Saudi Cultural Missions Theses & Dissertations
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Item Restricted Monetary Policy and Asset Price Association in the UK: An Empirical Study(Saudi Digital Library, 2023-12-01) AlRabiah, Mishary; Patti, Dario Ansaldo MaimoneThe aim of this study was to analyse the impact of monetary policy on equity markets (FTSE 100 and FTSE 250) and housing market in the UK. The monetary policy in UK and the U.S. was used to assess the influence on UK’s equity and housing market. Data was collected on UK and U.S. government bond yields (as a proxy for monetary policy), VIX index, FTSE 100 and FTSE 250 and house price index. Pearson’s correlation and OLS regression were used, separating the analysis based on low inflation period (2008 to 2021) and high inflation environment (2022 onwards). Monetary policy has a significant impact on asset prices in the UK. Expansionary monetary policy between 2008 and 2021 adopted by BoE and the Federal Reserve supported the UK equity and housing markets, particularly in the low inflation period of 2008 and 2021. However, as inflation has risen post-pandemic and BoE and the Federal Reserve pursued a contractionary monetary policy by aggressively raising the central bank base rate, the effect on asset prices is mixed. The effect of UK Treasury yields on UK asset prices is stronger than the effect of the U.S. Treasury yields since UK Treasury yields have a direct impact on the UK markets, while the U.S. yields have an indirect influence. Implications of the findings for investors and policymakers are discussed.21 0Item Restricted Gulf Cooperation Council Countries’ Stock Market Response to US Federal Reserve Policy Actions(Saudi Digital Library., 2022-04-25) Al Rowaily, Muathe; Bogan, Vicky; Leyden, BenjaminThis study examines the effects of changes in the United States’ (US) monetary policy actions on the Gulf Cooperation Council (GCC) countries’ stock markets. Efficient financial markets are unlikely to respond to anticipated policy actions. Therefore, Federal funds futures data are used to categorize the changes in monetary policy actions into anticipated and unanticipated components. The results indicate that equity returns across the GCC are roughly 19 percentage points more volatile on monetary policy event days than non-event days. We find that a surprise change in the Federal funds rate is positive on equity prices and statistically significant across all GCC countries except for Bahrain, where it is negative and statistically significant. On average, a hypothetical unanticipated 25-basis-point hike in the Federal funds rate target is associated with a 1.5% increase in the GCC broad stock indexes. These findings are relevant to both the direction and context of Federal funds rate surprises.20 0