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Citations for "Measuring The Reaction Of Monetary Policy To The Stock Market"

by Roberto Rigobon & Brian Sack

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  1. Aleksei Netšunajev, 2013. "Reaction to technology shocks in Markov-switching structural VARs: identification via heteroskedasticity," Bank of Estonia Working Papers wp2012-6, Bank of Estonia, revised 03 Jan 2013.
  2. Julie Agnew & Pierluigi Balduzzi, 2012. "The Reluctant Retirement Trader: Do Asset Returns Overcome Inertia?," NFI Working Papers 2012-WP-01, Indiana State University, Scott College of Business, Networks Financial Institute.
  3. Christopher J. Neely, 2005. "An analysis of recent studies of the effect of foreign exchange intervention," Working Papers 2005-030, Federal Reserve Bank of St. Louis.
  4. Murat Duran & Refet Gurkaynak & Pinar Ozlu & Deren Unalmis, 2010. "TCMB Faiz Kararlarinin Piyasa Faizleri Ve Hisse Senedi Piyasalari Uzerine Etkisi," CBT Research Notes in Economics 1008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  5. Helmut Lütkepohl & Aleksei Netsunajev, 2012. "Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs," Discussion Papers of DIW Berlin 1195, DIW Berlin, German Institute for Economic Research.
  6. Owyang, Michael T. & Ramey, Garey, 2004. "Regime switching and monetary policy measurement," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1577-1597, November.
  7. Tamim Bayoumi & Trung Bui, 2011. "Unforeseen Events Wait Lurking: Estimating Policy Spillovers From U.S. to Foreign Asset Prices," IMF Working Papers 11/183, International Monetary Fund.
  8. Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in a DSGE model for the U.S," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1700-1731, September.
  9. Mardi Dungey & Renee Fry & Brenda Gonzales-Hermosillo & Vance L. Martin, 2005. "Shocks And Systemic Influences: Contagion In Global Equity Markets In 1998," CAMA Working Papers 2005-15, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  10. Prono, Todd, 2011. "When A Factor Is Measured with Error: The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Factor Models," MPRA Paper 33593, University Library of Munich, Germany.
  11. Luís Aguiar-Conraria & Manuel M. F. Martins & Maria Joana Soares, 2014. "Analyzing the Taylor Rule with Wavelet Lenses," CEF.UP Working Papers 1404, Universidade do Porto, Faculdade de Economia do Porto.
  12. Chudik, Alexander & Fratzscher, Marcel, 2010. "Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model," CEPR Discussion Papers 8093, C.E.P.R. Discussion Papers.
  13. Aymen Belgacem, 2009. "Fundamentals, Macroeconomic Announcements and Asset Prices," EconomiX Working Papers 2009-16, University of Paris West - Nanterre la Défense, EconomiX.
  14. Fredj Jawadi & Sushanta K. Mallick & Ricardo M. Sousa, 2011. "Fiscal Policy in the BRICs," NIPE Working Papers 19/2011, NIPE - Universidade do Minho.
  15. 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.
  16. 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.
  17. Vítor, Castro, 2011. "Can central banks' monetary policy be described by a linear (augmented) Taylor rule or by a nonlinear rule?," Journal of Financial Stability, Elsevier, vol. 7(4), pages 228-246, December.
  18. I. Arnold & P.J.A. van Els & J. de Haan, 2002. "Wealth Effects and Monetary Policy," WO Research Memoranda (discontinued) 719, Netherlands Central Bank, Research Department.
  19. Johansson, Anders C., 2010. "China’s Growing Influence in Southeast Asia - Monetary Policy and Equity Markets," Working Paper Series 2010-16, China Economic Research Center, Stockholm School of Economics.
  20. Irfan Akbar Kazi & Hakimzadi Wagan & Farhan Akbar, 2012. "The changing international transmission of US monetary policy shocks: is there evidence of contagion effect on OECD countries," EconomiX Working Papers 2012-27, University of Paris West - Nanterre la Défense, EconomiX.
  21. Samad Sarferaz & Francesco Furlanetto & Francesco Furlanetto, 2014. "Identification of Financial Factors in Economic Fluctuations," KOF Working papers 14-364, KOF Swiss Economic Institute, ETH Zurich.
