The time varying effect of monetary policy on stock returns

被引：14
|
作者：
Jansen, Dennis W. [1 ]
Zervou, Anastasia [2 ]
机构：
[1] Texas A&M Univ, College Stn, TX 77843 USA
[2] Univ Texas Austin, 2225 Speedway, Austin, TX 78712 USA
来源：
ECONOMICS LETTERS | 2017年 / 160卷
基金：
新加坡国家研究基金会;
关键词：
Monetary Policy transmission; Stock prices; Time varying parameter model; FEDERAL-RESERVE; MARKETS REACTION; BUBBLES;
D O I：
10.1016/j.econlet.2017.08.022
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We find that a surprise increase on the federal funds rate has five times stronger and statistically significant effects on stock returns during 2000-2007, versus statistically insignificant effects during 1989-2000. These differences are not apparent in the bond markets. (C) 2017 Elsevier B.V. All rights reserved.
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页码：54 / 58
页数：5
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