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Monetary policy and fixed income returns

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Author Info

  • Johnson, Robert R.
  • Buetow, Gerald W.
  • Jensen, Gerald R.
  • Reilly, Frank K.
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    Abstract

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    File URL: http://www.sciencedirect.com/science/article/B6W5X-47C3YC3-4/2/1de96962b8da088df109842f1c2d30c4
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    Bibliographic Info

    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 43 (2003)
    Issue (Month): 1 ()
    Pages: 133-146

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    Handle: RePEc:eee:quaeco:v:43:y:2003:i:1:p:133-146

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    Web page: http://www.elsevier.com/locate/inca/620167

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    References

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    1. John Y. Campbell, 1995. "Some Lessons from the Yield Curve," NBER Working Papers 5031, National Bureau of Economic Research, Inc.
    2. Ben S. Bernanke & Alan S. Blinder, 1989. "The federal funds rate and the channels of monetary transmission," Working Papers 89-10, Federal Reserve Bank of Philadelphia.
    3. Douglas K. Pearce & V. Vance Roley, 1985. "Stock Prices and Economic News," NBER Working Papers 1296, National Bureau of Economic Research, Inc.
    4. Thorbecke, Willem, 1997. " On Stock Market Returns and Monetary Policy," Journal of Finance, American Finance Association, vol. 52(2), pages 635-54, June.
    5. Campbell, J.Y. & Ammer, J., 1991. "What Moves The Stock And Bond Markets? A Variance Decomposition For Long- Term Asset Returns," Papers 127, Princeton, Department of Economics - Financial Research Center.
    6. Thorbecke, Willem, 2000. "Monetary Policy, Time-Varying Risk, and the Bond Market Debacle of 1994," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 159-174, January.
    7. Thorbecke, Willem & Alami, Tarik, 1992. "The federal funds rate and the arbitrage pricing theory: Evidence that monetary policy matters," Journal of Macroeconomics, Elsevier, vol. 14(4), pages 731-744.
    8. Christina D. Romer & David H. Romer, 1996. "Federal Reserve Private Information and the Behavior of Interest Rates," NBER Working Papers 5692, National Bureau of Economic Research, Inc.
    9. Cook, Timothy & Hahn, Thomas, 1988. "The Information Content of Discount Rate Announcements and Their Effect on Market Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(2), pages 167-80, May.
    10. V. Vance Roley & Rick Troll, 1984. "The impact of discount rate changes on market interest rates," Economic Review, Federal Reserve Bank of Kansas City, issue Jan, pages 27-39.
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    Cited by:
    1. Jensen, Gerald R. & Mercer, Jeffrey M., 2006. "Security markets and the information content of monetary policy turning points," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 477-494, September.
    2. Vähämaa, Sami, 2004. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Working Paper Series 0315, European Central Bank.

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