Does Monetary Policy Have Asymmetric Effects on Stock Returns?
This paper investigates whether monetary policy has asymmetric effects on stock returns using Markov-switching models. Different measures of a monetary policy stance are adopted. Empirical evidence from monthly returns on the Standard & Poor's 500 price index suggests that monetary policy h...
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| Veröffentlicht in: | Journal of money, credit and banking credit and banking, 2007-03, Vol.39 (2-3), p.667-688 |
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| container_end_page | 688 |
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| container_issue | 2-3 |
| container_start_page | 667 |
| container_title | Journal of money, credit and banking |
| container_volume | 39 |
| creator | CHEN, SHIU-SHENG |
| description | This paper investigates whether monetary policy has asymmetric effects on stock returns using Markov-switching models. Different measures of a monetary policy stance are adopted. Empirical evidence from monthly returns on the Standard & Poor's 500 price index suggests that monetary policy has larger effects on stock returns in bear markets. Furthermore, it is shown that a contractionary monetary policy leads to a higher probability of switching to the bear-market regime. |
| doi_str_mv | 10.1111/j.0022-2879.2007.00040.x |
| format | Article |
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Different measures of a monetary policy stance are adopted. Empirical evidence from monthly returns on the Standard & Poor's 500 price index suggests that monetary policy has larger effects on stock returns in bear markets. 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Different measures of a monetary policy stance are adopted. Empirical evidence from monthly returns on the Standard & Poor's 500 price index suggests that monetary policy has larger effects on stock returns in bear markets. 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Different measures of a monetary policy stance are adopted. Empirical evidence from monthly returns on the Standard & Poor's 500 price index suggests that monetary policy has larger effects on stock returns in bear markets. Furthermore, it is shown that a contractionary monetary policy leads to a higher probability of switching to the bear-market regime.</abstract><cop>Malden, USA</cop><pub>Blackwell Publishing Inc</pub><doi>10.1111/j.0022-2879.2007.00040.x</doi><tpages>22</tpages><oa>free_for_read</oa></addata></record> |
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| identifier | ISSN: 0022-2879 |
| ispartof | Journal of money, credit and banking, 2007-03, Vol.39 (2-3), p.667-688 |
| issn | 0022-2879 1538-4616 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_36638664 |
| source | Wiley Online Library Journals Frontfile Complete; Jstor Complete Legacy |
| subjects | Analysis Asymmetry Bank credit Bear markets Bears Bull markets Critical values E32 E52 Federal funds rate Finance Forecasts and trends G10 Linear models Market trend/market analysis Markov analysis Markov-switching Markovian processes Monetary policy Prices and rates Probability Securities markets Stock exchange Stock market Stock markets Stock prices Stock returns Stocks Studies Transition probabilities U.S.A Vector autoregression |
| title | Does Monetary Policy Have Asymmetric Effects on Stock Returns? |
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