IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this article

Monetary Policy, Aggregate Uncertainty, and the Stock Market

Author Info

Listed author(s):
  • Boyle, Glenn W
  • Peterson, James D

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.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://links.jstor.org/sici?sici=0022-2879%28199505%2927%3A2%3C570%3AMPAUAT%3E2.0.CO%3B2-J&origin=bc
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 27 (1995)
Issue (Month): 2 (May)
Pages: 570-582

as
in new window

Handle: RePEc:mcb:jmoncb:v:27:y:1995:i:2:p:570-82
Contact details of provider: Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

Keywords:

No references listed on IDEAS
You can help add them by filling out this form.

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

as
in new window


Cited by:

  1. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
  2. Sellin, Peter, 2001. " Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
  3. Christian Aubin & IBRAHIMA DIOUF & DOMINIQUE PEPIN, 2013. "Influence De La Politique Monetaire Sur Le Prix Des Actifs Financiers :Les Enseignements D’Un Modele Miu Applique A La Fed: Impact Of Monetary Policy On Asset Prices :Lessons From A Miu Model Applied ," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 56(3-4), pages 313-333.
  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.
  5. Paul Söderlind, 2008. "Monetary Policy Effects On Financial Risk Premia," Manchester School, University of Manchester, vol. 76(6), pages 690-707, December.
  6. Najeb M.H. Masoud, 2013. "The Impact of Stock Market Performance upon Economic Growth," International Journal of Economics and Financial Issues, Econjournals, vol. 3(4), pages 788-798.
  7. 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.).
  8. Du, Ding, 2006. "Monetary policy, stock returns and inflation," Journal of Economics and Business, Elsevier, vol. 58(1), pages 36-54.
  9. 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.
  10. Guerello, Chiara, 2016. "The effect of investors’ confidence on monetary policy transmission mechanism," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 248-266.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Access and download statistics

When requesting a correction, please mention this item's handle: RePEc:mcb:jmoncb:v:27:y:1995:i:2:p:570-82. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)

or (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.