Enflasyon hedeflemesi çerçevesinde para politikası ve pay senedi fiyatları arasındaki ilişki

Monetary authorities use monetary policy to achieve their objectives. Keeping inflation stable, at low levels is the main objective of central banks. While central banks use monetary policy to control inflation, its decisions also impact the overall economy and financial market. The aim of this research is to investigate the relationship of monetary policy with stock prices in countries that have implemented inflation targeting, by dividing the chosen countries in two groups, emerging and developed market economies. This research is organized in four chapters. The first chapter is a theoretical background about the aims, objectives, instruments, and decisions of monetary policy. In the second chapter, we use ARDL Bound testing approach to investigate the relationship between inflation and stock prices. By analyzing monthly data, we conclude that there is a negative long-run relationship among variables, although the rate of inflation is not a significant determinant of stock prices. In the third chapter, we use GARCH(1:1) and ARDL Bound testing approach to analyze the relationship between short term interest rate and stock prices. The results show that in all developed markets there is a negative long-run relationship between the short-term interest rate and stock prices. Regarding emerging market economies, this relationship is negative in countries where inflation target is achieved, and positive in countries where is not achieved. In the last chapter, we analyze daily data of stock indices and S&P1200 Global index by using Johansson Cointegration, Gregory-Hansen, and a simple version of CAPM to investigate the long-run and short-run diversification opportunities. Our results suggest that stock markets are cointegrated in long run however in short run investors may benefit by investing in stock markets of Mexico, Brazil, Canada, Chile, Iceland, Israel, and UK. Keywords: monetary policy, inflation targeting, stock prices, diversification