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Citations for "Does Monetary Policy Have Asymmetric Effects on Stock Returns?"

by Shiu-Sheng Chen

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  1. Cathy Chen & I-Doun Kuo, 2014. "Investor sentiment and interest rate volatility smile: evidence from Eurodollar options markets," Review of Quantitative Finance and Accounting, Springer, vol. 43(2), pages 367-391, August.
  2. Ming-Chi Chen & Chi-Lu Peng & So-De Shyu & Jhih-Hong Zeng, 2012. "Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 364-382, August.
  3. Zhu, Hui-Ming & Li, ZhaoLai & You, WanHai & Zeng, Zhaofa, 2015. "Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 142-153.
  4. Mishra, Sagarika & Dhole, Sandip, 2014. "Least squares learning and the US Treasury bill rate," Economic Systems, Elsevier, vol. 38(2), pages 194-204.
  5. Francesco, Guidi, 2008. "European Central Bank and Federal Reserve USA: monetary policy effects on the returns volatility of the Italian Stock Market Index Mibtel," MPRA Paper 10759, University Library of Munich, Germany.
  6. Mohamed El Hedi Arouri & Duc Khuong Nguyen & Fredj Jawadi, 2010. "What can we tell about monetary policy synchronization and interdependence over the 2007-2009 global financial crisis?," Working Papers hal-00507826, HAL.
  7. Henry, Ólan T., 2009. "Regime switching in the relationship between equity returns and short-term interest rates in the UK," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 405-414, February.
  8. Mariangela Bonasia & Oreste Napolitano, 2007. "Do Fundamentals and Credibility Matter in a Funded Pension System ?A Markov Switching Analysis for Australia and Iceland," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 50(2), pages 221-248.
  9. Jing Wang & Xiaoneng Zhu, 2013. "The reaction of international stock markets to Federal Reserve policy," Financial Markets and Portfolio Management, Springer, vol. 27(1), pages 1-30, March.
  10. Sim, Nicholas & Zhou, Hongtao, 2015. "Oil prices, US stock return, and the dependence between their quantiles," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 1-8.
  11. Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2013. "Stock market reaction to fed funds rate surprises: State dependence and the financial crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4025-4037.
  12. Angelos Kanas, 2010. "A note on the relation between the equity risk premium and the term structure," Journal of Economics and Finance, Springer, vol. 34(1), pages 89-95, January.
  13. Isma Zaighum, 2014. "Impact of Macroeconomic Factors on Non-financial firms Stock Returns: Evidence from Sectorial Study of KSE-100 Index," Journal of Management Sciences, Iqra University, Faculty of Management Sciences, vol. 1(1), pages 35-48, March.
  14. Beatrice D. Simo - Kengne & Mehmet Balcilar & Rangan Gupta & Monique Reid & Goodness C. Aye, 2012. "Is the relationship between monetary policy and house prices asymmetric in South Africa? Evidence from a Markov-Switching Vector Autoregressive mode," Working Papers 14/2012, Stellenbosch University, Department of Economics.
  15. Nan-Kuang Chen & Yu-Hsi Chou & Jyh-Lin Wu, 2013. "Credit Constraint and the Asymmetric Monetary Policy Effect on House Prices," Pacific Economic Review, Wiley Blackwell, vol. 18(4), pages 431-455, October.
  16. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008. "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers 14019, National Bureau of Economic Research, Inc.
  17. Chang, Kuang-Liang, 2011. "The nonlinear effects of expected and unexpected components of monetary policy on the dynamics of REIT returns," Economic Modelling, Elsevier, vol. 28(3), pages 911-920, May.
  18. Oreste Napolitano, 2006. "Is The Impact Of Ecb Monetary Policy On Emu Stock Market Returns Asymmetric?," Working Papers 3_2006, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
  19. Kurov, Alexander, 2010. "Investor sentiment and the stock market's reaction to monetary policy," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 139-149, January.
  20. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2009. "Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR," Working Papers 2008-012, Federal Reserve Bank of St. Louis.
  21. Adrian Pagan & Don Harding, 2011. "Econometric Analysis and Prediction of Recurrent Events," CREATES Research Papers 2011-33, School of Economics and Management, University of Aarhus.
  22. Sagarika Mishra & Sandeep Dhole, . "Least Squares Learning and the US Treasury Bill Rate," Financial Econometics Series 2013_05, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  23. Guo, Feng & Hu, Jinyan & Jiang, Mingming, 2013. "Monetary shocks and asymmetric effects in an emerging stock market: The case of China," Economic Modelling, Elsevier, vol. 32(C), pages 532-538.
  24. Hsu, Kuang-Chung & Chiang, Hui-Chu, 2011. "Nonlinear effects of monetary policy on stock returns in a smooth transition autoregressive model," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 339-349.
  25. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
  26. Mohamed El Hedi Arouri & Fredj Jawadi & Duc Khuong Nguyen, 2010. "Global financial crisis, liquidity pressure in stock markets and efficiency of central bank interventions," Working Papers hal-00507821, HAL.
  27. Walid, Chkili & Chaker, Aloui & Masood, Omar & Fry, John, 2011. "Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach," Emerging Markets Review, Elsevier, vol. 12(3), pages 272-292, September.
  28. Tsai, I-Chun, 2013. "The asymmetric impacts of monetary policy on housing prices: A viewpoint of housing price rigidity," Economic Modelling, Elsevier, vol. 31(C), pages 405-413.
  29. Simo-Kengne, Beatrice D. & Balcilar, Mehmet & Gupta, Rangan & Reid, Monique & Aye, Goodness C., 2013. "Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model," Economic Modelling, Elsevier, vol. 32(C), pages 161-171.
  30. Ernst Konrad, 2009. "The impact of monetary policy surprises on asset return volatility: the case of Germany," Financial Markets and Portfolio Management, Springer, vol. 23(2), pages 111-135, June.
  31. Mun, Kyung-Chun, 2012. "The joint response of stock and foreign exchange markets to macroeconomic surprises: Using US and Japanese data," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 383-394.
  32. Tang, Yong & Luo, Yong & Xiong, Jie & Zhao, Fei & Zhang, Yi-Cheng, 2013. "Impact of monetary policy changes on the Chinese monetary and stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4435-4449.
  33. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis.
  34. Jansen, Dennis W. & Tsai, Chun-Li, 2010. "Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 981-990, December.
  35. Arin, K. Peren & Mamun, Abdullah & Purushothman, Nanda, 2009. "The effects of tax policy on financial markets: G3 evidence," Review of Financial Economics, Elsevier, vol. 18(1), pages 33-46, January.
  36. Guidolin, Massimo & Hyde, Stuart, 2008. "Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 293-312, October.
  37. Laopodis, Nikiforos T., 2013. "Monetary policy and stock market dynamics across monetary regimes," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 381-406.
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