each of these market price shocks is related to the monetary aggregates.</p></div>","PeriodicalId":48074,"journal":{"name":"Pacific-Basin Finance Journal","volume":null,"pages":null},"PeriodicalIF":4.8000,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Pacific-Basin Finance Journal","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0927538X24002683","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
We propose and test the hypothesis that green stocks and monetary policies are interdependent. Using time-series data for two large economies (India and Indonesia), that have adopted inflation targeting regimes, we develop a structural vector autoregressive model of monetary policy and green stocks that combines with output. We find that green stock prices fall (rise) in response to inflation with a lagged effect and policy rate shocks for India (Indonesia). Currency depreciation, on the other hand, increases green stock prices for India but has a muted effect for Indonesia. We also discover that, for India, monetary policies hardly respond to green stock price shocks while, for Indonesia, green stock prices do influence the evolution of monetary price variables. Our main contribution is that we decipher the effects of green stocks from aggregate market shocks and show each of these market price shocks is related to the monetary aggregates.
期刊介绍：
The Pacific-Basin Finance Journal is aimed at providing a specialized forum for the publication of academic research on capital markets of the Asia-Pacific countries. Primary emphasis will be placed on the highest quality empirical and theoretical research in the following areas: • Market Micro-structure; • Investment and Portfolio Management; • Theories of Market Equilibrium; • Valuation of Financial and Real Assets; • Behavior of Asset Prices in Financial Sectors; • Normative Theory of Financial Management; • Capital Markets of Development; • Market Mechanisms.
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