Title of article
Predicting Markov volatility switches using monetary policy variables
Author/Authors
Martin Sola، نويسنده , , Fabio Spagnolo، نويسنده , , Nicola Spagnolo، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
7
From page
110
To page
116
Abstract
This paper presents a procedure to analyze the reaction of stock market returns and output growth volatility to monetary policy. In particular, we study whether shifts in the variance of returns and GDP growth can be predicted by changes in a monetary policy indicator. An empirical application to US data is examined and discussed.
Keywords
Monetary policy , Output growth , Stock prices , Volatility , Markov switching
Journal title
Economics Letters
Serial Year
2007
Journal title
Economics Letters
Record number
436197
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