Does monetary policy have asymmetric effects on stock returns?
Resource
Journal of Money, Credit, and Banking, ?39(2-3), 667-688
Journal
Journal of Money, Credit and Banking
Journal Volume
39
Journal Issue
2-3
Pages
667-688
Date Issued
2007
Author(s)
Abstract
This paper investigates whether monetary policy has asymmetric effects on stock returns using Markov‐switching models. Different measures of a monetary policy stance are adopted. Empirical evidence from monthly returns on the Standard & Poor's 500 price index suggests that monetary policy has larger effects on stock returns in bear markets. Furthermore, it is shown that a contractionary monetary policy leads to a higher probability of switching to the bear‐market regime.
SDGs
Type
journal article
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