Stock market conditions and monetary policy in a DSGE model for the U.S
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jedc.2010.06.028
Note: View the original document on HAL open archive server: https://hal.science/hal-00732674
Download full text from publisher
Other versions of this item:
- 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.
- Efrem Castelnuovo & Salvatore Nisticò, 2010. "Stock Market Conditions and Monetary Policy in a DSGE Model for the U.S," "Marco Fanno" Working Papers 0107, Dipartimento di Scienze Economiche "Marco Fanno".
- Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in an DSGE model for the US," Bank of Finland Research Discussion Papers 11/2010, Bank of Finland.
References listed on IDEAS
- Ben S. Bernanke & Kenneth N. Kuttner, 2005.
"What Explains the Stock Market's Reaction to Federal Reserve Policy?,"
Journal of Finance, American Finance Association, vol. 60(3), pages 1221-1257, June.
- Ben S. Bernanke & Kenneth N. Kuttner, 2003. "What explains the stock market's reaction to Federal Reserve policy?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Ben S. Bernanke & Kenneth N. Kuttner, 2003. "What explains the stock market's reaction to Federal Reserve policy?," Staff Reports 174, Federal Reserve Bank of New York.
- Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," NBER Working Papers 10402, National Bureau of Economic Research, Inc.
- 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.).
- Ben S. Bernanke & Mark Gertler, 2001. "Should Central Banks Respond to Movements in Asset Prices?," American Economic Review, American Economic Association, vol. 91(2), pages 253-257, May.
- Marco Airaudo & Salvatore Nisticò & Luis‐Felipe Zanna, 2015.
"Learning, Monetary Policy, and Asset Prices,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1273-1307, October.
- 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.
- Mr. Marco Airaudo & Salvatore Nisticò & Luis-Felipe Zanna, 2015. "Learning, Monetary Policy and Asset Prices," IMF Working Papers 2015/016, International Monetary Fund.
- Marco Airaudo & Salvatore Nisticò & Luis-Felipe Zanna, 2014. "Learning, Monetary Policy and Asset Prices," Working Papers 4/14, Sapienza University of Rome, DISS.
- John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2001.
"Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk,"
Journal of Finance, American Finance Association, vol. 56(1), pages 1-43, February.
- John Y. Campbell & Martin Lettau & Burton G. Malkiel & Yexiao Xu, 2000. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," NBER Working Papers 7590, National Bureau of Economic Research, Inc.
- Malkiel, Burton & Campbell, John & Lettau, Martin & Xu, Yexiao, 2001. "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Scholarly Articles 3128707, Harvard University Department of Economics.
- Sungbae An & Frank Schorfheide, 2007. "Bayesian Analysis of DSGE Models—Rejoinder," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 211-219.
- Giorgio Di Giorgio & Salvatore Nisticò, 2007.
"Monetary Policy and Stock Prices in an Open Economy,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(8), pages 1947-1985, December.
- Giorgio Di Giorgio & Salvatore Nistico, 2007. "Monetary Policy and Stock Prices in an Open Economy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(8), pages 1947-1985, December.
- Stephen G Cecchetti, 2003. "What the FOMC Says and Does When the Stock Market Booms," RBA Annual Conference Volume (Discontinued), in: Anthony Richards & Tim Robinson (ed.),Asset Prices and Monetary Policy, Reserve Bank of Australia.
- Richard Clarida & Jordi Galí & Mark Gertler, 2000.
"Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 115(1), pages 147-180.
- Richard Clarida & Jordi Galí & Mark Gertler, 1997. "Monetary policy rules and macroeconomic stability: Evidence and some theory," Economics Working Papers 350, Department of Economics and Business, Universitat Pompeu Fabra, revised May 1999.
- Clarida, Richard & Galí, Jordi & Gertler, Mark, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," CEPR Discussion Papers 1908, C.E.P.R. Discussion Papers.
- Richard Clarida & Jordi Gali & Mark Gertler, 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," NBER Working Papers 6442, National Bureau of Economic Research, Inc.
- Clarida, R. & Gali, J. & Gertler, M., 1998. "Monetary Policy Rules and Macroeconomic Stability: Evidence and some Theory," Working Papers 98-01, C.V. Starr Center for Applied Economics, New York University.
- Alejandro Justiniano & Giorgio Primiceri & Andrea Tambalotti, 2011.
"Investment Shocks and the Relative Price of Investment,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(1), pages 101-121, January.