  22. Ansgar Belke & Thorsten Polleit, 2006. "Monetary policy and dividend growth in Germany: long-run structural modelling versus bounds testing approach," Applied Economics, Taylor & Francis Journals, vol. 38(12), pages 1409-1423.
  23. Cinzia Alcidi , Alessandro Flamini, Andrea Fracasso, 2005. ""Taylored rules". Does one fit (or hide) all?," IHEID Working Papers 04-2005, Economics Section, The Graduate Institute of International Studies, revised Apr 2006.
  24. 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.
  25. Pierre L. Siklos, 2007. "The FedÕs Reaction to the Stock Market During the Great Depression: Fact or Artefact?," Working Paper Series 33-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  26. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November.
  27. Arpita Chatterjee, 2014. "Globalization and Monetary Policy Comovement: Evidence from G-7 Countries," Discussion Papers 2014-19, School of Economics, The University of New South Wales.
  28. Roman Horvath & Jaromir Baxa & Borek Vasicek, 2011. "How Does Monetary Policy Respond to Financial Stress?," EcoMod2011 2769, EcoMod.
  29. Mandler, Martin, 2007. "Decomposing Federal Funds Rate forecast uncertainty using real-time data," MPRA Paper 13498, University Library of Munich, Germany, revised Jan 2009.
  30. Bjørnland, Hilde C. & Leitemo, Kai, 2005. "Identifying the Interdependence between US Monetary Policy and the Stock Market," Memorandum 12/2005, Oslo University, Department of Economics.
  31. Refet Gurkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," Macroeconomics 0504013, EconWPA.
  32. Kwamie Dunbar, 2008. "The Impact of the FOMC's Monetary Policy Actions on the growth of Credit Risk: the Monetary Policy - Liquidity Paradox," Working papers 2008-05, University of Connecticut, Department of Economics.
  33. Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What explains the stock market's reaction to Federal Reserve policy?," Finance and Economics Discussion Series 2004-16, Board of Governors of the Federal Reserve System (U.S.).
  34. Helmut Lütkepohl & Aleksei Netsunajev, 2014. "Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market," Discussion Papers of DIW Berlin 1388, DIW Berlin, German Institute for Economic Research.
  35. Nikiforos Laopodis, 2010. "Dynamic linkages between monetary policy and the stock market," Review of Quantitative Finance and Accounting, Springer, vol. 35(3), pages 271-293, October.
  36. Roberto Rigobon & Brian Sack, 2003. "The effects of war risk on U.S. financial markets," Finance and Economics Discussion Series 2003-18, Board of Governors of the Federal Reserve System (U.S.).
  37. Francesco FURLANETTO, 2008. "Does Monetary Policy React to Asset Prices? Some International Evidence," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 08.02, Université de Lausanne, Faculté des HEC, DEEP.
  38. Fabio Milani, 2008. "Learning about the Interdependence between the Macroeconomy and the Stock Market," Working Papers 070819, University of California-Irvine, Department of Economics.
  39. Travaglini, Guido, 2007. "The U.S. Dynamic Taylor Rule With Multiple Breaks, 1984-2001," MPRA Paper 3419, University Library of Munich, Germany, revised 15 Jun 2007.
  40. Michael D. Bordo & David C. Wheelock, 2004. "Monetary policy and asset prices: a look back at past U.S. stock market booms," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 19-44.
  41. Wasim Shahid Malik, 2007. "Monetary Policy Objectives in Pakistan: An Empirical Investigation," PIDE-Working Papers 2007:35, Pakistan Institute of Development Economics.
  42. David Weinstein & Christian Broda, 2004. "Globalization and the Gains from Variety," 2004 Meeting Papers 530, Society for Economic Dynamics.
  43. Anna Pavlova & Roberto Rigobon, 2007. "Asset Prices and Exchange Rates," Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1139-1180.
  44. Chadha, Jagjit S & Sarno, Lucio & Valente, Giorgio, 2003. "Monetary Policy Rules, Asset Prices and Exchange Rates," CEPR Discussion Papers 4114, C.E.P.R. Discussion Papers.
  45. Herwartz, Helmut & Lütkepohl, Helmut, 2014. "Structural vector autoregressions with Markov switching: Combining conventional with statistical identification of shocks," Journal of Econometrics, Elsevier, vol. 183(1), pages 104-116.
