Narrow search
Showing 1 - 10 of 304
Cover Image
Monetary Policy through Production Networks : Evidence from the Stock Market
Ozdagli, Ali - 2017
Monetary policy shocks have a large impact on stock returns in narrow windows around press releases by the Federal Reserve. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and an indirect (network) effect. We attribute 50%-85% of the...
Persistent link: https://www.econbiz.de/10012455257
Cover Image
The Stock Market and Capital Accumulation
Hall, Robert E. - 1999
If firms purchase capital up to the point where there is no further marginal benefit, and the firms' securities are equal in value to the capital, then the market value of securities measures the quantity of capital. I explore the implications of this hypothesis using data from U.S. non-farm,...
Persistent link: https://www.econbiz.de/10012471608
Cover Image
Inflation, monetary policy and stock market conditions
Bordo, Michael D. (contributor); Dueker, Michael (contributor) - 2008
"This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. We estimate a latent variable VAR to examine how macroeconomic and policy shocks affect the condition of the stock market. Further, we examine the...
Persistent link: https://www.econbiz.de/10003741414
Cover Image
Inflation, Monetary Policy and Stock Market Conditions
Bordo, Michael D. - 2008
This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. We estimate a latent variable VAR to examine how macroeconomic and policy shocks affect the condition of the stock market. Further, we examine the...
Persistent link: https://www.econbiz.de/10012464627
Cover Image
Does Expansionary Monetary Policy Cause Asset Price Booms; Some Historical and Empirical Evidence
Bordo, Michael D. - 2013
In this paper we investigate the relationship between loose monetary policy, low inflation, and easy bank credit with asset price booms. Using a panel of up to 18 OECD countries from 1920 to 2011 we estimate the impact that loose monetary policy, low inflation, and bank credit has on house,...
Persistent link: https://www.econbiz.de/10012459076
Cover Image
Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024
-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong …
Persistent link: https://www.econbiz.de/10014576665
Cover Image
Changing impact of shocks : a time-varying proxy SVAR approach
Mumtaz, Haroon; Petrova, Katerina - 2018
In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...
Persistent link: https://www.econbiz.de/10011933414
Cover Image
Fiscal policy shocks and stock prices in the United States
Mumtaz, Haroon; Theodoridis, Konstantinos - 2017
1980. Over the period 1955-1980 an expansionary spending or revenue shock was associated with modestly higher stock prices …. After 1980, along with a decline in the fiscal multiplier, the response of stock prices to the same shock became negative …
Persistent link: https://www.econbiz.de/10011627039
Cover Image
Monetary Policy and Asset Price Volatility
Bernanke, Ben - 2000
We explore the implications of asset price volatility for the management of monetary policy. We show that it is desirable for central banks to focus on underlying inflationary pressures. Asset prices become relevant only to the extent they may signal potential inflationary or deflationary...
Persistent link: https://www.econbiz.de/10012471216
Cover Image
Inflation, Tax Rules, and the Stock Market
Feldstein, Martin - 1979
This paper shows how the interaction of tax rules and expected inflation can decrease substantially the share price per dollar of pretax earnings. The current analysis extends my earlier study [Feldstein (1978)] by recognizing corporate debt, retained earnings, and the role of diverse...
Persistent link: https://www.econbiz.de/10012478744