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Citations for "Measuring the Reaction of Monetary Policy to the Stock Market"

by Roberto Rigobon & Brian Sack

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  1. Francesco Furlanetto, 2011. "Does Monetary Policy React to Asset Prices? Some International Evidence," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 91-111, September.
  2. Wasim Shahid Malik, 2007. "Monetary Policy Objectives in Pakistan : An Empirical Investigation," Macroeconomics Working Papers 22212, East Asian Bureau of Economic Research.
  3. Demir, Ishak, 2012. "ECB Policy Response to the Euro/US Dollar Exchange Rate," MPRA Paper 36744, University Library of Munich, Germany.
  4. Mohammed Bouaddi & Abderrahim Taamouti, 2012. "Portfolio risk management in a data-rich environment," Financial Markets and Portfolio Management, Springer, Springer, vol. 26(4), pages 469-494, December.
  5. gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004. "Testing For Contagion: A Conditional Correlation Analysis," International Finance, EconWPA 0406003, EconWPA.
  6. Helmut Lütkepohl & Aleksei Netsunajev, 2012. "Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs," Discussion Papers of DIW Berlin 1195, DIW Berlin, German Institute for Economic Research.
  7. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Monetary Policy Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
  8. Hoffmann, Andreas, 2013. "Did the Fed and ECB react asymmetrically with respect to asset market developments?," Journal of Policy Modeling, Elsevier, Elsevier, vol. 35(2), pages 197-211.
  9. Kajuth, Florian, 2012. "Identifying the Phillips curve through shifts in volatility," Journal of Macroeconomics, Elsevier, Elsevier, vol. 34(4), pages 975-991.
  10. Bedri Kamil Onur Tas, 2009. "Why Does the Fed React to the Stock Market Changes?: A Covariance Decomposition Analysis," Working Papers, TOBB University of Economics and Technology, Department of Economics 0905, TOBB University of Economics and Technology, Department of Economics.
  11. repec:cbi:wpaper:10/rt/05 is not listed on IDEAS
  12. Yu Hsing, 2004. "Estimating the Bank of Japan's monetary policy reaction function," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, Banca Nazionale del Lavoro, vol. 57(229), pages 169-183.
  13. J. Rodrigo Fuentes S. & Marcelo Ochoa C., 2007. "Política Monetaria, Precios de Activos y Estabilidad Financiera: Una Revisión de la Literatura," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 10(3), pages 115-127, December.
  14. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008. "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers 14019, National Bureau of Economic Research, Inc.
  15. Helmut Lütkepohl, 2013. "Reducing confidence bands for simulated impulse responses," Statistical Papers, Springer, Springer, vol. 54(4), pages 1131-1145, November.
  16. Julie Agnew & Pierluigi Balduzzi, 2012. "The Reluctant Retirement Trader: Do Asset Returns Overcome Inertia?," NFI Working Papers, Indiana State University, Scott College of Business, Networks Financial Institute 2012-WP-01, Indiana State University, Scott College of Business, Networks Financial Institute.
  17. Michael Owyang & Garey Ramey, 2003. "Regime switching and monetary policy measurement," Working Papers, Federal Reserve Bank of St. Louis 2001-002, Federal Reserve Bank of St. Louis.
  18. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2012. "The impact of monetary policy decisions on stock returns: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 22(3), pages 487-507.
  19. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2013. "Do monetary policy announcements affect stock prices in emerging market countries? The case of Thailand," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 23(5), pages 446-469.
  20. Michael Ehrmann & Marcel Fratzscher, 2009. "Global Financial Transmission of Monetary Policy Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 71(6), pages 739-759, December.
  21. I. Arnold & P.J.A. van Els & J. de Haan, 2002. "Wealth Effects and Monetary Policy," WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department 719, Netherlands Central Bank, Research Department.
  22. Hafedh Bouakez & Foued Chihi & Michel Normandin, 2011. "Fiscal Policy and External Adjustment: New Evidence," Cahiers de recherche, CIRPEE 1123, CIRPEE.
  23. Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2013-016-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  24. Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2013. "Stock market reaction to fed funds rate surprises: State dependence and the financial crisis," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(11), pages 4025-4037.
