The Effect of Central Bank Policy Decisions on Stock Market Returns in Chile

The Effect of Central Bank Policy Decisions on Stock Market Returns in Chile

This paper analyzes the stock-market response to monetary policy decisions made by the Central Bank of Chile.  We use a methodology designed for the study of low frequency events and monthly data from September 2001 to December 2013 to estimate the effect of anticipated and unanticipated changes in...

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Main Authors: Andrés A. Acuña, Cristián F. Pinto
Format: Article
Language:English
Published: Universidad EAFIT 2015-06-01
Series:Ecos de Economía
Subjects:
Event study
inflation targeting
monetary policy
stock returns
Chile
Online Access:http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/3044
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spelling doaj-ddfa34f9c1ae4958954bf4df4013b9dc2020-11-25T01:44:32ZengUniversidad EAFITEcos de Economía 1657-42062015-06-011940486510.17230/ecos.2015.40.32187The Effect of Central Bank Policy Decisions on Stock Market Returns in ChileAndrés A. Acuña0Cristián F. Pinto1Universidad del Bío-BíoUniversidad del Bío-BíoThis paper analyzes the stock-market response to monetary policy decisions made by the Central Bank of Chile.  We use a methodology designed for the study of low frequency events and monthly data from September 2001 to December 2013 to estimate the effect of anticipated and unanticipated changes in the Chilean monetary policy interest rate on stock returns.  In contrast to the research findings in the literature for the U.S., we find no evidence that monetary surprises affect Chilean stock returns.http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/3044Event studyinflation targetingmonetary policystock returnsChile
collection DOAJ
language English
format Article
sources DOAJ
author Andrés A. Acuña
Cristián F. Pinto
spellingShingle Andrés A. Acuña
Cristián F. Pinto
The Effect of Central Bank Policy Decisions on Stock Market Returns in Chile
Ecos de Economía
Event study
inflation targeting
monetary policy
stock returns
Chile
author_facet Andrés A. Acuña
Cristián F. Pinto
author_sort Andrés A. Acuña
title The Effect of Central Bank Policy Decisions on Stock Market Returns in Chile
title_short The Effect of Central Bank Policy Decisions on Stock Market Returns in Chile
title_full The Effect of Central Bank Policy Decisions on Stock Market Returns in Chile
title_fullStr The Effect of Central Bank Policy Decisions on Stock Market Returns in Chile
title_full_unstemmed The Effect of Central Bank Policy Decisions on Stock Market Returns in Chile
title_sort effect of central bank policy decisions on stock market returns in chile
publisher Universidad EAFIT
series Ecos de Economía
issn 1657-4206
publishDate 2015-06-01
description This paper analyzes the stock-market response to monetary policy decisions made by the Central Bank of Chile.  We use a methodology designed for the study of low frequency events and monthly data from September 2001 to December 2013 to estimate the effect of anticipated and unanticipated changes in the Chilean monetary policy interest rate on stock returns.  In contrast to the research findings in the literature for the U.S., we find no evidence that monetary surprises affect Chilean stock returns.
topic Event study
inflation targeting
monetary policy
stock returns
Chile
url http://publicaciones.eafit.edu.co/index.php/ecos-economia/article/view/3044
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