The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market
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DOI: 10.1016/j.intfin.2012.11.004
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More about this item
Keywords
Fed funds futures market; Monetary policy; Stock returns; Time-varying parameter model;All these keywords.
JEL classification:
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
Statistics
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