- Giorgio E. Primiceri & Andrea Tambalotti & Alejandro Justiniano, 2009. "Investment Shocks and the Relative Price of Investment," 2009 Meeting Papers 686, Society for Economic Dynamics.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2009. "Investment shocks and the relative price of investment," Staff Reports 411, Federal Reserve Bank of New York.
- Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2009. "Investment Shocks and the Relative Price of Investment," CEPR Discussion Papers 7598, C.E.P.R. Discussion Papers.
- Alejandro Justiniano & Giorgio Primiceri & Andrea Tambalotti, 2010. "Code and data files for "Investment Shocks and the Relative Price of Investment"," Computer Codes 09-248, Review of Economic Dynamics.
- John H. Cochrane, 2011.
"Determinacy and Identification with Taylor Rules,"
Journal of Political Economy, University of Chicago Press, vol. 119(3), pages 565-615.
- John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13410, National Bureau of Economic Research, Inc.
- John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13409, National Bureau of Economic Research, Inc.
- Milani, Fabio, 2017.
"Learning about the interdependence between the macroeconomy and the stock market,"
International Review of Economics & Finance, Elsevier, vol. 49(C), pages 223-242.
- Fabio Milani, 2008. "Learning about the Interdependence between the Macroeconomy and the Stock Market," Working Papers 070819, University of California-Irvine, Department of Economics.
- Justiniano, Alejandro & Primiceri, Giorgio E. & Tambalotti, Andrea, 2010.
"Investment shocks and business cycles,"
Journal of Monetary Economics, Elsevier, vol. 57(2), pages 132-145, March.
- Tambalotti, Andrea & Primiceri, Giorgio & Justiniano, Alejandro, 2008. "Investment Shocks and Business Cycles," CEPR Discussion Papers 6739, C.E.P.R. Discussion Papers.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2009. "Investment Shocks and Business Cycles," NBER Working Papers 15570, National Bureau of Economic Research, Inc.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2008. "Investment shocks and business cycles," Working Paper Series WP-08-12, Federal Reserve Bank of Chicago.
- Alejandro Justiniano & Giorgio E. Primiceri & Andrea Tambalotti, 2008. "Investment shocks and business cycles," Staff Reports 322, Federal Reserve Bank of New York.
- Cardia, Emanuela, 1991. "The dynamics of a small open economy in response to monetary, fiscal, and productivity shocks," Journal of Monetary Economics, Elsevier, vol. 28(3), pages 411-434, December.
- Thorbecke, Willem, 1997.
"On Stock Market Returns and Monetary Policy,"
Journal of Finance, American Finance Association, vol. 52(2), pages 635-654, June.
- Willem Thorbecke, 1995. "On Stock Market Returns and Monetary Policy," Economics Working Paper Archive wp_139, Levy Economics Institute.
- Willem Thorbecke, 1998. "On Stock Market Returns and Monetary Policy," Macroeconomics 9812009, University Library of Munich, Germany.
- Del Negro, Marco & Schorfheide, Frank, 2008.
"Forming priors for DSGE models (and how it affects the assessment of nominal rigidities),"
Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1191-1208, October.
- Marco Del Negro & Frank Schorfheide, 2006. "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," FRB Atlanta Working Paper 2006-16, Federal Reserve Bank of Atlanta.
- Marco Del Negro & Frank Schorfheide, 2008. "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," Staff Reports 320, Federal Reserve Bank of New York.
- Marco Del Negro & Frank Schorfheide, 2008. "Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)," NBER Working Papers 13741, National Bureau of Economic Research, Inc.
- Frank Schorfheide & Marco Del Negro, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," 2007 Meeting Papers 283, Society for Economic Dynamics.
- Del Negro, Marco & Schorfheide, Frank, 2007. "Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities)," CEPR Discussion Papers 6119, C.E.P.R. Discussion Papers.
- Thomas A. Lubik & Frank Schorfheide, 2004.
"Testing for Indeterminacy: An Application to U.S. Monetary Policy,"
American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.
- Thomas Lubik & Frank Schorfheide, 2002. "Testing for Indeterminacy:An Application to U.S. Monetary Policy," Economics Working Paper Archive 480, The Johns Hopkins University,Department of Economics, revised Jun 2003.
- Lawrence J. Christiano & Roberto Motto & Massimo Rostagno, 2003.
