278
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Central bank independence and stock market returns in developed countries

&
Pages 335-352 | Received 27 Apr 2017, Accepted 27 Nov 2017, Published online: 31 Jul 2018

References

  • Acemoglu, D., S. Johnson, P. Querubin, and J. A. Robinson. 2008. “When Does Policy Reform Work? the Case of Central Bank Independence.” NBER Working Papers 39 (1): 351–429.
  • Alesina, A., and A. Stella. 2011. “The Politics of Monetary Policy.” In Handbook of Monetary Economics, Eds. B. M. Friedman and M. Woodford. San Diego, CA: Elsevier. Volume 3 of Handbook of Monetary Economics (Chapter 18, pp. 1001–1054).
  • Alesina, A., and L. H. Summers. 1993. “Central Bank Independence and Macroeconomic Performance: Some Comparative Evidence.” Journal of Money, Credit and Banking 25 (2): 151–162. doi:10.2307/2077833.
  • Alpanda, S., and A. Honig. 2009. “The Impact of Central Bank Independence on Political Monetary Cycles in Advanced and Developing Nations.” Journal of Money, Credit and Banking 41 (7): 1365–1389. doi:10.1111/jmcb.2009.41.issue-7.
  • Arellano, M., and S. Bond. 1991. “Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations.” Review of Economic Studies 58: 277–297. doi:10.2307/2297968.
  • Arellano, M., and O. Bover. 1995. “Another Look at the Instrumental Variable Estimation of Error-Components Models.” Journal of Econometrics 68: 29–51. doi:10.1016/0304-4076(94)01642-D.
  • Arnone, M., B. J. Laurens, and J.-F. Segalotto (2006a). Measures of Central Bank Autonomy: Empirical Evidence for OECD, Developing, and Emerging Market Economies. IMF Working Paper, 1–38.
  • Arnone, M., B. J. Laurens, and J.-F. Segalotto (2006b). The Measurement of Central Bank Autonomy: Survey of Models, Indicators, and Empirical Evidence. IMF Working Paper, 1–85.
  • Arnone, M., B. J. Laurens, J.-F. Segalotto, and M. Sommer (2007). Central Bank Autonomy: Lessons from Global Trends. IMF Working Paper - Monetary and Capital Markets Department.
  • Arnone, M., and D. Romelli. 2013. “Dynamic Central Bank Independence Indices and Inflation Rate: A New Empirical Exploration.” Journal of Financial Stability, Vol. 9, No. 3: 385–398. doi:10.1016/j.jfs.2013.03.002.
  • Bade, R., and M. Parkin. 1988. Central Bank Laws and Monetary Policy. London, Ontoria: Department of Economics, University of West Ontario.
  • Baltagi, B. H. 2005. Econometric Analysis of Panel Data. 3rd ed. Chichester, West Sussex, England: John Wiley & Sons .
  • Berger, H., J. De Haan, and S. C. Eijffinger. 2001. “Central Bank Independence: An Update of Theory and Evidence.” Journal of Economic Surveys 15 (1): 3–38. doi:10.1111/1467-6419.00131.
  • Blundell, R., and S. Bond. 1998. “Initial Conditions and Moment Restrictions in Dynamic Panel Data Models.” Journal of Econometrics 87: 115–143. doi:10.1016/S0304-4076(98)00009-8.
  • Breusch, T. S., and A. R. Pagan. 1979. “A Simple Test for Heteroscedasticity and Random Coefficient Variation.” Econometrica: Journal of the Econometric Society 47 (5): 1287–1294. doi:10.2307/1911963.
  • Carlstrom, C. T., and T. S. Fuerst. 2009. “Central Bank Independence and Inflation: A Note.” Economic Inquiry 47 (1): 182–186. doi:10.1111/ecin.2009.47.issue-1.
  • Crowe, C., and E. E. Meade. 2008. “Central Bank Independence and Transparency: Evolution and Effectiveness.” European Journal of Political Economy 24 (4): 763–777. doi:10.1016/j.ejpoleco.2008.06.004.
  • Cukierman, A. 1992. Central Bank Strategy, Credibility, and Independence: Theory and Evidence. UK: MIT press.
  • Cukierman, A. 2008. “Central Bank Independence and Monetary Policymaking Institutions – Past, Present and Future.” European Journal of Political Economy 24 (4): 722–736. doi:10.1016/j.ejpoleco.2008.07.007.