  25. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, Elsevier, vol. 73(2), pages 251-277, November.
  26. He, Ling T., 2006. "Variations in effects of monetary policy on stock market returns in the past four decades," Review of Financial Economics, Elsevier, Elsevier, vol. 15(4), pages 331-349.
  27. Arouri, Mohamed & Jawadi, Fredj & Nguyen, Duc Khuong, 2013. "What can we tell about monetary policy synchronization and interdependence over the 2007–2009 global financial crisis?," Journal of Macroeconomics, Elsevier, Elsevier, vol. 36(C), pages 175-187.
  28. Efrem Castelnuovo & Salvatore Nisticò, 2010. "Stock Market Conditions and Monetary Policy in a DSGE Model for the U.S," "Marco Fanno" Working Papers, Dipartimento di Scienze Economiche "Marco Fanno" 0107, Dipartimento di Scienze Economiche "Marco Fanno".
  29. Farka, Mira, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, Elsevier, Elsevier, vol. 18(1), pages 47-55, January.
  30. Pelin Berkmen & Eduardo A. Cavallo, 2007. "Exchange Rate Policy and Liability Dollarization," IMF Working Papers, International Monetary Fund 07/33, International Monetary Fund.
  31. Hayford, M. D. & Malliaris, A. G., 2005. "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," European Journal of Operational Research, Elsevier, Elsevier, vol. 163(1), pages 20-29, May.
  32. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," CESifo Working Paper Series 4264, CESifo Group Munich.
  33. John, Tatom, 2009. "U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?," MPRA Paper 19762, University Library of Munich, Germany.
  34. Ha Yan Lee & Luca Antonio Ricci & Roberto Rigobon, 2004. "Once Again, is Openness Good for Growth?," NBER Working Papers 10749, National Bureau of Economic Research, Inc.
  35. Shu-Chin Lin & Dong-Hyeon Kim, 2014. "The link between economic growth and growth volatility," Empirical Economics, Springer, Springer, vol. 46(1), pages 43-63, February.
  36. Michael D. Bordo & David C. Wheelock, 2007. "Stock market booms and monetary policy in the twentieth century," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Mar, pages 91-122.
  37. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt9178v9kq, Anderson Graduate School of Management, UCLA.
  38. Luís, Pacheco, 2004. "Asset Prices and Monetary Policy in the Euro Area: a tentative model," MPRA Paper 6579, University Library of Munich, Germany.
  39. Jordi Galí & Luca Gambetti, 2013. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," Working Papers 724, Barcelona Graduate School of Economics.
  40. Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity," Discussion Papers of DIW Berlin 1356, DIW Berlin, German Institute for Economic Research.
  41. Sousa, Ricardo M., 2010. "Housing wealth, financial wealth, money demand and policy rule: Evidence from the euro area," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 21(1), pages 88-105, March.
  42. Jagjit S. Chadha & Lucio Sarno & Giorgio Valente, 2004. "Monetary Policy Rules, Asset Prices, and Exchange Rates," IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 529-552, November.
  43. Hoffmann, Andreas, 2009. "Fear of depression - Asymmetric monetary policy with respect to asset markets," MPRA Paper 17522, University Library of Munich, Germany.
  44. Michael D. Bordo & David C. Wheelock, 2004. "Monetary policy and asset prices: a look back at past U.S. stock market booms," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Nov, pages 19-44.
  45. Ravn, Søren Hove, 2014. "Asymmetric monetary policy towards the stock market: A DSGE approach," Journal of Macroeconomics, Elsevier, Elsevier, vol. 39(PA), pages 24-41.
  46. Pavlova, Anna & Rigobon, Roberto, 2004. "Asset Prices and Exchange Rates," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  47. Jeff Fuhrer & Geoff Tootell, 2004. "Eyes on the prize: how did the Fed respond to the stock market?," Public Policy Discussion Paper, Federal Reserve Bank of Boston 04-2, Federal Reserve Bank of Boston.
  48. Elena Corallo, 2005. "The effect of the war risk: a comparison of the consequences of the two Iraq wars on some financial variables," LIUC Papers in Economics, Cattaneo University (LIUC) 171, Cattaneo University (LIUC).