"The Great Depression and the Friedman-Schwartz hypothesis,"
Proceedings, Federal Reserve Bank of Cleveland, pages 1119-1215.
- Lawrence J. Christiano & Roberto Motto & Massimo Rostagno, 2004. "The Great Depression and the Friedman-Schwartz Hypothesis," NBER Working Papers 10255, National Bureau of Economic Research, Inc.
- Christiano, Lawrence & Motto, Roberto & Rostagno, Massimo, 2004. "The Great Depression and the Friedman-Schwartz hypothesis," Working Paper Series 326, European Central Bank.
- Lawrence J. Christiano & Roberto Motto & Massimo Rostagno, 2004. "The Great Depression and the Friedman-Schwartz hypothesis," Working Papers (Old Series) 0318, Federal Reserve Bank of Cleveland.
- Lawrence J. Christiano & Roberto Motto, 2004. "The Great Depression and the Friedman-Schwartz Hypothesis," Computing in Economics and Finance 2004 169, Society for Computational Economics.
- Charles T. Carlstrom & Timothy Fuerst, 2007.
"Asset Prices, Nominal Rigidities, and Monetary Policy,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(2), pages 256-275, April.
- Charles T. Carlstrom & Timothy S. Fuerst, 2004. "Asset prices, nominal rigidities, and monetary policy," Working Papers (Old Series) 0413, Federal Reserve Bank of Cleveland.
- James H. Stock & Mark W. Watson, 2003.
"Has the Business Cycle Changed and Why?,"
NBER Chapters, in: NBER Macroeconomics Annual 2002, Volume 17, pages 159-230,
National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 2002. "Has the Business Cycle Changed and Why?," NBER Working Papers 9127, National Bureau of Economic Research, Inc.
- Alejandro Justiniano & Giorgio E. Primiceri, 2008.
"The Time-Varying Volatility of Macroeconomic Fluctuations,"
American Economic Review, American Economic Association, vol. 98(3), pages 604-641, June.
- Alejandro Justiniano & Northwestern University, 2006. "The Time Varying Volatility of Macroeconomic Fluctuations," Computing in Economics and Finance 2006 219, Society for Computational Economics.
- Giorgio Primiceri & Alejandro Justiniano, 2006. "The Time Varying Volatility of Macroeconomic Fluctuations," 2006 Meeting Papers 353, Society for Economic Dynamics.
- Alejandro Justiniano & Giorgio E. Primiceri, 2006. "The Time Varying Volatility of Macroeconomic Fluctuations," NBER Working Papers 12022, National Bureau of Economic Research, Inc.
- Annicchiarico Barbara & Marini Giancarlo & Piergallini Alessandro, 2008.
"Monetary Policy and Fiscal Rules,"
The B.E. Journal of Macroeconomics, De Gruyter, vol. 8(1), pages 1-42, February.
- Giancarlo Marini & Alessandro Piergallini & Barbara Annicchiarico, 2004. "Monetary Policy and Fiscal Rules," CEIS Research Paper 50, Tor Vergata University, CEIS.
- Francesco Furlanetto, 2011.
"Does Monetary Policy React to Asset Prices? Some International Evidence,"
International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 91-111, September.
- Francesco FURLANETTO, 2008. "Does Monetary Policy React to Asset Prices? Some International Evidence," Cahiers de Recherches Economiques du Département d'économie 08.02, Université de Lausanne, Faculté des HEC, Département d’économie.
- Francesco Furlanetto, 2008. "Does monetary policy react to asset prices? Some international evidence," Working Paper 2008/07, Norges Bank.
- Christopher A. Sims & Tao Zha, 2006.
"Were There Regime Switches in U.S. Monetary Policy?,"
American Economic Review, American Economic Association, vol. 96(1), pages 54-81, March.
- Christopher A. Sims & Tao Zha, 2004. "Were there regime switches in U.S. monetary policy?," FRB Atlanta Working Paper 2004-14, Federal Reserve Bank of Atlanta.
- Christopher A. Sims & Tao Zha, 2005. "Were There Regime Switches in U.S. Monetary Policy?," Working Papers 92, Princeton University, Department of Economics, Center for Economic Policy Studies..
- Smets, Frank & Wouters, Raf, 2002.
"Openness, imperfect exchange rate pass-through and monetary policy,"
Journal of Monetary Economics, Elsevier, vol. 49(5), pages 947-981, July.
