The impact of monetary policy on value and growth stocks: An international evaluation

Angela J Black

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This paper examines the influence of the monetary policy environment on the mean and conditional variance of value and growth stock returns. Using international data for 17 countries from 1975 to 2000, a threshold autoregressive conditional heteroscedastic model (TARCH), in addition to regression analysis, is used to analyse the influence of the local monetary regime and a global monetary regime (proxied by US monetary policy). Overall, the findings suggest that the stance of monetary policy has an asymmetric effect on value and growth stocks. For example, the returns on value stocks in France, Germany, the Netherlands, Spain, Sweden and the US are likely to be around 2 per cent lower in a restrictive monetary policy regime relative to growth stocks. In comparison, US monetary policy has a symmetric impact on UK value and growth stocks, while monetary policy in the UK has a negligible effect on value and growth stocks in the UK.

Original languageEnglish
Pages (from-to)142-172
Number of pages30
JournalJournal of Asset Management
Issue number2
Publication statusPublished - 2002


  • value stocks
  • growth stocks
  • value premium
  • monetary policy


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