Why good economic news depressed stock and bond prices in 1996

Why good economic news depressed stock and bond prices in 1996

In the spring of 1996 good economic news depressed asset prices. This could have occurred because investors feared either inflation or a monetary contraction. Using a model with time-varying risk this paper presents evidence supporting the monetary contraction hypothesis.

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Bibliographische Detailangaben
Veröffentlicht in:Economics letters 1997-07, Vol.54 (3), p.253-257
Hauptverfasser: Thorbecke, Willem, Coppock, Lee
Format: Artikel
Sprache:eng
Schlagworte:
Bonds
Economic conditions
Monetary policy
Stock prices
Time-varying risk
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Zusammenfassung:In the spring of 1996 good economic news depressed asset prices. This could have occurred because investors feared either inflation or a monetary contraction. Using a model with time-varying risk this paper presents evidence supporting the monetary contraction hypothesis.
ISSN:0165-1765
1873-7374
DOI:10.1016/S0165-1765(97)00038-4