  • Cukierman, A., P. Kalaitzidakis, L. H. Summers, and S. B. Webb. 1993. “Central Bank Independence, Growth, Investment, and Real Rates.” Carnegie-Rochester Conference Series on Public Policy 39: 95–140. doi:10.1016/0167-2231(93)90005-H.
  • Cukierman, A., S. B. Webb, and B. Neyapti. 1992. “Measuring the Independence of Central Banks and Its Effect on Policy Outcomes.” The World Bank Economic Review 6 (3): 353–398. doi:10.1093/wber/6.3.353.
  • Daunfeldt, S.-O., and X. D. Luna. 2008. “Central Bank Independence and Price Stability: Evidence from 23 OECD Countries.” Oxford Economic Papers 60 (3): 410–422. doi:10.1093/oep/gpn004.
  • De Haan, J., and W. J. Kooi. 2000. “Does Central Bank Independence Really Matter?: New Evidence for Developing Countries Using a New Indicator.” Journal of Banking & Finance 24 (4): 643–664. doi:10.1016/S0378-4266(99)00084-9.
  • De Haan, J., D. Masciandaro, and M. Quintyn. 2008. “Does Central Bank Independence Still Matter?.” European Journal of Political Economy 24 (4): 717–721. doi:10.1016/j.ejpoleco.2008.09.005.
  • Debelle, G., and S. Fischer. 1994. “How Independent Should a Central Bank Be?” Federal Reserve Bank of San Francisco 94 (5): 195–221.
  • Dimson, E., P. Marsh, and M. Staunton. 2002. Triumph of the Optimists: 101 Years of Global Investment Returns. Princeton: Princeton University Press.
  • Dincer, N. N., and B. Eichengreen. 2014. “Central Bank Transparency and Independence: Updates and New Measures.” International Journal of Central Banking 10 (1): 189–253.
  • European Central Bank. (2015, March). ECB: ECB, ESCB and the Eurosystem. Retrieved from ECB - European Central Bank Web site: https://www.ecb.europa.eu/ecb/orga/escb/html/index.en.html
  • Fama, E. F. 1981. “Stock Returns, Real Activity, Inflation, and Money.” The American Economic Review 71 (4): 545–565.
  • Fama, E. F. 1991. “Efficient Capital Markets: II.” The Journal of Finance 46: 1575–1617. doi:10.1111/j.1540-6261.1991.tb04636.x.
  • Flannery, M. J., and A. A. Protopapadakis. 2002. “Macroeconomic Factors Do Influence Aggregate Stock Returns.” The Review of Financial Studies 15 (3): 751–782. doi:10.1093/rfs/15.3.751.
  • Förch, T., and U. Sunde. 2012. “Central Bank Independence and Stock Market Returns in Emerging Economies.” Economics Letters 115 (1): 77–80. doi:10.1016/j.econlet.2011.11.030.
  • Gjerde, Ø., and F. Sættem. 1999. “Causal Relations among Stock Returns and Macroeconomic Variables in a Small, Open Economy.” Journal of International Financial Markets, Institutions and Money 9 (1): 61–74. doi:10.1016/S1042-4431(98)00036-5.
  • Goodhart, C. A. 2011. “The Changing Role of Central Banks.” Financial History Review 18 (2): 135–154. doi:10.1017/S0968565011000096.
  • Grilli, V., D. Masciandaro, G. Tabellini, E. Malinvaud, and M. Pagano. 1991. “Political and Monetary Institutions and Public Financial Policies in the Industrial Countries.” Economic Policy 6 (13): 341–392. doi:10.2307/1344630.
  • Hausman, J. A. 1978. “Specification Tests in Econometrics.” Econometrica 46 (6): 1251–1271. doi:10.2307/1913827.
  • Hayo, B., and C. Hefeker (2001). Do We Really Need Central Bank Independence? A Critical Re-Examination. University of Basel WWZ Working Paper, No. 01/03.
  • Im, K. S., M. H. Pesaran, and Y. Shin. 2003. “Testing for Unit Roots in Heterogeneous Panels.” Journal of Econometrics 115 (1): 53–74. doi:10.1016/S0304-4076(03)00092-7.
  • International Monetary Fund. 2015. World Economic Outlook: Uneven Growth - Short and Long Term Factors. Washington, DC: International Monetary Fund, Publication services.
