Template-Type: ReDIF-Article 1.0 
Author-Name: Xiao Li
Author-Name: Wenjun Xue
Author-Name: Kaimeng Zhang
Author-Email:  wjxue@shu.edu.cn
Author-Workplace-Name:  Department of Finance, University at Albany, SUNY, Albany, NY, USA
Title: The Predictive Power of Monetary Policy on International Stock Market Returns-Evidence From TV-ARMAX Model
Abstract:  In this paper, we apply the time-varying ARMA model with exogenous variable (TV-ARMAX) to examine the predictive power of monetary policy on international stock returns. This method allows time-varying coefficient estimates and uses time-dependent cumulated variation penalty to filter noisy outlier data points. Based on a wide range of 31 countries, our method robustly outperforms other popular methods including the simple linear-regression model (SLM), the vector autoregression and its variants (VAR, TV-VAR, and VARX) and the ARMA model with exogenous variable (ARMAX).
Classification-JEL:  E52  ,G15 ,C53
Keywords:  Monetary policy, International market returns, TV-ARMAX model
Journal:  Asian Economics Letters
Pages: 1-8
Volume: 5
Issue: 2
Year:  2024
DOI:  2024/06/28
File-URL:  https://a-e-l.scholasticahq.com/api/v1/articles/91484-the-predictive-power-of-monetary-policy-on-international-stock-market-returns-evidence-from-tv-armax-model.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnael:94