  49. Stefanescu, Razvan & Dumitriu, Ramona, 2010. "Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania," MPRA Paper 36716, University Library of Munich, Germany, revised 16 Feb 2011.
  50. Ansgar Belke & Thorsten Polleit, 2005. "(How) Do Stock Market Returns React to Monetary Policy? - An ARDL Cointegration Analysis for Germany," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany 253/2005, Department of Economics, University of Hohenheim, Germany.
  51. Davide Ferrari & Antonio Ribba, 2005. "Using an evolving criterion to assess the Federal Reserve's behaviour in recent years," BNL Quarterly Review, Banca Nazionale del Lavoro, Banca Nazionale del Lavoro, vol. 58(235), pages 169-186.
  52. Todd Prono, 2008. "GARCH-based identification and estimation of triangular systems," Risk and Policy Analysis Unit Working Paper, Federal Reserve Bank of Boston QAU08-4, Federal Reserve Bank of Boston.
  53. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper 49093, University Library of Munich, Germany.
  54. Refet S Gürkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 1(1), May.
  55. David E. Weinstein & Christian Broda, 2004. "Globalization And The Gains From Variety," Econometric Society 2004 Latin American Meetings, Econometric Society 327, Econometric Society.
  56. Hilde C. Bjørnland & Kai Leitemo, 2008. "Identifying the interdependence between US monetary policy and the stock market," Working Paper, Norges Bank 2008/04, Norges Bank.
  57. Massimiliano Marzo & Paolo Zagaglia, 2010. "Gold and the U.S. Dollar: Tales from the Turmoil," Working Paper Series, The Rimini Centre for Economic Analysis 08_10, The Rimini Centre for Economic Analysis.
  58. Marcio Garcia & Marcelo Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "The impact of macroeconomic announcements in the Brazilian futures markets," Textos para discussão, Department of Economics PUC-Rio (Brazil) 623, Department of Economics PUC-Rio (Brazil).
  59. Roman Horvath & Jaromir Baxa & Borek Vasicek, 2011. "How Does Monetary Policy Respond to Financial Stress?," EcoMod2011, EcoMod 2769, EcoMod.
  60. Airaudo, Marco & Nisticò, Salvatore & Zanna, Luis-Felipe, 2012. "Learning, Monetary Policy and Asset Prices," School of Economics Working Paper Series, LeBow College of Business, Drexel University 2012-12, LeBow College of Business, Drexel University.
  61. Yu Hsing, 2004. "Estimating the Bank of Japan's monetary policy reaction function," BNL Quarterly Review, Banca Nazionale del Lavoro, Banca Nazionale del Lavoro, vol. 57(229), pages 169-183.
  62. Stefano Neri, 2004. "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 513, Bank of Italy, Economic Research and International Relations Area.
  63. Silvia Sgherri, 2008. "Explicit and implicit targets in open economies," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 40(8), pages 969-980.
  64. Mandler, Martin, 2007. "Decomposing Federal Funds Rate forecast uncertainty using real-time data," MPRA Paper 13498, University Library of Munich, Germany, revised Jan 2009.
  65. Jaromir Baxa & Roman Horvath & Borek Vasicek, 2011. "Time-Varying Monetary-Policy Rules and Financial Stress: Does Financial Instability Matter for Monetary Policy?," Working Papers, Czech National Bank, Research Department 2011/03, Czech National Bank, Research Department.
  66. Geert Bekaert & Marie Hoerova & Marco Lo Duca, 2012. "Risk, uncertainty and monetary policy," Working Paper Research, National Bank of Belgium 229, National Bank of Belgium.
  67. Helmut Lütkepohl & Aleksei Netsunajev, 2014. "Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market," SFB 649 Discussion Papers SFB649DP2014-031, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  68. Driffill, John & Rotondi, Zeno & Savona, Paolo & Zazzara, Cristiano, 2006. "Monetary policy and financial stability: What role for the futures market?," Journal of Financial Stability, Elsevier, Elsevier, vol. 2(1), pages 95-112, April.
  69. Chang, Kuang-Liang & Yu, Shih-Ti, 2013. "Does crude oil price play an important role in explaining stock return behavior?," Energy Economics, Elsevier, Elsevier, vol. 39(C), pages 159-168.
