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Monetary policy and fixed income returns

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

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  • Johnson, Robert R. & Buetow, Gerald W. & Jensen, Gerald R. & Reilly, Frank K., 2003. "Monetary policy and fixed income returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(1), pages 133-146.
  • Handle: RePEc:eee:quaeco:v:43:y:2003:i:1:p:133-146
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    References listed on IDEAS

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    1. Thorbecke, Willem, 1997. " On Stock Market Returns and Monetary Policy," Journal of Finance, American Finance Association, vol. 52(2), pages 635-654, June.
    2. 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.
    3. Campbell, John Y & Ammer, John, 1993. " What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
    4. 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.
    5. John Y. Campbell, 1995. "Some Lessons from the Yield Curve," Journal of Economic Perspectives, American Economic Association, vol. 9(3), pages 129-152, Summer.
    6. Pearce, Douglas K & Roley, V Vance, 1985. "Stock Prices and Economic News," The Journal of Business, University of Chicago Press, vol. 58(1), pages 49-67, January.
    7. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-921, September.
    8. 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 167-180, May.
    9. 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.
    10. 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.
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    Cited by:

    1. Vahamaa, Sami, 2005. "Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB," Journal of Economics and Business, Elsevier, vol. 57(1), pages 23-38.
    2. Ming-Hsiang Chen & Su-Jane Chen & Chao-Ning Liao & Chun-Ming Lin, 2008. "Taiwanese Mutual Fund Performance Under Different Central Bank of China Monetary Policy Environments," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(2), pages 100-116, March.
    3. Ming-Hsiang Chen & Su-Jane Chen & Chao-Ning Liao & Chun-Ming Lin, 2008. "Taiwanese Mutual Fund Performance Under Different Central Bank of China Monetary Policy Environments," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(2), pages 100-116, March.
    4. Alexandros Kontonikas & Paulo Maio & Zivile Zekaite, 2016. "Monetary Policy and Corporate Bond Returns," Working Papers 2016_05, Business School - Economics, University of Glasgow.
    5. Muhammad Ali Nasir & Alaa M. Soliman & Milton Yago & Junjie Wu, 2016. "Macroeconomic Policies Interaction & the Symmetry of Financial Markets’ Responses," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 5(1), pages 53-69.
    6. 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.

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