- Smets, Frank & Wouters, Raf, 2002. "Openness, imperfect exchange rate pass-through and monetary policy," Working Paper Series 128, European Central Bank.
- Frank Smets & Raf Wouters, 2002. "Openness, imperfect exchange rate pass-through and monetary policy," Working Paper Research 19, National Bank of Belgium.
- Christiano, Lawrence J & Eichenbaum, Martin, 1992.
"Current Real-Business-Cycle Theories and Aggregate Labor-Market Fluctuations,"
American Economic Review, American Economic Association, vol. 82(3), pages 430-450, June.
- Lawrence J. Christiano & Martin S. Eichenbaum, 1990. "Current real business cycle theories and aggregate labor market fluctuations," Working Paper Series, Macroeconomic Issues 90, Federal Reserve Bank of Chicago.
- Lawrence J. Christiano & Martin S. Eichenbaum, 1990. "Current real business cycle theories and aggregate labor market fluctuations," Discussion Paper / Institute for Empirical Macroeconomics 24, Federal Reserve Bank of Minneapolis.
- Bernanke, Ben S. & Gertler, Mark & Gilchrist, Simon, 1999.
"The financial accelerator in a quantitative business cycle framework,"
Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 21, pages 1341-1393,
Elsevier.
- Bernanke, B. & Gertler, M. & Gilchrist, S., 1998. "The Financial Accelerator in a Quantitative Business Cycle Framework," Working Papers 98-03, C.V. Starr Center for Applied Economics, New York University.
- Ben Bernanke & Mark Gertler & Simon Gilchrist, 1998. "The Financial Accelerator in a Quantitative Business Cycle Framework," NBER Working Papers 6455, National Bureau of Economic Research, Inc.
- Bjørnland, Hilde C. & Leitemo, Kai, 2009.
"Identifying the interdependence between US monetary policy and the stock market,"
Journal of Monetary Economics, Elsevier, vol. 56(2), pages 275-282, March.
- Bjørnland, Hilde C. & Leitemo, Kai, 2005. "Identifying the interdependence between US monetary policy and the stock market," Bank of Finland Research Discussion Papers 17/2005, Bank of Finland.
- Hilde C. Bjørnland & Kai Leitemo, 2008. "Identifying the interdependence between US monetary policy and the stock market," Working Paper 2008/04, Norges Bank.
- 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.
- 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.
- John Geweke, 1999.
"Using simulation methods for bayesian econometric models: inference, development,and communication,"
Econometric Reviews, Taylor & Francis Journals, vol. 18(1), pages 1-73.
- John Geweke, 1998. "Using simulation methods for Bayesian econometric models: inference, development, and communication," Staff Report 249, Federal Reserve Bank of Minneapolis.
- Roberto Rigobon & Brian Sack, 2003.
"Measuring The Reaction of Monetary Policy to the Stock Market,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 118(2), pages 639-669.
- Roberto Rigobon & Brian P. Sack, 2001. "Measuring the reaction of monetary policy to the stock market," Finance and Economics Discussion Series 2001-14, Board of Governors of the Federal Reserve System (U.S.).
- Roberto Rigobon & Brian Sack, 2001. "Measuring the Reaction of Monetary Policy to the Stock Market," NBER Working Papers 8350, National Bureau of Economic Research, Inc.
- Menahem E. Yaari, 1965. "Uncertain Lifetime, Life Insurance, and the Theory of the Consumer," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 32(2), pages 137-150.
- Leith, Campbell & von Thadden, Leopold, 2008.
"Monetary and fiscal policy interactions in a New Keynesian model with capital accumulation and non-Ricardian consumers,"
Journal of Economic Theory, Elsevier, vol. 140(1), pages 279-313, May.
- Campbell Leith & Leopold von Thadden, 2006. "Monetary and fiscal policy interactions in a New Keynesian model with capital accumulation and non-Ricardian consumers," Working Papers 2006_6, Business School - Economics, University of Glasgow.
- von Thadden, Leopold & Leith, Campbell, 2006. "Monetary and fiscal policy interactions in a New Keynesian model with capital accumulation and non-Ricardian consumers," Working Paper Series 649, European Central Bank.
- Leith, Campbell & von Thadden, Leopold, 2006. "Monetary and fiscal policy interactions in a New Keynesian model with capital accumulation and non-Ricardian consumers," Discussion Paper Series 1: Economic Studies 2006,21, Deutsche Bundesbank.
- Margaret M. McConnell & Gabriel Perez-Quiros, 2000.
