Bjørnland, Hilde C.; Leitemo, Kai - In: Journal of Monetary Economics 56 (2009) 2, pp. 275-282
We estimate the interdependence between US monetary policy and the S&P 500 using structural vector autoregressive (VAR) methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a combination of short-run and long-run restrictions...