  46. Muhammad Naveed Tahir, 2012. "Relative Importance of Monetary Transmission Channels in Inflation Targeting Emerging Economies," EcoMod2012 4092, EcoMod.
  47. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper 49093, University Library of Munich, Germany.
  48. 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.
  49. 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.
  50. Yuriy Gorodnichenko & Michael Weber, 2013. "Are Sticky Prices Costly? Evidence From The Stock Market," NBER Working Papers 18860, National Bureau of Economic Research, Inc.
  51. Jordi Galí & Luca Gambetti, 2013. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," Working Papers 724, Barcelona Graduate School of Economics.
  52. Alexandros Kontonikas & Ronald MacDonald & Aman Saggu, 2012. "Stock market reaction to fed funds rate surprises: state dependence and the financial crisis," Working Papers 2012_11, Business School - Economics, University of Glasgow.
  53. Bedri Kamil Onur Tas, 2009. "Why Does the Fed React to the Stock Market Changes?: A Covariance Decomposition Analysis," Working Papers 0905, TOBB University of Economics and Technology, Department of Economics.
  54. Özer Karagedikli & Pierre L. Siklos, 2008. "Explaining Movements in the NZ Dollar - Central Bank Communication and the Surprise Element in Monetary Policy?," Reserve Bank of New Zealand Discussion Paper Series DP2008/02, Reserve Bank of New Zealand.
  55. Tsai, Chun-Li, 2011. "The reaction of stock returns to unexpected increases in the federal funds rate target," Journal of Economics and Business, Elsevier, vol. 63(2), pages 121-138, March.
  56. Elena Corallo, 2005. "The effect of the war risk: a comparison of the consequences of the two Iraq wars on some financial variables," LIUC Papers in Economics 171, Cattaneo University (LIUC).
  57. Elena Corallo, 2007. "The effect of the war risk: a comparison of the consequences of the two Iraq wars," International Review of Economics, Springer, vol. 54(3), pages 371-382, September.
  58. Silvia Sgherri, 2005. "Explicit and Implicit Targets in Open Economies," IMF Working Papers 05/176, International Monetary Fund.
  59. Hoffmann, Andreas, 2013. "Did the Fed and ECB react asymmetrically with respect to asset market developments?," Journal of Policy Modeling, Elsevier, vol. 35(2), pages 197-211.
  60. Mohammed Bouaddi & Abderrahim Taamouti, 2012. "Portfolio risk management in a data-rich environment," Financial Markets and Portfolio Management, Springer, vol. 26(4), pages 469-494, December.
  61. Sola, Martin & Spagnolo, Fabio & Spagnolo, Nicola, 2007. "Predicting Markov volatility switches using monetary policy variables," Economics Letters, Elsevier, vol. 95(1), pages 110-116, April.
  62. Frank Smets & Raf Wouters, 2005. "Welfare analysis of non-fundamental asset price and investment shocks: implications for monetary policy," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 146-65 Bank for International Settlements.
  63. Lee, Keun Yeong, 2006. "The contemporaneous interactions between the U.S., Japan, and Hong Kong stock markets," Economics Letters, Elsevier, vol. 90(1), pages 21-27, January.
  64. Søren HOVE RAVN, . "Has the Fed Reacted Asymmetrically to Stock Prices," EcoMod2010 259600076, EcoMod.
  65. Roberta CARDANI, . "Optimal Monetary Policy with Wealth Effect and Cost Channel," EcoMod2008 23800021, EcoMod.
  66. Lyonnet, Victor & Werner, Richard A., 2011. "The lessons from QE and other "unconventional" monetary policies: Evidence from the Bank of England," CFS Working Paper Series 2011/29, Center for Financial Studies (CFS).
  67. Ravn, Søren Hove, 2014. "Asymmetric monetary policy towards the stock market: A DSGE approach," Journal of Macroeconomics, Elsevier, vol. 39(PA), pages 24-41.
  68. Chudik, Alexander & Fratzscher, Marcel, 2011. "Identifying the global transmission of the 2007-2009 financial crisis in a GVAR model," European Economic Review, Elsevier, vol. 55(3), pages 325-339, April.
  69. Fernando Alexandre & Pedro Bação, 2005. "Monetary policy and asset prices: the investment channel," NIPE Working Papers 3/2005, NIPE - Universidade do Minho.
