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Monetary Policy, Aggregate Uncertainty, and the Stock Market

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Author Info
Boyle, Glenn W
Peterson, James D

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Abstract

The authors develop and analyze a simple general equilibrium model of asset pricing in a monetary economy where the growth rate in money is partially determined by the policy of the monetary authority. Their model implies that the relationship between stock prices and consumption risk is systematically dependent on the monetary policy regime, indicates that a rise in the 'noise' associated with a given future monetary policy unambiguously increases current stock prices, and formalizes the Geske-Roll (1983) explanation for the observed negative correlation between stock returns and inflation. Copyright 1995 by Ohio State University Press.

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File URL: http://links.jstor.org/sici?sici=0022-2879%28199505%2927%3A2%3C570%3AMPAUAT%3E2.0.CO%3B2-J&origin=bc
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Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 27 (1995)
Issue (Month): 2 (May)
Pages: 570-82
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Handle: RePEc:mcb:jmoncb:v:27:y:1995:i:2:p:570-82

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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  1. Paul Söderlind, 2006. "Monetary Policy Effects on Financial Risk Premia," University of St. Gallen Department of Economics working paper series 2006 2006-26, Department of Economics, University of St. Gallen. [Downloadable!]
  2. Travis D. Nesmith, 2005. "Solving stochastic money-in-the-utility-function models," Finance and Economics Discussion Series 2005-52, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  3. Robert-Paul Berben, 2003. "Does stock market uncertainty impair the use of monetary indicators in the euro area?," MEB Series (discontinued) 2003-15, Netherlands Central Bank, Monetary and Economic Policy Department.
  4. Ralph Chami & Thomas F. Cosimano & Connel Fullenkamp, 2001. "Capital Trading, Stock Trading, and the Inflation Tax on Equity," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(3), pages 575-606, July. [Downloadable!] (restricted)
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