Impact of Monetary Policy on Financial Markets Efficiency under Speculative Bubbles: a Non-Normal and Non-Linear Entropy-based Approach



Título del documento: Impact of Monetary Policy on Financial Markets Efficiency under Speculative Bubbles: a Non-Normal and Non-Linear Entropy-based Approach
Revue: Análisis económico - Universidad Autónoma Metropolitana
Base de datos: CLASE
Número de sistema: 000494155
ISSN: 0185-3937
Autores: 1
1
1
Instituciones: 1Instituto Politécnico Nacional, Ciudad de México. México
Año:
Periodo: May-Ago
Volumen: 34
Número: 86
País: México
Idioma: Inglés
Tipo de documento: Artículo
Enfoque: Analítico, descriptivo
Resumen en inglés This paper examines, through the concept of mutual information based on Shannon’s entropy, the impact of monetary policy on the loss of efficiency in the financial markets due to speculative bubbles. The proposed information measure is useful to quantify the efficiency with which stock markets respond to the implementation of monetary policy. The findings show that an increase in both money supply and credit growth, as well as declining interest rates, lead to strong market inefficiencies during the initial periods of formation of a bubble. Moreover, empirical evidence suggests that when a loose monetary policy (money supply is expanded and is accessible to agents to encourage economic growth) generates inefficiencies, its instruments are not effective to realign the performance of financial markets
Disciplinas: Economía
Palabras clave: Econometría,
Política monetaria,
Mercados financieros,
Especulación,
Entropía,
Modelos no lineales
Keyword: Econometrics,
Monetary policy,
Financial markets,
Speculation,
Market efficiency,
Non-linear models,
Entropy
Texte intégral: Texto completo (Ver HTML) Texto completo (Ver PDF)