Nonlinear relationship between monetary policy and stock returns : evidence from the U.S.
Year of publication: |
2023
|
---|---|
Authors: | Chauvet, Marcelle ; Jiang, Cheng |
Published in: |
Global finance journal. - Amsterdam [u.a.] : Elsevier Inc., ISSN 1044-0283, ZDB-ID 1117243-5. - Vol. 55.2023, p. 1-14
|
Subject: | Kalman filter | Markov-switching dynamic bi-factor model | Monetary policy | Stock market | Geldpolitik | USA | United States | Aktienmarkt | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Zustandsraummodell | State space model | VAR-Modell | VAR model | Schätzung | Estimation |
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