  70. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2013. "Do monetary policy announcements affect stock prices in emerging market countries? The case of Thailand," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 446-469.
  71. Lee, Ha Yan & Ricci, Luca Antonio & Rigobon, Roberto, 2004. "Once again, is openness good for growth?," Journal of Development Economics, Elsevier, vol. 75(2), pages 451-472, December.
  72. Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013. "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 33-50.
  73. Craine, Roger & Martin, Vance L., 2008. "International monetary policy surprise spillovers," Journal of International Economics, Elsevier, vol. 75(1), pages 180-196, May.
  74. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2012. "The impact of monetary policy decisions on stock returns: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 487-507.
  75. Pfajfar, Damjan & Santoro, Emiliano, 2014. "Credit Market Distortions, Asset Prices And Monetary Policy," Macroeconomic Dynamics, Cambridge University Press, vol. 18(03), pages 631-650, April.
  76. John Y. Campbell & Carolin Pflueger & Luis M. Viceira, 2014. "Monetary Policy Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.
  77. Michael Ehrmann & Marcel Fratzscher, 2006. "Global Financial Transmission of Monetary Policy Shocks," CESifo Working Paper Series 1710, CESifo Group Munich.
  78. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," CESifo Working Paper Series 4264, CESifo Group Munich.
  79. Marzo, Massimiliano & Zagaglia, Paolo, 2010. "Gold and the U.S. Dollar: Tales from the turmoil," MPRA Paper 22407, University Library of Munich, Germany.
  80. Geert Bekaert & Marie Hoerova & Marco Lo Duca, 2012. "Risk, uncertainty and monetary policy," Working Paper Research 229, National Bank of Belgium.
  81. gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004. "Testing For Contagion: A Conditional Correlation Analysis," International Finance 0406003, EconWPA.
  82. Airaudo, Marco & Nisticò, Salvatore & Zanna, Luis-Felipe, 2012. "Learning, Monetary Policy and Asset Prices," School of Economics Working Paper Series 2012-12, LeBow College of Business, Drexel University.
  83. Lumengo Bonga-Bonga & Jamela Hoveni, 2013. "Volatility Spillovers between the Equity Market and Foreign Exchange Market in South Africa in the 1995-2010 Period," South African Journal of Economics, Economic Society of South Africa, vol. 81(2), pages 260-274, 06.
  84. Enzo Weber, 2007. "Volatility and Causality in Asia Pacific Financial Markets," SFB 649 Discussion Papers SFB649DP2007-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  85. Demir, İshak, 2014. "Monetary policy responses to the exchange rate: Empirical evidence from the ECB," Economic Modelling, Elsevier, vol. 39(C), pages 63-70.
  86. Roberto Rigobon & Brian Sack, 2002. "The impact of monetary policy on asset prices," Finance and Economics Discussion Series 2002-4, Board of Governors of the Federal Reserve System (U.S.).
  87. Fernando Henrique De Paula E Silva Mendes & Guilherme Valle Mour, 2014. "Evidências De Bull E Bear Market No Índice Bovespa: Uma Aplicação De Modelos De Regime Markoviano E Duration Dependence," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41th Brazilian Economics Meeting] 138, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  88. Hoffmann, Andreas, 2009. "Fear of depression - Asymmetric monetary policy with respect to asset markets," MPRA Paper 17522, University Library of Munich, Germany.
  89. John, Tatom, 2009. "U.S. Monetary Policy and Stock Prices: Should the Fed Attempt to Control Stock Prices?," MPRA Paper 19762, University Library of Munich, Germany.
  90. Bernoth, Kerstin & von Hagen, Jürgen, 2003. "The performance of the Euribor futures market: Effficiency and the impact of ECB policy announcements," ZEI Working Papers B 27-2003, ZEI - Center for European Integration Studies, University of Bonn.
  91. Hafedh Bouakez & Foued Chihi & Michel Normandin, 2011. "Fiscal Policy and External Adjustment: New Evidence," Cahiers de recherche 1123, CIRPEE.
  92. Driffill, John & Rotondi, Zeno & Savona, Paolo & Zazzara, Cristiano, 2006. "Monetary policy and financial stability: What role for the futures market?," Journal of Financial Stability, Elsevier, vol. 2(1), pages 95-112, April.
