Table 1.
Effects of monetary policy on financial markets: full sample period.
| Dependent variables | [1] |
[2] |
[3] |
[4] |
|---|---|---|---|---|
| GOV | STO | EXC | CDS | |
| ri, t | 0.454*** | 0.030*** | −0.025*** | 0.072*** |
| (58.202) | (10.456) | (−24.477) | (41.153) | |
| c | 0.010 | −0.001 | 0.001 | 0.005 |
| (1.496) | (−0.320) | (0.964) | (0.242) | |
| Observations | 4868 | 4895 | 4895 | 4893 |
| R2 | 0.412 | 0.022 | 0.110 | 0.257 |
| Number of countries | 37 | 37 | 37 | 37 |
Notes: This table reports the benchmark results from the regressions of the model (1), that is, the effects of the changes in policy rates (ri, t) on the changes in 10-year government bond yields (GOV), stock index returns (STO), changes in exchange rates (EXC) and growth rates of CDS spreads (CDS). The estimation is based on the full sample period. The coefficient estimates are obtained by the OLS method. t-statistics are reported in parentheses and ***/ **/* denote the significance at 99%, 95% and 90% confidence levels, respectively.