"Output fluctuations in the United States: what has changed since the early 1980s?,"
Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Gabriel Perez-Quiros & Margaret M. McConnell, 2000. "Output Fluctuations in the United States: What Has Changed since the Early 1980's?," American Economic Review, American Economic Association, vol. 90(5), pages 1464-1476, December.
- Margaret M. McConnell & Gabriel Perez-Quiros, 1997. "Output fluctuations in the United States: what has changed since the early 1980s?," Research Paper 9735, Federal Reserve Bank of New York.
- Margaret M. McConnell & Gabriel Perez-Quiros, 1998. "Output fluctuations in the United States: what has changed since the early 1980s?," Staff Reports 41, Federal Reserve Bank of New York.
- Ben S. Bernanke & Mark Gertler, 1999.
"Monetary policy and asset price volatility,"
Economic Review, Federal Reserve Bank of Kansas City, vol. 84(Q IV), pages 17-51.
- Ben S. Bernanke & Mark Gertler, 1999. "Monetary policy and asset price volatility," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 77-128.
- Ben Bernanke & Mark Gertler, 2000. "Monetary Policy and Asset Price Volatility," NBER Working Papers 7559, National Bureau of Economic Research, Inc.
- 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.
- Antonello D'Agostino & Luca Sala & Paolo Surico, 2005. "The Fed and the Stock Market," Macroeconomics 0507001, University Library of Munich, Germany.
- Jagjit S. Chadha & Norbert Janssen & Charles Nolan, 2001.
"Productivity and Preferences in a Small Open Economy,"
Manchester School, University of Manchester, vol. 69(s1), pages 57-80.
- Chadha, J. S. & Janssen, N. & Nolan, C.Author-X-Name-First: C., 2001. "Productivity and Preferences in a Small Open Economy," Cambridge Working Papers in Economics 0108, Faculty of Economics, University of Cambridge.
- Timothy Cogley & Thomas J. Sargent, 2005.
"Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April.
- Timothy Cogley & Thomas Sargent, "undated". "Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US," Working Papers 2133503, Department of Economics, W. P. Carey School of Business, Arizona State University.
- Timothy Cogley & Thomas J. Sargent, 2003. "Drifts and volatilities: monetary policies and outcomes in the post WWII U.S," FRB Atlanta Working Paper 2003-25, Federal Reserve Bank of Atlanta.
- Stephen G. Cecchetti & Hans Genberg & Sushil Wadhwani, 2002. "Asset Prices in a Flexible Inflation Targeting Framework," NBER Working Papers 8970, National Bureau of Economic Research, Inc.
- Rigobon, Roberto & Sack, Brian, 2004.
"The impact of monetary policy on asset prices,"
Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1553-1575, November.
- Roberto Rigobon & Brian P. Sack, 2002. "The Impact of Monetary Policy on Asset Prices," NBER Working Papers 8794, National Bureau of Economic Research, Inc.
- Roberto Rigobon & Brian P. 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.).
- Roberto Rigobon & Brian P. Sack, 2002. "The Impact of Monetary Policy on Asset Prices," Finance and Economics Discussion Series 2002-04, Board of Governors of the Federal Reserve System (U.S.).
- Shiller, Robert J, 1981.
"Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?,"
American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
- Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
- Sungbae An & Frank Schorfheide, 2007.
"Bayesian Analysis of DSGE Models,"
Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 113-172.
- Schorfheide, Frank & An, Sungbae, 2005. "Bayesian Analysis of DSGE Models," CEPR Discussion Papers 5207, C.E.P.R. Discussion Papers.
- Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia.
- 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.
- Jeffrey C. Fuhrer & Geoffrey M. B. Tootell, 2004. "Eyes on the prize: how did the Fed respond to the stock market?," Public Policy Discussion Paper 04-2, Federal Reserve Bank of Boston.
- Chadha, J.S. & Nolan, C., 2003. "On the Interaction of Monetary and Fiscal Policy," Cambridge Working Papers in Economics 0303, Faculty of Economics, University of Cambridge.
- Challe, Edouard & Giannitsarou, Chryssi, 2014.
"Stock prices and monetary policy shocks: A general equilibrium approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 46-66.
- Challe, E. & Giannitsarou, C., 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," Working papers 330, Banque de France.
- Edouard Challe & Chryssi Giannitsarou, 2012. "Stock Prices And Monetary Policy Shocks: A General Equilibrium Approach," Working Papers hal-00719956, HAL.