  • Jácome, L., and F. Vázquez (2005). Any Link between Legal Central Bank Independence and Inflation? Evidence from Latin America and the Caribbean. IMF Working Paper, 1–42. doi:10.5089/9781451860948.001
  • Jones, P. M., E. Olson, and M. E. Wohar. 2017. “A Reexamination of Real Stock Returns, Real Interest Rates, Real Activity, and Inflation: Evidence from A Large Data Set.” Financial Review 52: 405–433. doi:10.1111/fire.12137.
  • Klomp, J., and J. De Haan. 2010a. “Central Bank Independence and Inflation Revisited.” Public Choice 144 (3–4): 445–457. doi:10.1007/s11127-010-9672-z.
  • Klomp, J., and J. De Haan. 2010b. “Inflation and Central Bank Independence: A Meta-Regression Analysis.” Journal of Economic Surveys 24 (4): 593–621. doi:10.1111/joes.2010.24.issue-4.
  • Kurihara, Y., K. Morikawa, and S. Takaya. 2012. “Central Bank’s Independence and Stock Prices.” Modern Economy 3 (6): 793–797. doi:10.4236/me.2012.36101.
  • Maddala, G. S., and S. Wu. 1999. “A Comparative Study of Unit Root Tests with Panel Data and A New Simple Test.” Oxford Bulletin of Economics and Statistics 61 (S1): 631–652. doi:10.1111/obes.1999.61.issue-S1.
  • Moser, C., and A. Dreher. 2010. “Do Markets Care about Central Bank Governor Changes? Evidence from Emerging Markets.” Journal of Money, Credit and Banking 42 (5): 1589–1612. doi:10.1111/j.1538-4616.2010.00355.x.
  • MSCI. 2010. Is There a Link between GDP Growth and Equity Returns?, New York, NY: MSCI Barra Research Bulletin. May 2010.
  • Neumann, M. J. 1991. “Precommitment by Central Bank Independence.” Open Economies Review 2 (2): 95–112. doi:10.1007/BF01886895.
  • Neyapti, B. 2001. “Central Bank Independence and Economic Performance in Eastern Europe.” Economic Systems 25 (4): 381–399. doi:10.1016/S0939-3625(01)00033-4.
  • Neyapti, B. 2012. “Monetary Institutions and Inflation Performance: Cross-Country Evidence.” Journal of Economic Policy Reform 15 (4). doi:10.1080/17487870.2012.731805. 2012.
  • Neyapti, B., and S. Ozgur. 2007. “The Effects of Fiscal and Monetary Discipline on Budgetary Outcomes.” Contemporary Economic Policy 25: 146–155. doi:10.1111/j.1465-7287.2007.00034.x.
  • Papadamou, S., M. Sidiropoulos, and E. Spyromitros. 2014. “Does Central Bank Transparency Affect Stock Market Volatility?” Journal of International Financial Markets, Institutions & Money 31: 362–377. doi:10.1016/j.intfin.2014.05.002.
  • Papadamou, S., M. Sidiropoulos, and E. Spyromitros, (2016). Does Central Bank Independence Affect Stock Market Volatility? Working Papers of BETA No. 2016-14, UDS, Strasbourg.
  • Pesaran, M. H. (2004). General Diagnostic Tests for Cross Section Dependence in Panels. CESifo Working Paper Series No. 1229; IZA Discussion Paper No. 1240, 1–41.
  • Ritter, J. R. 2005. “Economic Growth and Equity Returns.” Pacific-Basin Finance Journal 13: 489–503. doi:10.1016/j.pacfin.2005.07.001.
  • Rogoff, K. 1985. “The Optimal Degree of Commitment to an Intermediate Monetary Target.” The Quarterly Journal of Economics 100 (4): 1169–1189. doi:10.2307/1885679.
  • Schroders. 2013. GDP Growth and Equity Market Returns. New York, NY: Schroders. March 2013.
  • Siklos, P. L. 2008. “No Single Definition of Central Bank Independence Is Right for All Countries.” European Journal of Political Economy 24 (4): 802–816. doi:10.1016/j.ejpoleco.2008.07.004.
  • Spyromitros, E., and S. Tuysuz. 2012. “Do Monetary Policy Transparency, Independence and Credibility Enhance Macro-Financial Stability?” International Journal of Economics and Finance 4 (4): 44–54. 2012. doi:10.5539/ijef.v4n4p44.
  • Wooldridge, J. M. 2012. Introductory Econometrics. 5th ed. Mason: Cengage Learning.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.