Why Does the Fed React to the Stock Market Changes? : A Covariance Decomposition Analysis

This paper investigates the factors that affect the covariance between the federal funds rate and stock returns. I estimate a VAR system and implement covariance decomposition analysis. Most of the covariance between the federal funds rate and stock returns is affected by changes in stock market and output. These results conclude that the Fed is actually targeting stock returns directly

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Year of publication:	2011
Authors:	Tas, Bedri Kamil Onur
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Geldpolitik \| Monetary policy \| Börsenkurs \| Share price \| Aktienmarkt \| Stock market \| Dekompositionsverfahren \| Decomposition method \| Schätzung \| Estimation \| Kapitaleinkommen \| Capital income

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Extent:	1 Online-Ressource (10 p)
Series:	TOBB University of Economics and Technology Department of Economics Working Paper ; No. 09-05
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 1, 2009 erstellt
Other identifiers:	10.2139/ssrn.1827842 [DOI]
Classification:	E44 - Financial Markets and the Macroeconomy ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies ; E61 - Policy Objectives; Policy Designs and Consistency; Policy Coordination ; C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013125852