- Giannitsarou, Chryssi & CHALLE, Edouard, 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," CEPR Discussion Papers 8387, C.E.P.R. Discussion Papers.
- Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2007. "Monetary policy and stock market booms and busts in the 20th century," Working Papers 2007-020, Federal Reserve Bank of St. Louis.
- Erceg, Christopher J. & Henderson, Dale W. & Levin, Andrew T., 2000.
"Optimal monetary policy with staggered wage and price contracts,"
Journal of Monetary Economics, Elsevier, vol. 46(2), pages 281-313, October.
- Christopher J. Erceg & Dale W. Henderson & Andrew T. Levin, 1999. "Optimal monetary policy with staggered wage and price contracts," International Finance Discussion Papers 640, Board of Governors of the Federal Reserve System (U.S.).
- Andrew Levin & Christopher J. Erceg & Dale W. Henderson, 1999. "Optimal Monetary Policy with Staggered Wage and Price Contracts," Computing in Economics and Finance 1999 1151, Society for Computational Economics.
- Patelis, Alex D, 1997. "Stock Return Predictability and the Role of Monetary Policy," Journal of Finance, American Finance Association, vol. 52(5), pages 1951-1972, December.
- John H. Cochrane & Lars Peter Hansen, 1992.
"Asset Pricing Explorations for Macroeconomics,"
NBER Chapters, in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182,
National Bureau of Economic Research, Inc.
- John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Working Papers 4088, National Bureau of Economic Research, Inc.
- Calvo, Guillermo A., 1983. "Staggered prices in a utility-maximizing framework," Journal of Monetary Economics, Elsevier, vol. 12(3), pages 383-398, September.
- 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.
- Frank Smets & Rafael Wouters, 2007.
"Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach,"
American Economic Review, American Economic Association, vol. 97(3), pages 586-606, June.
- Smets, Frank & Wouters, Raf, 2007. "Shocks and frictions in US business cycles: a Bayesian DSGE approach," Working Paper Series 722, European Central Bank.
- Smets, Frank & Wouters, Rafael, 2007. "Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach," CEPR Discussion Papers 6112, C.E.P.R. Discussion Papers.
- Frank Smets & Raf Wouters, 2007. "Shocks and Frictions in US Business Cycles : a Bayesian DSGE Approach," Working Paper Research 109, National Bank of Belgium.
- Jean Boivin & Marc P. Giannoni, 2006.
"Has Monetary Policy Become More Effective?,"
The Review of Economics and Statistics, MIT Press, vol. 88(3), pages 445-462, August.
- Jean Boivin & Marc P. Giannoni, 2003. "Has Monetary Policy Become More Effective?," NBER Working Papers 9459, National Bureau of Economic Research, Inc.
- Giannoni, Marc & Boivin, Jean, 2006. "Has Monetary Policy Become More Effective?," CEPR Discussion Papers 5463, C.E.P.R. Discussion Papers.
- Jagjit S. Chadha & Lucio Sarno & Giorgio Valente, 2004.
"Monetary Policy Rules, Asset Prices, and Exchange Rates,"
IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 529-552, November.
- 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.
- Alessandro Piergallini, 2006. "Real Balance Effects and Monetary Policy," Economic Inquiry, Western Economic Association International, vol. 44(3), pages 497-511, July.
- Queijo, Virginia, 2005.
"How Important are Financial Frictions in the U.S. and Euro Area?,"
Seminar Papers
738, Stockholm University, Institute for International Economic Studies.
- Queijo von Heideken, Virginia, 2008. "How Important are Financial Frictions in the U.S. and the Euro Area?," Working Paper Series 223, Sveriges Riksbank (Central Bank of Sweden).
- Blanchard, Olivier J, 1985.
"Debt, Deficits, and Finite Horizons,"
Journal of Political Economy, University of Chicago Press, vol. 93(2), pages 223-247, April.
- Olivier J. Blanchard, 1984. "Debt, Deficits and Finite Horizons," NBER Working Papers 1389, National Bureau of Economic Research, Inc.
- repec:bla:manchs:v:69:y:2001:i:0:p:57-80 is not listed on IDEAS
- Rabanal, Pau & Rubio-Ramirez, Juan F., 2005. "Comparing New Keynesian models of the business cycle: A Bayesian approach," Journal of Monetary Economics, Elsevier, vol. 52(6), pages 1151-1166, September.
