Asset Prices, Monetary Policy, and Aggregate Fluctuations: An Empirical Investigation

Lichao Cheng, Yi Jin () and Zhixiong Zeng

No 13-11, Monash Economics Working Papers from Monash University, Department of Economics

Abstract: This paper studies empirically the dynamic interactions between asset prices, monetary policy, and aggregate fluctuations during the Volcker-Greenspan period. Using a simple structural vector autoregression framework, we investigate the effects of monetary policy on output, inflation and asset prices, the interactions of asset prices with the aggregate economy, as well as the relationship between stock price and house price. Several robust findings emerge. The systematic response of monetary policy to output and inflation is also found to play an important role in stabilizing the aggregate economy. In addition, the results call for special attention to be paid to house price when studying the dynamic relationships between asset prices and macroeconomic fluctuations.

Keywords: House prices; stock prices; systematic monetary policy; structural vector autoregressions. (search for similar items in EconPapers)
JEL-codes: E31 E32 E44 E52 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2011-06
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.buseco.monash.edu.au/eco/research/paper ... iceschengyinzeng.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://www.buseco.monash.edu.au/eco/research/papers/2011/1311assetpriceschengyinzeng.pdf [301 Moved Permanently]--> https://www.monash.edu/business/ [301 Moved Permanently]--> https://www.monash.edu/business)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mos:moswps:2011-13

Ordering information: This working paper can be ordered from
https://www.monash.e ... esearch/publications

Access Statistics for this paper

More papers in Monash Economics Working Papers from Monash University, Department of Economics Department of Economics, Monash University, Victoria 3800, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Simon Angus ().