RBA Annual Conference – 2003 Stock Market Volatility and Monetary Policy: What the Historical Record Shows

Table 7: Effect of Monetary Policy and Capital Controls on Stock Return Standard Deviation
Australia Canada Denmark Finland France Italy Japan Sweden Switzerland UK US
Money supply 0.469
(0.065)		 1.565
(0.299)		 −0.005
(0.041)		 0.479
(0.052)		 0.494
(0.052)		 0.963
(0.080)		 0.263
(0.050)		 0.102
(0.048)		 2.548
(0.329)		 0.618
(0.050)		 0.316
(0.163)
Capital controls 1.334
(0.114)		 −0.641
(0.051)		 −1.464
(0.110)		 −1.984
(0.207)		 1.679
(0.107)		 −0.444
(0.137)		 −0.594
(0.119)		 −0.755
(0.122)		 −0.656
(0.115)		 1.677
(0.117)		 Dropped
Constant 2.423
(0.139)		 2.570
(0.324)		 4.604
(0.119)		 6.175
(0.242)		 3.103
(0.138)		 4.530
(0.190)		 5.373
(0.151)		 4.861
(0.140)		 1.761
(0.364)		 2.574
(0.097)		 3.924
(0.157)
R2 0.167 0.084 0.148 0.199 0.280 0.146 0.057 0.050 0.179 0.216 0.002
Number of observations 1,114 872 967 885 861 1,018 944 969 575 1,115 1,210

Notes: Standard errors in parentheses. Money supply is at annual frequency.

Source: Authors' calculations