  93. Stefanescu, Razvan & Dumitriu, Ramona, 2010. "Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania," MPRA Paper 36716, University Library of Munich, Germany, revised 16 Feb 2011.
  94. António Afonso & Ricardo M. Sousa, 2008. "The Macroeconomic Effects of Fiscal Policy," Working Papers Department of Economics 2008/56, ISEG - School of Economics and Management, Department of Economics, University of Lisbon.
  95. 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.
  96. Chang, Kuang-Liang & Yu, Shih-Ti, 2013. "Does crude oil price play an important role in explaining stock return behavior?," Energy Economics, Elsevier, vol. 39(C), pages 159-168.
  97. Todd, Prono, 2009. "GARCH-Based Identification and Estimation of Triangular Systems," MPRA Paper 20032, University Library of Munich, Germany.
  98. Wasim Ahmad & N. Bhanumurthy & Sanjay Sehgal, 2015. "Regime dependent dynamics and European stock markets: Is asset allocation really possible?," Empirica, Springer, vol. 42(1), pages 77-107, February.
  99. Angelos Kanas & Christos Ioannidis, 2010. "Causality from real stock returns to real activity: evidence of regime-dependence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(2), pages 180-197.
  100. Kohonen, Anssi, 2014. "Transmission of government default risk in the eurozone," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 71-85.
  101. Bredin, Don & Hyde, Stuart & O'Reilly, Gerard, 2005. "European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response," Research Technical Papers 10/RT/05, Central Bank of Ireland.
  102. Helmut Lütkepohl, 2013. "Reducing confidence bands for simulated impulse responses," Statistical Papers, Springer, vol. 54(4), pages 1131-1145, November.
  103. J. Benson Durham, 2001. "The effect of monetary policy on monthly and quarterly stock market returns: cross-country evidence and sensitivity analyses," Finance and Economics Discussion Series 2001-42, Board of Governors of the Federal Reserve System (U.S.).
  104. Yu Hsing, 2004. "Estimating the Bank of Japan's monetary policy reaction function," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 57(229), pages 169-183.
  105. Sousa, Ricardo M., 2010. "Housing wealth, financial wealth, money demand and policy rule: Evidence from the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 21(1), pages 88-105, March.
  106. Stefano Neri, 2004. "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers) 513, Bank of Italy, Economic Research and International Relations Area.
  107. Andrew Swiston, 2007. "Where Have the Monetary Surprises Gone? the Effects of FOMC Statements," IMF Working Papers 07/185, International Monetary Fund.
  108. Grunspan, T., 2005. "The Fed and the Question of Financial Stability: An Empirical Investigation," Working papers 134, Banque de France.
  109. Paolo Surico & Antonello D'Agostino & Luca Sala, 2005. "The Fed and the Stock Market," Computing in Economics and Finance 2005 293, Society for Computational Economics.
  110. Davide Ferrari & Antonio Ribba, 2005. "Using an evolving criterion to assess the Federal Reserve's behaviour in recent years," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 58(235), pages 169-186.
  111. Pelin Berkmen & Eduardo A. Cavallo, 2007. "Exchange Rate Policy and Liability Dollarization: What Do the Data Reveal About Causality?," IMF Working Papers 07/33, International Monetary Fund.
  112. Helmut Lütkepohl & Anton Velinov, 2014. "Structural Vector Autoregressions: Checking Identifying Long-run Restrictions via Heteroskedasticity," SFB 649 Discussion Papers SFB649DP2014-009, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  113. Todd Prono, 2008. "GARCH-based identification and estimation of triangular systems," Risk and Policy Analysis Unit Working Paper QAU08-4, Federal Reserve Bank of Boston.
  114. He, Ling T., 2006. "Variations in effects of monetary policy on stock market returns in the past four decades," Review of Financial Economics, Elsevier, vol. 15(4), pages 331-349.
  115. Fuhrer, Jeff & Tootell, Geoff, 2008. "Eyes on the prize: How did the fed respond to the stock market?," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 796-805, May.
  116. Markku Lanne & Helmut Luetkepohl, 2008. "A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks," Economics Working Papers ECO2008/23, European University Institute.
  117. Chen, Shiu-Sheng, 2009. "Predicting the bear stock market: Macroeconomic variables as leading indicators," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 211-223, February.
