Asset prices, monetary policy, and aggregate fluctuations: An empirical investigation

Lichao Cheng and Yi Jin

Economics Letters, 2013, vol. 119, issue 1, 24-27

Abstract: This paper studies empirically the dynamic interactions between asset prices, monetary policy, and aggregate fluctuations in the U.S. during the Volcker–Greenspan period. Results from a simple structural vector autoregression indicate that monetary policy reacts directly to the term spread and indirectly to stock prices and house prices via output and inflation, that there is an asymmetry in the interactions between asset prices and aggregate activity, and that asset prices exhibit positive comovement.

Keywords: House prices; Stock prices; Term structure; Monetary policy; Structural vector autoregressions (search for similar items in EconPapers)
JEL-codes: E31 E32 E44 E52 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:119:y:2013:i:1:p:24-27

DOI: 10.1016/j.econlet.2013.01.005

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