We examine how monetary policy of the Federal Reserve System, COVID-19 mortality cases, and vaccinations are associated with the US stock market volatility during the pandemic period. Using the wavelet coherence analysis, we first find that there is a positive relationship between the volatility...

This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We...

"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...