Monetary Policy, Aggregate Uncertainty, and the Stock Market
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.
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Volume (Year): 27 (1995)
Issue (Month): 2 (May)
Pages: 570-82
| 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
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