  70. Jawadi Fredj & Mallick Sushanta K. & Sousa Ricardo M., 2014. "Fiscal policy in the BRICs," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 18(2), pages 15, April.
  71. Samad Sarferaz & Francesco Furlanetto & Francesco Furlanetto, 2014. "Identification of Financial Factors in Economic Fluctuations," KOF Working papers, KOF Swiss Economic Institute, ETH Zurich 14-364, KOF Swiss Economic Institute, ETH Zurich.
  72. Aleksei NETSUNAJEV, 2012. "Reaction to Technology Shocks in Markov-Switchings Structural VARs: Identification via heteroskedasticity," Economics Working Papers, European University Institute ECO2012/13, European University Institute.
  73. Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What explains the stock market's reaction to Federal Reserve policy?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2004-16, Board of Governors of the Federal Reserve System (U.S.).
  74. Jansen, Dennis W. & Tsai, Chun-Li, 2010. "Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(5), pages 981-990, December.
  75. Muhammad Naveed Tahir, 2012. "Relative Importance of Monetary Transmission Channels in Inflation Targeting Emerging Economies," EcoMod2012, EcoMod 4092, EcoMod.
  76. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(3), pages 476-489, June.
  77. Ansgar Belke & Thorsten Polleit, 2005. "Monetary Policy and Dividend Growth in Germany: Long-Run Structural Modelling versus Bounds Testing Approach," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany 250/2005, Department of Economics, University of Hohenheim, Germany.
  78. Aliyu, Shehu Usman Rano, 2011. "Reactions of stock market to monetary policy shocks during the global financial crisis: the Nigerian case," MPRA Paper 35581, University Library of Munich, Germany, revised 28 Dec 2011.
  79. Pfajfar, D. & Santoro, E., 2012. "Credit Market Distortions, Asset Prices and Monetary Policy," Discussion Paper, Tilburg University, Center for Economic Research 2012-010, Tilburg University, Center for Economic Research.
  80. Andrew Swiston, 2007. "Where Have the Monetary Surprises Gone? the Effects of FOMC Statements," IMF Working Papers, International Monetary Fund 07/185, International Monetary Fund.
  81. Markku Lanne & Helmut Luetkepohl, 2008. "A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks," Economics Working Papers, European University Institute ECO2008/23, European University Institute.
  82. Fabio Milani, 2008. "Learning about the Interdependence between the Macroeconomy and the Stock Market," Working Papers, University of California-Irvine, Department of Economics 070819, University of California-Irvine, Department of Economics.
  83. Vicente da Gama Machado, 2012. "Monetary Policy, Asset Prices and Adaptive Learning," Working Papers Series, Central Bank of Brazil, Research Department 274, Central Bank of Brazil, Research Department.
  84. Afonso, António & Sousa, Ricardo M., 2009. "The macroeconomic effects of fiscal policy," Working Paper Series, European Central Bank 0991, European Central Bank.
  85. Frank Smets & Raf Wouters, 2005. "Welfare analysis of non-fundamental asset price and investment shocks: implications for monetary policy," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 146-65 Bank for International Settlements.
  86. Yuriy Gorodnichenko & Michael Weber, 2013. "Are Sticky Prices Costly? Evidence From The Stock Market," NBER Working Papers 18860, National Bureau of Economic Research, Inc.
  87. Özer Karagedikli & Pierre L. Siklos, 2008. "Explaining Movements in the NZ Dollar - Central Bank Communication and the Surprise Element in Monetary Policy?," Reserve Bank of New Zealand Discussion Paper Series DP2008/02, Reserve Bank of New Zealand.
  88. Roberto Rigobon & Dani Rodrik, 2004. "Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships," NBER Working Papers 10750, National Bureau of Economic Research, Inc.
  89. Cheng, Lichao & Jin, Yi, 2013. "Asset prices, monetary policy, and aggregate fluctuations: An empirical investigation," Economics Letters, Elsevier, Elsevier, vol. 119(1), pages 24-27.
