Vol. 3, Issue 1, Part B (2017)

Abstract
In order to analyze the sources of fluctuations in stock returns, a standard complete structural macro model is probably required. Using the vector autoregressive (VAR) framework, this study empirically documents the impulse response functions of monetary policy variables and stock market The analysis is carried out by considering monthly changes of the Reserve Bank of India data of Exchange rate, Broad money, Inflation with Index values of Nifty Fifty from 2000 to 2016 .The analysis concludes that shocks of past values stock returns impacts on stock returns by itself and other monetary policy variables impact on stock returns is however less significant.