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Asset prices, monetary policy, and aggregate fluctuations: An empirical investigation

Listed author(s):
  • Cheng, Lichao
  • Jin, Yi
Registered author(s):

    This paper studies empirically the dynamic interactions between asset prices, monetary policy, and aggregate fluctuations in the U.S. during the Volcker–Greenspan period. Results from a simple structural vector autoregression indicate that monetary policy reacts directly to the term spread and indirectly to stock prices and house prices via output and inflation, that there is an asymmetry in the interactions between asset prices and aggregate activity, and that asset prices exhibit positive comovement.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0165176513000244
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    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 119 (2013)
    Issue (Month): 1 ()
    Pages: 24-27

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    Handle: RePEc:eee:ecolet:v:119:y:2013:i:1:p:24-27
    DOI: 10.1016/j.econlet.2013.01.005
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    7. Iacoviello, Matteo & Minetti, Raoul, 2008. "The credit channel of monetary policy: Evidence from the housing market," Journal of Macroeconomics, Elsevier, vol. 30(1), pages 69-96, March.
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