EconPapers    
Economics at your fingertips  
 

The Asymmetric Effects of Monetary Policy on Stock Market

Cheng Jiang ()
Additional contact information
Cheng Jiang: Department of Finance, Fox School of Business and Management, Temple University, Philadelphia PA 19122, USA

Quarterly Journal of Finance (QJF), 2018, vol. 08, issue 03, 1-27

Abstract: This paper shows that the effects of expansionary monetary policy on the U.S. stock market are asymmetric across different monetary policy phases and different stock market regimes. A Markov-switching dynamic factor model dates the periods of stock market regimes, and generates a new composite measure for overall stock market movements. A time-varying parameter analysis finds that an expansionary monetary policy such as an increase in monetary aggregates or a decrease in the Federal funds rate has positive impacts on stock returns only during the periods in which they are used as monetary policy targets by the Federal Reserve.

Keywords: Monetary policy; stock market; Markov-switching dynamic factor model; time-varying parameter analysis (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S2010139218500088
Access to full text is restricted to subscribers

Related works:
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:wsi:qjfxxx:v:08:y:2018:i:03:n:s2010139218500088

Ordering information: This journal article can be ordered from

DOI: 10.1142/S2010139218500088

Access Statistics for this article

Quarterly Journal of Finance (QJF) is currently edited by Fernando Zapatero

More articles in Quarterly Journal of Finance (QJF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().

 
Page updated 2025-03-20
Handle: RePEc:wsi:qjfxxx:v:08:y:2018:i:03:n:s2010139218500088