The time varying effect of monetary policy on stock returns
Dennis Jansen and
Anastasia Zervou ()
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:160:y:2017:i:c:p:54-58
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().