- Jagjit S. Chadha & Lucio Sarno & Giorgio Valente, 2004.
"Monetary Policy Rules, Asset Prices, and Exchange Rates,"
IMF Staff Papers, Palgrave Macmillan, vol. 51(3), pages 529-552, November.
- 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.
- Jagjit S. Chadha & Lucio Sarno & Giorgio Valente, 2004. "Monetary Policy Rules, Asset Prices and Exchange Rates," CDMA Working Paper Series 200403, Centre for Dynamic Macroeconomic Analysis.
- Michael D. Bordo & David C. Wheelock, 2007. "Stock market booms and monetary policy in the twentieth century," Review, Federal Reserve Bank of St. Louis, vol. 89(Mar), pages 91-122.
- Lee, Bong-Soo, 1992. "Causal Relations among Stock Returns, Interest Rates, Real Activity, and Inflation," Journal of Finance, American Finance Association, vol. 47(4), pages 1591-1603, September.
- Leith, Campbell & Wren-Lewis, Simon, 2000. "Interactions between Monetary and Fiscal Policy Rules," Economic Journal, Royal Economic Society, vol. 110(462), pages 93-108, March.
- Piergallini, Alessandro, 2004. "Real Balance Effects, Determinacy and Optimal Monetary Policy," MPRA Paper 59832, University Library of Munich, Germany.
- Jeffrey C. Fuhrer, 2000. "Habit Formation in Consumption and Its Implications for Monetary-Policy Models," American Economic Review, American Economic Association, vol. 90(3), pages 367-390, June.
- LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-574, May.
- Frank Smets & Raf Wouters, 2003.
"An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area,"
Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1123-1175, September.
- Frank Smets & Raf Wouters, 2002. "An estimated dynamic stochastic general equilibrium model of the euro area," Working Paper Research 35, National Bank of Belgium.
- Cushing, Matthew J., 1999. "The indeterminacy of prices under interest rate pegging: The non-Ricardian case," Journal of Monetary Economics, Elsevier, vol. 44(1), pages 131-148, August.
- Ben S. Bernanke, 2008. "Semiannual monetary policy report to the Congress: testimony before the Committee on Banking, Housing, and Urban Affairs, U.S. Senate, February 28, 2008," Speech 363, Board of Governors of the Federal Reserve System (U.S.).
- Allan Timmermann, 1996. "Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 63(4), pages 523-557.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- repec:zbw:bofrdp:2010_011 is not listed on IDEAS
- 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.
- Efrem Castelnuovo & Salvatore Nisticò, 2010. "Stock market conditions and monetary policy in a DSGE model for the U.S," Post-Print hal-00732674, HAL.
- Castelnuovo, Efrem & Nisticò, Salvatore, 2010. "Stock market conditions and monetary policy in an DSGE model for the US," Research Discussion Papers 11/2010, Bank of Finland.
- Efrem Castelnuovo & Salvatore Nisticò, 2010. "Stock Market Conditions and Monetary Policy in a DSGE Model for the U.S," "Marco Fanno" Working Papers 0107, Dipartimento di Scienze Economiche "Marco Fanno".
- Castelnuovo, Efrem, 2013. "Monetary policy shocks and financial conditions: A Monte Carlo experiment," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 282-303.
- Milani, Fabio, 2017.
"Learning about the interdependence between the macroeconomy and the stock market,"
International Review of Economics & Finance, Elsevier, vol. 49(C), pages 223-242.
- Fabio Milani, 2008. "Learning about the Interdependence between the Macroeconomy and the Stock Market," Working Papers 070819, University of California-Irvine, Department of Economics.
- Nisticò, Salvatore, 2012.
"Monetary policy and stock-price dynamics in a DSGE framework,"
Journal of Macroeconomics, Elsevier, vol. 34(1), pages 126-146.
- Salvatore Nisticò, 2012. "Monetary Policy and Stock-Price Dynamics in a DSGE Framework," CSEF Working Papers 307, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Funke, Michael & Paetz, Michael & Pytlarczyk, Ernest, 2011.
"Stock market wealth effects in an estimated DSGE model for Hong Kong,"
Economic Modelling, Elsevier, vol. 28(1-2), pages 316-334, January.
- Funke, Michael & Paetz, Michael & Pytlarczyk, Ernest, 2011. "Stock market wealth effects in an estimated DSGE model for Hong Kong," Economic Modelling, Elsevier, vol. 28(1), pages 316-334.
