The time varying effect of monetary policy on stock returns
Dennis Jansen and
Economics Letters, 2017, vol. 160, issue C, 54-58
We find that a surprise increase on the federal funds rate has five times stronger and statistically significant effects on stock returns during 2000–2007, versus statistically insignificant effects during 1989–2000. These differences are not apparent in the bond markets.
Keywords: Monetary Policy transmission; Stock prices; Time varying parameter model (search for similar items in EconPapers)
JEL-codes: E52 E44 G14 C22 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:160:y:2017:i:c:p:54-58
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