Empirical Estimation of Monetary Policy Infuence on Stock Exchange Indicators

Abstract

The purpose of the current research is to conduct the empirical analysis and develop adequate econometric instruments for estimation of the relationship between monetary indicators and stock exchange indices in order to determine the effective instruments for stock exchange market development in the short and long runs. During the research the following methods have been used: general scientific methods of system analysis and synthesis; generalization, systematization and grouping of data; modern economic and mathematical instruments, in particular, methods of vector autoregression.Study results. The conducted statistical analysis and the realization of developed econometric VAR/ VECM models using the real data allowed us to estimate the potential capability of state regulators to influence the development of stock exchanges in different groups of countries as well as to develop the most effective monetary instruments of stock exchange stimulation while taking into account internal and external risks in the short and long runs.The results of this research paper can be used when making management decisions by state regulators on the ways of stimulation of stock exchanges development in different groups of countries, in particular Ukraine.Conclusions. Based on the conducted research using the system of developed VAR/VECM models, it was empirically proven that the central bank and other regulators can actually influence stock exchange indices using monetary instruments, but this influence is only significant on the markets of developed countries (e.g., the USA). However, in developing countries the stock exchange index does not depend on short-term changes of monetary indicators, which decreases the power of regulators to affect the stock exchange indices. At the same time, stock exchange indices are significant factors that influence monetary indicators not only in developed countries (the USA) but also in developing ones (Ukraine, Poland). Taking into consideration the results of the current research, it can be deduced that the economy of Ukraine is still in the transition phase and is characterized by significant political and economic risks, while the monetary policy of the regulator is rather an ineffective instrument to control and regulate the capital markets. In addition, the development of stock exchange markets has a positive impact on macroeconomic indicators of the developing economy. That is why the development of the effective and liquid stock market is a highly important element of Ukrainian state economic policy, which can become one of the main factors of its economic growth in mid- and long runs.Aricle received 16.04.2018