The time varying effect of monetary policy on stock returns
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. •Stock returns respond stro...
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| Veröffentlicht in: | Economics letters 2017-11, Vol.160, p.54-58 |
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| container_end_page | 58 |
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| container_start_page | 54 |
| container_title | Economics letters |
| container_volume | 160 |
| creator | Jansen, Dennis W. Zervou, Anastasia |
| description | 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.
•Stock returns respond strongly to monetary policy surprises during the 2000s.•Stock returns do not respond to monetary policy surprises during the 1990s.•Bond markets do not demonstrate such time variation.•Monetary policy’s time varying effect is driven by events in the stock market. |
| doi_str_mv | 10.1016/j.econlet.2017.08.022 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0165-1765 |
| ispartof | Economics letters, 2017-11, Vol.160, p.54-58 |
| issn | 0165-1765 1873-7374 |
| language | eng |
| recordid | cdi_proquest_journals_1971626953 |
| source | PAIS Index; Elsevier ScienceDirect Journals |
| subjects | Bond markets Bonds Federal funds rate Monetary policy Monetary Policy transmission Stock prices Studies Time varying parameter model |
| title | The time varying effect of monetary policy on stock returns |
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