  90. Lee, Dong Jin & Son, Jong Chil, 2013. "Nonlinearity and structural breaks in monetary policy rules with stock prices," Economic Modelling, Elsevier, Elsevier, vol. 31(C), pages 1-11.
  91. Enzo Weber, 2007. "Volatility and Causality in Asia Pacific Financial Markets," SFB 649 Discussion Papers SFB649DP2007-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  92. Fernando Alexandre & Pedro Bação, 2005. "Monetary policy and asset prices: the investment channel," NIPE Working Papers, NIPE - Universidade do Minho 3/2005, NIPE - Universidade do Minho.
  93. Don Bredin & Stuart Hyde & Dirk Nitzsche & Gerard O'Reilly, 2009. "European monetary policy surprises: the aggregate and sectoral stock market response," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 14(2), pages 156-171.
  94. Siklos, Pierre L. & Bohl, Martin T. & Werner, Thomas, 2003. "Did the Bundesbank React to Stock Price Movements?," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre 2003,14, Deutsche Bundesbank, Research Centre.
  95. Christopher J. Neely, 2005. "An analysis of recent studies of the effect of foreign exchange intervention," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Nov, pages 685-718.
  96. Chudik, Alexander & Fratzscher, Marcel, 2010. "Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8093, C.E.P.R. Discussion Papers.
  97. Tsai, Chun-Li, 2011. "The reaction of stock returns to unexpected increases in the federal funds rate target," Journal of Economics and Business, Elsevier, Elsevier, vol. 63(2), pages 121-138, March.
  98. Kohonen, Anssi, 2012. "Transmission of Government Default Risk in the Eurozone," MPRA Paper 43823, University Library of Munich, Germany.
  99. Chang, Kuang-Liang, 2011. "The nonlinear effects of expected and unexpected components of monetary policy on the dynamics of REIT returns," Economic Modelling, Elsevier, Elsevier, vol. 28(3), pages 911-920, May.
  100. Roberto Rigobon & Brian Sack, 2003. "The effects of war risk on U.S. financial markets," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2003-18, Board of Governors of the Federal Reserve System (U.S.).
  101. Lee, Keun Yeong, 2006. "The contemporaneous interactions between the U.S., Japan, and Hong Kong stock markets," Economics Letters, Elsevier, Elsevier, vol. 90(1), pages 21-27, January.
  102. Laopodis, Nikiforos T., 2013. "Monetary policy and stock market dynamics across monetary regimes," Journal of International Money and Finance, Elsevier, Elsevier, vol. 33(C), pages 381-406.
  103. Fratzscher, Marcel & Juvenal, Luciana & Sarno, Lucio, 2007. "Asset prices, exchange rates and the current account," Working Paper Series, European Central Bank 0790, European Central Bank.
  104. Hafedh Bouakez & Badye Omar Essid & Michel Normandin, 2010. "Stock Returns and Monetary Policy: Are There Any Ties ?," Cahiers de recherche, CIRPEE 1026, CIRPEE.
  105. Irfan akbar Kazi & Hakimzadi Wagan & Farhan Akbar, 2011. "The changing international transmission of us monetary policy shocks: is there evidence of contagion effect on oecd countries," Economics Bulletin, AccessEcon, vol. 31(4), pages A49.
  106. Rigobon, Roberto & Sack, Brian, 2004. "The impact of monetary policy on asset prices," Journal of Monetary Economics, Elsevier, Elsevier, vol. 51(8), pages 1553-1575, November.
  107. Mandler, Martin, 2006. "Are there gains from including monetary aggregates and stock market indices in the monetary policy reaction function? A simulation study of recent U.S. monetary policy," MPRA Paper 2318, University Library of Munich, Germany.
  108. Tamim Bayoumi & Trung Bui, 2011. "Unforeseen Events Wait Lurking," IMF Working Papers, International Monetary Fund 11/183, International Monetary Fund.
  109. Chen, Shiu-Sheng, 2009. "Predicting the bear stock market: Macroeconomic variables as leading indicators," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(2), pages 211-223, February.
  110. Ehrmann, Michael & Fratzscher, Marcel & Rigobon, Roberto, 2005. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Working Paper Series, European Central Bank 0452, European Central Bank.
