Title of article
Identifying theinterdependencebetweenUSmonetarypolicy and thestockmarket$
Author/Authors
Hilde C.Bj?rnland، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
8
From page
275
To page
282
Abstract
WeestimatetheinterdependencebetweenUSmonetarypolicyandtheS&P500using
structuralvectorautoregressive(VAR)methodology.Asolutionisproposedtothe
simultaneityproblemofidentifyingmonetaryandstockpriceshocksbyusinga
combinationofshort-runandlong-runrestrictionsthatmaintainsthequalitative
properties ofamonetarypolicyshockfoundintheestablishedliterature[Christiano,L.J.,
Eichenbaum,M.,Evans,C.L.,1999.Monetarypolicyshocks:whathavewelearnedandto
what end?In:Taylor,J.B.,Woodford,M.(Eds.),HandbookofMacroeconomics,vol.1A.
Elsevier,NewYork,pp.65–148].Wefindgreatinterdependencebetweentheinterest
ratesettingandrealstockprices.Realstockpricesimmediatelyfallbyseventonine
percent duetoamonetarypolicyshockthatraisesthefederalfundsrateby100basis
points.Astockpriceshockincreasingrealstockpricesbyonepercentleadstoan
increase intheinterestrateofcloseto4basispoints.
Keywords
VARMonetary policyAsset pricesIdentification
Journal title
Journal of Monetary Economics
Serial Year
2008
Journal title
Journal of Monetary Economics
Record number
846291
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