سیاست پولی و نوسانات بازار سهام در آسه آن 5 : عدم تقارن بازار گاو و خرس

This paper examines the asymmetric response of stock market volatility to monetary policy over bull and bear market periods in ASEAN5 countries (Malaysia, Indonesia, Singapore, the Philippines and Thailand) using the well-tested pooled mean group (PMG) technique. Bull and bear markets are identified by employing Markov-switching models and the rule- based non-parametric approach. Estimating the models using monthly data from 1991:1 to 2011:12, the results show that a contractionary monetary policy (interest rate increases) has a stronger long-run effect on stock market volatility in bear markets than bulls consistent with the prediction of finance constraints models.

This paper examines the asymmetric response of stock market volatility to monetary policy over bull and bear markets in a panel of ASEAN5 countries including: Malaysia, Singapore, Indonesia, the Philippines and Thailand using monthly data spanned from 1991:1 to 2011:12. Bull and bear market periods are identified by employing the Markov-switching models and the non-parametric approach. To measure the stance of monetary policy we utilize short-term interest rate as suitable monetary policy indicator because interest rate is the key policy variable in the ASEAN5 countries after the liberalization of interest rates since the 1980s. The PMG estimation results indicate that monetary policy has a stronger impact on stock market volatility in bear market periods than bulls in the long-run consistent with the prediction of finance constraint models.