Does Monetary Policy Have Asymmetric Effects on Stock Returns?

Shiu-Sheng Chen

Journal of Money, Credit and Banking, 2007, vol. 39, issue 2-3, 667-688

Abstract: This paper investigates whether monetary policy has asymmetric effects on stock returns using Markov-switching models. Different measures of a monetary policy stance are adopted. Empirical evidence from monthly returns on the Standard & Poor's 500 price index suggests that monetary policy has larger effects on stock returns in bear markets. Furthermore, it is shown that a contractionary monetary policy leads to a higher probability of switching to the bear-market regime. Copyright 2007 The Ohio State University.

Date: 2007
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Journal Article: Does Monetary Policy Have Asymmetric Effects on Stock Returns? (2007)
Working Paper: Does Monetary Policy Have Asymmetric Effects on Stock Returns? (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:39:y:2007:i:2-3:p:667-688

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