Fiscal policy and the US stock market

被引：12

作者：

Mbanga C.L. ^{[1
]}

Darrat A.F. ^{[1
]}

机构：

[1] Department of Economics and Finance, College of Business, Louisiana Tech University, Ruston, 71270, LA

来源：

Review of Quantitative Finance and Accounting | 2016年 / 47卷 / 4期

关键词：

Cointegration; Error corrections; Fiscal and monetary policies; Market efficiency;

D O I：

10.1007/s11156-015-0528-y

中图分类号：

学科分类号：

摘要：

This paper empirically explores the short- and long-run effects of fiscal and monetary policies on US stock returns and tests the validity of market efficiency. The results support the presence of a strong long-run (equilibrium) relation binding stock prices with fiscal (but not monetary) policy. Further tests assign a dominant role to fiscal policy as a main force driving the overall equilibrium relation with the stock market. Estimates from error-correction models corroborate the existence of robust long-run relation and further suggest that past fiscal (but not monetary) policy actions exert significant short-run effects on current stock returns. A similar verdict emerged from alternative estimates in which fiscal policy actions anticipated from an ex ante equation continue to support a significant lagged relation with current stock returns. These results provide consistent evidence that important effects of fiscal policy are transmitted to the real economy through the stock market. Moreover, the results for fiscal policy appear at variance with market efficiency. However, transaction costs and other well-known modeling caveats may impede implications for profitable investment strategies. © 2015, Springer Science+Business Media New York.

引用

页码：987 / 1002

页数：15

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