  118. Marcel Fratzscher & Luciana Juvenal & Lucio Sarno, 2008. "Asset prices, exchange rates and the current account," Working Papers 2008-031, Federal Reserve Bank of St. Louis.
  119. Michael D. Bordo & David C. Wheelock, 2007. "Stock market booms and monetary policy in the twentieth century," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 91-122.
  120. Bowman, David & Londono, Juan M. & Sapriza, Horacio, 2014. "U.S. Unconventional Monetary Policy and Transmission to Emerging Market Economies," International Finance Discussion Papers 1109, Board of Governors of the Federal Reserve System (U.S.).
  121. Chordia, Tarun & Sarkar, Asani & Subrahmanyam, Avanidhar, 2001. "An Empirical Analysis of Stock and Bond Market Liquidity: Forthcoming in the Review of Financial Studies," University of California at Los Angeles, Anderson Graduate School of Management qt9178v9kq, Anderson Graduate School of Management, UCLA.
  122. Kajuth, Florian, 2012. "Identifying the Phillips curve through shifts in volatility," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 975-991.
  123. Bohl, Martin T. & Siklos, Pierre L. & Werner, Thomas, 2007. "Do central banks react to the stock market? The case of the Bundesbank," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 719-733, March.
  124. Don Bredin & Gerard O’Reilly & Simon Stevenson, 2007. "Monetary Shocks and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 315-331, October.
  125. Cheng, Lichao & Jin, Yi, 2013. "Asset prices, monetary policy, and aggregate fluctuations: An empirical investigation," Economics Letters, Elsevier, vol. 119(1), pages 24-27.
  126. Vicente da Gama Machado, 2012. "Monetary Policy, Asset Prices and Adaptive Learning," Working Papers Series 274, Central Bank of Brazil, Research Department.
  127. 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.
  128. 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.
  129. James H. Stock, 2010. "The Other Transformation in Econometric Practice: Robust Tools for Inference," Journal of Economic Perspectives, American Economic Association, vol. 24(2), pages 83-94, Spring.
  130. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
  131. Hayford, M. D. & Malliaris, A. G., 2005. "How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule," European Journal of Operational Research, Elsevier, vol. 163(1), pages 20-29, May.
  132. Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2005. "Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission," NBER Working Papers 11166, National Bureau of Economic Research, Inc.
  133. Kohonen, Anssi, 2013. "On detection of volatility spillovers in overlapping stock markets," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 140-158.
  134. Farka, Mira, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, Elsevier, vol. 18(1), pages 47-55, January.
  135. Shu-Chin Lin & Dong-Hyeon Kim, 2014. "The link between economic growth and growth volatility," Empirical Economics, Springer, vol. 46(1), pages 43-63, February.
  136. Luís, Pacheco, 2004. "Asset Prices and Monetary Policy in the Euro Area: a tentative model," MPRA Paper 6579, University Library of Munich, Germany.
  137. Parhizgari, A.M. & Pavlova, I., 2007. "Post-euro EU and US interest rates and foreign exchange rates: Are they in harmony or in disarray," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(5), pages 616-636, December.
  138. Tarun Chordia & Asani Sarkar & Avanidhar Subrahmanyam, 2003. "An empirical analysis of stock and bond market liquidity," Staff Reports 164, Federal Reserve Bank of New York.
  139. Demir, Ishak, 2012. "ECB Policy Response to the Euro/US Dollar Exchange Rate," MPRA Paper 36744, University Library of Munich, Germany.
  140. Aliyu, Shehu Usman Rano, 2011. "Reactions of stock market to monetary policy shocks during the global financial crisis: the Nigerian case," MPRA Paper 35581, University Library of Munich, Germany, revised 28 Dec 2011.
  141. Rigobon, Roberto & Rodrik, Dani, 2004. "Rule of Law, Democracy, Openness and Income: Estimating the Interrelationships," CEPR Discussion Papers 4653, C.E.P.R. Discussion Papers.
  142. Helmut Lütkepohl, 2012. "Identifying Structural Vector Autoregressions via Changes in Volatility," Discussion Papers of DIW Berlin 1259, DIW Berlin, German Institute for Economic Research.
  143. J. Rodrigo Fuentes S. & Marcelo Ochoa C., 2007. "Política Monetaria, Precios de Activos y Estabilidad Financiera: Una Revisión de la Literatura," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 10(3), pages 115-127, December.
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