Bordo, Michael D.; Dueker, Michael J.; Wheelock, David C. - Federal Reserve Bank of St. Louis - 2009
This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. We use a latent-variable VAR to estimate the impact of inflation and other macroeconomic shocks on a latent index of stock market conditions. Our...