Narrow search
Showing 1 - 10 of 23,356
Cover Image
Financial intermediaries and speculation in the foreign exchange market : the role of monetary policy in Iran's economy
Sadeghi, Abdorasoul; Marzban, Hussein; Samadi, Ali Hussein - In: Journal of economic structures : JES; the official … 11 (2022), pp. 1-26
Given the high fluctuations of the general price level, the importance of investment, and accessing sufficient financial resources, we examine the effects of monetary policy on the nominal (Inflation) and real (Investment) sectors of a developing economy, like Iran, through the channel of the...
Persistent link: https://www.econbiz.de/10013459442
Cover Image
A New Keynesian Q Theory and the Link between Inflation and the Stock Market
Lopez, Pierlauro - 2018
I show that when prices are sticky the Q theory of firms' behavior predicts that market-book ratios increase as … when stock prices and inflation move in opposite directions. Therefore, this New Keynesian Q (NKQ) theory can rationalize … theory of investment. To estimate and test the NKQ equation, I rely on weak implications of the theory with strong economic …
Persistent link: https://www.econbiz.de/10012938592
Cover Image
Volatility in Equity Markets and Monetary Policy Rate Uncertainty
Kaminska, Iryna - 2018
link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses …
Persistent link: https://www.econbiz.de/10012925787
Cover Image
Monetary Policy, Stock Market and Sectoral Comovement
Guérin, Pierre - 2017
This paper evaluates the role that sectoral comovement plays in the propagation of monetary policy shocks on the stock market. In doing so, we introduce a factor-augmented vector autoregressive model with heterogeneous regime-switching factor loadings, denoted as MS2-FAVAR, that allows us to...
Persistent link: https://www.econbiz.de/10012949230
Cover Image
Central Banks, Stock Markets, and the Real Economy
Caballero, Ricardo J.; Simsek, Alp - National Bureau of Economic Research - 2024
This article summarizes empirical research on the interaction between monetary policy and asset markets, and reviews our previous theoretical work that captures these interactions. We present a concise model in which monetary policy impacts the aggregate asset price, which in turn influences...
Persistent link: https://www.econbiz.de/10014468253
Cover Image
The 'Fed Model' and the Changing Correlation of Stock and Bond Returns : An Equilibrium Approach
Hasseltoft, Henrik - 2009
This paper presents an equilibrium model that provides a rational explanation for two features of data that have been considered puzzling: The positive relation between US dividend yields and nominal interest rates, often called the Fed-model, and the time-varying correlation of US stock and...
Persistent link: https://www.econbiz.de/10014209829
Cover Image
The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...
Persistent link: https://www.econbiz.de/10010395968
Cover Image
Response of stock markets to monetary policy : an Asian stock market perspective
Yoshino, Naoyuki; Taghizadeh-Hesary, Farhad; … - 2014
We estimate the response of Asian stock market prices to exogenous monetary policy shocks using a vector error correction model. In our paper, monetary policy transmits to stock market price through three routes: money by itself, exchange rate, and inflation. Our result points to the fact that...
Persistent link: https://www.econbiz.de/10010400823
Cover Image
Response of Stock Markets to Monetary Policy : An Asian Stock Market Perspective
Yoshino, Naoyuki - 2014
We estimate the response of Asian stock market prices to exogenous monetary policy shocks using a vector error correction model. In our paper, monetary policy transmits to stock market price through three routes: money by itself, exchange rate, and inflation. Our result points to the fact that...
Persistent link: https://www.econbiz.de/10013047914
Cover Image
The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
Gospodinov, Nikolay - 2015
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...
Persistent link: https://www.econbiz.de/10013026088