Asset prices and monetary policy in Kenya
Purpose - The purpose of this paper is to investigate the effectiveness of asset price channel in monetary policy transmission and the effect of stock market volatility on monetary policy in Kenya.Design methodology approach - Empirical analysis is based on quantitative analysis which incorporates b...
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| Veröffentlicht in: | Journal of economic studies (Bradford) 2012-01, Vol.39 (4), p.451-468 |
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| container_end_page | 468 |
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| container_issue | 4 |
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| container_title | Journal of economic studies (Bradford) |
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| creator | Nyakerario Misati, Roseline Morekwa Nyamongo, Esman |
| description | Purpose - The purpose of this paper is to investigate the effectiveness of asset price channel in monetary policy transmission and the effect of stock market volatility on monetary policy in Kenya.Design methodology approach - Empirical analysis is based on quantitative analysis which incorporates both descriptive analysis and empirical approach. The study specifically uses the VAR approach which is most appropriate for this kind of study involving analysis of policy shocks on macroeconomic variables.Findings - The main findings of this paper are as follows: first, the evidence of the existence of the asset price channel of monetary policy transmission is mixed in Kenya. Second, while the effect of monetary policy on stock price volatility is not significant, stock market volatility creates instability in monetary policy variables, implying that information from the stock market may be important in predicting the business cycle.Originality value - The paper provides useful policy insights to academicians, economists and central bankers who are interested in understanding the financial stability-monetary policy nexus. This is important considering that most economies are emerging from the effects of the global financial crisis and they are thus enhancing financial stability measures. No such study that the authors are aware of has been conducted using data for Kenya. |
| doi_str_mv | 10.1108/01443581211255657 |
| format | Article |
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The study specifically uses the VAR approach which is most appropriate for this kind of study involving analysis of policy shocks on macroeconomic variables.Findings - The main findings of this paper are as follows: first, the evidence of the existence of the asset price channel of monetary policy transmission is mixed in Kenya. Second, while the effect of monetary policy on stock price volatility is not significant, stock market volatility creates instability in monetary policy variables, implying that information from the stock market may be important in predicting the business cycle.Originality value - The paper provides useful policy insights to academicians, economists and central bankers who are interested in understanding the financial stability-monetary policy nexus. This is important considering that most economies are emerging from the effects of the global financial crisis and they are thus enhancing financial stability measures. 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The study specifically uses the VAR approach which is most appropriate for this kind of study involving analysis of policy shocks on macroeconomic variables.Findings - The main findings of this paper are as follows: first, the evidence of the existence of the asset price channel of monetary policy transmission is mixed in Kenya. Second, while the effect of monetary policy on stock price volatility is not significant, stock market volatility creates instability in monetary policy variables, implying that information from the stock market may be important in predicting the business cycle.Originality value - The paper provides useful policy insights to academicians, economists and central bankers who are interested in understanding the financial stability-monetary policy nexus. This is important considering that most economies are emerging from the effects of the global financial crisis and they are thus enhancing financial stability measures. 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Morekwa Nyamongo, Esman</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c448t-2f59fa67de68881dca02bab0f75cbfc1d9d6245e4fb1a34f98f67ba6e12490a33</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2012</creationdate><topic>Asset pricing</topic><topic>Asset valuation</topic><topic>Balance sheets</topic><topic>Central banks</topic><topic>Economic crisis</topic><topic>Economic growth</topic><topic>Economic models</topic><topic>Financial services</topic><topic>Foreign exchange rates</topic><topic>Housing prices</topic><topic>Inflation</topic><topic>Interest rates</topic><topic>International finance</topic><topic>Kenya</topic><topic>Monetary policy</topic><topic>Securities markets</topic><topic>Stock exchange</topic><topic>Stock exchanges</topic><topic>Stock market indexes</topic><topic>Stock prices</topic><topic>Studies</topic><topic>Systems stability</topic><topic>Vector-autoregressive models</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Nyakerario Misati, Roseline</creatorcontrib><creatorcontrib>Morekwa Nyamongo, Esman</creatorcontrib><collection>CrossRef</collection><collection>Global News & ABI/Inform Professional</collection><collection>Trade PRO</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ProQuest Pharma Collection</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>Hospital Premium Collection</collection><collection>ProQuest Central UK/Ireland</collection><collection>ProQuest Databases</collection><collection>ProQuest Business Premium Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>International Bibliography of the Social Sciences</collection><collection>Health Research Premium Collection</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>International Bibliography of the Social Sciences</collection><collection>ProQuest Business Collection</collection><collection>DELNET Management Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Professional Standard</collection><collection>ABI/INFORM global</collection><collection>Healthcare Administration Database</collection><collection>One Business</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central Basic</collection><jtitle>Journal of economic studies (Bradford)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Nyakerario Misati, Roseline</au><au>Morekwa Nyamongo, Esman</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Asset prices and monetary policy in Kenya</atitle><jtitle>Journal of economic studies (Bradford)</jtitle><date>2012-01-01</date><risdate>2012</risdate><volume>39</volume><issue>4</issue><spage>451</spage><epage>468</epage><pages>451-468</pages><issn>0144-3585</issn><eissn>1758-7387</eissn><abstract>Purpose - The purpose of this paper is to investigate the effectiveness of asset price channel in monetary policy transmission and the effect of stock market volatility on monetary policy in Kenya.Design methodology approach - Empirical analysis is based on quantitative analysis which incorporates both descriptive analysis and empirical approach. 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| language | eng |
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| source | Emerald Complete Journals |
| subjects | Asset pricing Asset valuation Balance sheets Central banks Economic crisis Economic growth Economic models Financial services Foreign exchange rates Housing prices Inflation Interest rates International finance Kenya Monetary policy Securities markets Stock exchange Stock exchanges Stock market indexes Stock prices Studies Systems stability Vector-autoregressive models Volatility |
| title | Asset prices and monetary policy in Kenya |
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