On Stock Market Returns and Monetary Policy

Willem Thorbecke

Journal of Finance, 1997, vol. 52, issue 2, 635-54

Abstract: Financial economists have long debated whether monetary policy is neutral. This article addresses this question by examining how stock return data respond to monetary policy shocks. Monetary policy is measured by innovations in the federal funds rate and nonborrowed reserves, by narrative indicators, and by an event study of Federal Reserve policy changes. In every case the evidence indicates that expansionary policy increases ex post stock returns. Results from estimating a multifactor model also indicate that exposure to monetary policy increases an asset's ex ante return. Copyright 1997 by American Finance Association.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (452)

Downloads: (external link)
http://links.jstor.org/sici?sici=0022-1082%2819970 ... O%3B2-Y&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: On Stock Market Returns and Monetary Policy (1998)
Working Paper: On Stock Market Returns and Monetary Policy (1995)
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:bla:jfinan:v:52:y:1997:i:2:p:635-54

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().