Advances in Economics, Management and Political Sciences
- The Open Access Proceedings Series for Conferences
Proceedings of the 7th International Conference on Economic Management and Green Development
Series Vol. 43 , 10 November 2023
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The Effect of Rise of Federal Funds Rate on US Stock Market: From the Perspective of US Dollar Appreciation
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Abstract
The study examines the impact of the rise of the Federal Funds Rate (FFR) on the stock price returns and volatility of the United States of America. The study extracted the stock price from January 3, 2022, to June 16, 2023, from the Investing finance terminal, including the Standard and Poor’s (S&P 500), US Dollar Index, and the National Association of Securities Dealers Automated Quotations (NASDAQ) Index. This study uses the Vector Autoregression (VAR) model and the ARMA-GARCH model to evaluate the stock returns and daily return volatility, respectively. The two models inspect the effect of the US Dollar index on both the NASDAQ and S&P 500. The result of this study suggests that the rise in the Federal Funds Rate would cause the stock market price to decline for a relatively long period. However, the volatility of the daily return remains stable. By studying the effect of the rise in the Federal Funds Rate, policymakers can change the stock prices by adjusting the Federal Funds Rate based on the market’s needs.
Keywords
stock return, volatility, US dollar index, federal funds rate
References
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Data Availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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- Volume Title
- Proceedings of the 7th International Conference on Economic Management and Green Development
- ISBN (Print)
- 978-1-83558-107-0
- ISBN (Online)
- 978-1-83558-108-7
- Published Date
- 10 November 2023
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/43/20232134
- Copyright
- 10 November 2023
- Open Access
- This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited