The effectof fiscal and monetary policies interactionon stock market performance: Evidence from Nigeria
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Description
This studyexaminestheimpactoftheinteractionsbetween fiscal andmonetarypoliciesonstockmarketbehaviour(ASI)and
the impactofthevolatilityoftheseinteractionsontheNigerianstockmarket.ThestudyanalysedmonthlydatausingtheARDL
and EGARCHmodels.Theresultsshowtheinteractionbetweenmonetaryand fiscal policiesinfluence onstockmarketreturnsin
Nigeria. TheARDLresultsshowevidenceoflongrunrelationshipbetweenASIandMonetary-fiscal policies.Theresultsfromthe
volatility estimatesshowthattheASIvolatilityislargelysensitivetovolatilityintheinteractionsbetweenthetwopolicy
instruments. Theresultssuggestcalibratingboththemonetaryand fiscal policiesinasinglemodelwhenformulatingstockmarket
policy astheirinteractionexertssignificantly onstockmarketbehaviour,thusbothpoliciesshouldbeconsideredintandem.
Keywords
H Social Sciences (General), HF5601 Accounting