{"title":"常规和非常规影子利率与美国各州股票回报率:来自非平稳异质面板的证据","authors":"Afees A. Salisu , Kazeem O. Isah , Oguzhan Cepni","doi":"10.1016/j.qref.2024.101890","DOIUrl":null,"url":null,"abstract":"<div><p>This study analyzes how monthly stock returns in the United States react to conventional and unconventional shadow rates from February 1994 to April 2023. The study uses a nonstationary heterogeneous panel data technique appropriate for analyzing large cross-sections and long periods. The analysis is separated into turbulent and tranquil periods. The findings suggest that, although the shadow rate is expected to align with the long-term rate, its ability to boost economic activity in the stock markets is only applicable in the short term. Despite the Federal Funds Rate (FFR) being unable to be lowered below zero bounds, the study shows results that support the effectiveness of the FFR in stimulating stock returns in the long run, particularly during crisis periods. The study also reveals that both conventional and unconventional shadow rates share a common feature, which is that they demonstrate how the stock markets can be downward-sticky in the long run with a rising shadow rate in virtually all 50 states in the U.S. The findings provide sturdy insights into the usefulness of unconventional monetary policy measures for stock market performance during crises and normal periods.</p></div>","PeriodicalId":47962,"journal":{"name":"Quarterly Review of Economics and Finance","volume":"97 ","pages":"Article 101890"},"PeriodicalIF":2.9000,"publicationDate":"2024-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S1062976924000966/pdfft?md5=731b8e1e358152023e22193782891af9&pid=1-s2.0-S1062976924000966-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Conventional and unconventional shadow rates and the US state-level stock returns: Evidence from non-stationary heterogeneous panels\",\"authors\":\"Afees A. Salisu , Kazeem O. Isah , Oguzhan Cepni\",\"doi\":\"10.1016/j.qref.2024.101890\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>This study analyzes how monthly stock returns in the United States react to conventional and unconventional shadow rates from February 1994 to April 2023. The study uses a nonstationary heterogeneous panel data technique appropriate for analyzing large cross-sections and long periods. The analysis is separated into turbulent and tranquil periods. The findings suggest that, although the shadow rate is expected to align with the long-term rate, its ability to boost economic activity in the stock markets is only applicable in the short term. Despite the Federal Funds Rate (FFR) being unable to be lowered below zero bounds, the study shows results that support the effectiveness of the FFR in stimulating stock returns in the long run, particularly during crisis periods. The study also reveals that both conventional and unconventional shadow rates share a common feature, which is that they demonstrate how the stock markets can be downward-sticky in the long run with a rising shadow rate in virtually all 50 states in the U.S. The findings provide sturdy insights into the usefulness of unconventional monetary policy measures for stock market performance during crises and normal periods.</p></div>\",\"PeriodicalId\":47962,\"journal\":{\"name\":\"Quarterly Review of Economics and Finance\",\"volume\":\"97 \",\"pages\":\"Article 101890\"},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2024-07-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S1062976924000966/pdfft?md5=731b8e1e358152023e22193782891af9&pid=1-s2.0-S1062976924000966-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quarterly Review of Economics and Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1062976924000966\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quarterly Review of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062976924000966","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
Conventional and unconventional shadow rates and the US state-level stock returns: Evidence from non-stationary heterogeneous panels
This study analyzes how monthly stock returns in the United States react to conventional and unconventional shadow rates from February 1994 to April 2023. The study uses a nonstationary heterogeneous panel data technique appropriate for analyzing large cross-sections and long periods. The analysis is separated into turbulent and tranquil periods. The findings suggest that, although the shadow rate is expected to align with the long-term rate, its ability to boost economic activity in the stock markets is only applicable in the short term. Despite the Federal Funds Rate (FFR) being unable to be lowered below zero bounds, the study shows results that support the effectiveness of the FFR in stimulating stock returns in the long run, particularly during crisis periods. The study also reveals that both conventional and unconventional shadow rates share a common feature, which is that they demonstrate how the stock markets can be downward-sticky in the long run with a rising shadow rate in virtually all 50 states in the U.S. The findings provide sturdy insights into the usefulness of unconventional monetary policy measures for stock market performance during crises and normal periods.
期刊介绍:
The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.