  111. Bowman, David & Londono, Juan M. & Sapriza, Horacio, 2014. "U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 1109, Board of Governors of the Federal Reserve System (U.S.).
  112. Mandler, Martin, 2009. "In search of robust monetary policy rules - Should the Fed look at money growth or stock market performance?," Journal of Macroeconomics, Elsevier, Elsevier, vol. 31(2), pages 345-361, June.
  113. Antonio Forte & Giovanni Pesce, 2009. "The International Financial Crisis: an Expert Survey," series, Dipartimento di Scienze Economiche e Metodi Matematici - Università di Bari 0024, Dipartimento di Scienze Economiche e Metodi Matematici - Università di Bari, revised Apr 2009.
  114. Bohl, Martin T. & Siklos, Pierre L. & Werner, Thomas, 2007. "Do central banks react to the stock market? The case of the Bundesbank," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(3), pages 719-733, March.
  115. Semmler, Willi & Zhang, Wenlang, 2007. "Asset price volatility and monetary policy rules: A dynamic model and empirical evidence," Economic Modelling, Elsevier, Elsevier, vol. 24(3), pages 411-430, May.
  116. Pierre L. Siklos, 2007. "The FedÕs Reaction to the Stock Market During the Great Depression: Fact or Artefact?," Working Paper Series, The Rimini Centre for Economic Analysis 33-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  117. Helmut Lütkepohl & Aleksei NetŠunajev, 2014. "Disentangling Demand And Supply Shocks In The Crude Oil Market: How To Check Sign Restrictions In Structural Vars," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 29(3), pages 479-496, 04.
  118. Fernando Henrique De Paula E Silva Mendes & Guilherme Valle Mour, 2014. "Evidências De Bull E Bear Market No Índice Bovespa: Uma Aplicação De Modelos De Regime Markoviano E Duration Dependence," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Gra 138, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  119. Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2007. "Predicting Markov volatility switches using monetary policy variables," Economics Letters, Elsevier, Elsevier, vol. 95(1), pages 110-116, April.
  120. Don Bredin & Gerard O’Reilly & Simon Stevenson, 2007. "Monetary Shocks and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, Springer, vol. 35(3), pages 315-331, October.
  121. Duan, Qihong & Wei, Ying & Chen, Zhiping, 2014. "Relationship between the benchmark interest rate and a macroeconomic indicator," Economic Modelling, Elsevier, Elsevier, vol. 38(C), pages 220-226.
  122. James H. Stock, 2010. "The Other Transformation in Econometric Practice: Robust Tools for Inference," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 24(2), pages 83-94, Spring.
  123. Jing Wang & Xiaoneng Zhu, 2013. "The reaction of international stock markets to Federal Reserve policy," Financial Markets and Portfolio Management, Springer, Springer, vol. 27(1), pages 1-30, March.
  124. Parhizgari, A.M. & Pavlova, I., 2007. "Post-euro EU and US interest rates and foreign exchange rates: Are they in harmony or in disarray," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 47(5), pages 616-636, December.
  125. Anders C. Johansson, 2012. "China’s Growing Influence in Southeast Asia – Monetary Policy and Equity Markets," The World Economy, Wiley Blackwell, Wiley Blackwell, vol. 35(7), pages 816-837, 07.
  126. Kohonen, Anssi, 2013. "On detection of volatility spillovers in overlapping stock markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 22(C), pages 140-158.
  127. Arpita Chatterjee, 2014. "Globalization and Monetary Policy Comovement: Evidence from G-7 Countries," Discussion Papers, School of Economics, The University of New South Wales 2014-19, School of Economics, The University of New South Wales.
  128. Chudik, Alexander & Fratzscher, Marcel, 2011. "Identifying the global transmission of the 2007-2009 financial crisis in a GVAR model," European Economic Review, Elsevier, Elsevier, vol. 55(3), pages 325-339, April.
  129. Elena Corallo, 2007. "The effect of the war risk: a comparison of the consequences of the two Iraq wars," International Review of Economics, Springer, Springer, vol. 54(3), pages 371-382, September.
  130. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2009. "Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR," Working Papers, Federal Reserve Bank of St. Louis 2008-012, Federal Reserve Bank of St. Louis.
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