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
1. Verfasser:	CHEN, SHIU-SHENG
Format:	Artikel
Sprache:	eng
Schlagworte:	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
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