This paper analyses the relationship between monetary policy and asset prices using a structural rational expectations model that allows for the effect of asset prices on aggregate demand. We assume that asset prices follow a partial adjustment mechanism whereas they are positively affected by...

This paper provides new evidence on the relationship between relative price variability and inflation. The model uses a consistently defined data set for nine European countries. It benefits from the inclusion and testing of the effects of macroeconomic variables and the incorporation into the...

This paper investigates the impact of monetary policy on stock returns in thirteen OECD countries over the period 1972-2002. Our results indicate that monetary policy shifts significantly affect stock returns, thereby supporting the notion of monetary policy transmission via the stock market....

This paper re-evaluates the time series properties of financial ratios. It presents new empirical analysis which explicitly allows for the possibility that financial ratios can be characterized as non-linear mean-reverting processes. Financial ratios are widely employed as explanatory variables...

The generally accepted factors that determine the bid-ask spread are volatility, trading volume and market value (<link rid="b2">Atkins and Dyl, 1997</link>; <link rid="b11">Glosten and Harris, 1988</link>; and <link rid="b22">Menyah and Paudyal, 2000</link>). Following <link rid="b19">Kim and Verrecchia (1994)</link> we include a measure of the disagreement in analysts' earnings...