Advances in Economics, Management and Political Sciences
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Proceedings of the 2nd International Conference on Management Research and Economic Development
Series Vol. 72 , 24 May 2024
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The Impact of Quantitative Easing on Stock Prices in the U.S. Stock Market - Structural VAR Model Analysis
* Author to whom correspondence should be addressed.
Abstract
In an effort for future investment implications, the current study examined the relationship between historical Quantitative Easing (QE) programs and the stock market. This study analyzed weekly basis data in the United States between 2007 and 2023. Through a Vector auto-regression (VAR) model, a significant rise following a quick drop in stock prices to a positive shock in QE was discovered, indicating lagged response. Further robustness check proved the validation of relationship, by sectioning the whole data set into 4 periods corresponding to four QE programs, except relatively insignificant effects in QE2 and QE3 periods. These lagged responses were pointed out firstly in this paper and connected with policy motivations and contemporaneous economy environment across programs. The findings may enable investors to anticipate market movements and generate respectable returns in the event of such unconventional money shocks.
Keywords
Quantitative Easing, Stock Market, Stock Prices, S&P500
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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 2nd International Conference on Management Research and Economic Development
- ISBN (Print)
- 978-1-83558-315-9
- ISBN (Online)
- 978-1-83558-316-6
- Published Date
- 24 May 2024
- Series
- Advances in Economics, Management and Political Sciences
- ISSN (Print)
- 2754-1169
- ISSN (Online)
- 2754-1177
- DOI
- 10.54254/2754-1169/72/20240691
- Copyright
- 24 May 2024
- 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