- Funke, Michael & Paetz, Michael & Pytlarczyk, Ernest, 2009. "Stock market wealth effects in an estimated DSGE model for Hong Kong," BOFIT Discussion Papers 14/2009, Bank of Finland Institute for Emerging Economies (BOFIT).
- Michael Funke & Michael Paetz & Ernest Pytlarczyk, 2010. "Stock market wealth effects in an estimated DSGE model for Hong Kong," Quantitative Macroeconomics Working Papers 21009, Hamburg University, Department of Economics.
- Marco Airaudo & Salvatore Nisticò & Luis‐Felipe Zanna, 2015.
"Learning, Monetary Policy, and Asset Prices,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 47(7), pages 1273-1307, October.
- 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.
- Mr. Marco Airaudo & Salvatore Nisticò & Luis-Felipe Zanna, 2015. "Learning, Monetary Policy and Asset Prices," IMF Working Papers 2015/016, International Monetary Fund.
- Marco Airaudo & Salvatore Nisticò & Luis-Felipe Zanna, 2014. "Learning, Monetary Policy and Asset Prices," Working Papers 4/14, Sapienza University of Rome, DISS.
- Bjørnland, Hilde C. & Leitemo, Kai, 2009.
"Identifying the interdependence between US monetary policy and the stock market,"
Journal of Monetary Economics, Elsevier, vol. 56(2), pages 275-282, March.
- Bjørnland, Hilde C. & Leitemo, Kai, 2005. "Identifying the interdependence between US monetary policy and the stock market," Bank of Finland Research Discussion Papers 17/2005, Bank of Finland.
- Hilde C. Bjørnland & Kai Leitemo, 2008. "Identifying the interdependence between US monetary policy and the stock market," Working Paper 2008/04, Norges Bank.
- 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.
- Challe, Edouard & Giannitsarou, Chryssi, 2014.
"Stock prices and monetary policy shocks: A general equilibrium approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 46-66.
- Challe, E. & Giannitsarou, C., 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," Working papers 330, Banque de France.
- Edouard Challe & Chryssi Giannitsarou, 2012. "Stock Prices And Monetary Policy Shocks: A General Equilibrium Approach," Working Papers hal-00719956, HAL.
- Giannitsarou, Chryssi & CHALLE, Edouard, 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," CEPR Discussion Papers 8387, C.E.P.R. Discussion Papers.
- Qureshi, Irfan, 2015.
"Monetary Policy Shifts and Central Bank Independence,"
MPRA Paper
81646, University Library of Munich, Germany, revised Sep 2017.
- Qureshi, Irfan, 2017. "Monetary Policy Shifts and Central Bank Independence," Economic Research Papers 269096, University of Warwick - Department of Economics.
- Qureshi, Irfan, 2017. "Monetary Policy Shifts and Central Bank Independence," The Warwick Economics Research Paper Series (TWERPS) 1139, University of Warwick, Department of Economics.
- Airaudo, Marco & Cardani, Roberta & Lansing, Kevin J., 2013. "Monetary policy and asset prices with belief-driven fluctuations," Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1453-1478.
- Francesco Furlanetto, 2011.
"Does Monetary Policy React to Asset Prices? Some International Evidence,"
International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 91-111, September.
- Francesco FURLANETTO, 2008. "Does Monetary Policy React to Asset Prices? Some International Evidence," Cahiers de Recherches Economiques du Département d'économie 08.02, Université de Lausanne, Faculté des HEC, Département d’économie.
- Francesco Furlanetto, 2008. "Does monetary policy react to asset prices? Some international evidence," Working Paper 2008/07, Norges Bank.
- repec:zbw:bofrdp:2005_017 is not listed on IDEAS
- Fernández-Villaverde, J. & Rubio-RamÃrez, J.F. & Schorfheide, F., 2016.
"Solution and Estimation Methods for DSGE Models,"
Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 527-724,
Elsevier.
- Rubio-RamÃrez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
- Jesús Fernández-Villaverde & Juan F. Rubio Ramírez & Frank Schorfheide, 2016. "Solution and Estimation Methods for DSGE Models," NBER Working Papers 21862, National Bureau of Economic Research, Inc.
- Jesus Fernandez-Villaverde & Juan Rubio-RamÃrez & Frank Schorfheide, 2015. "Solution and Estimation Methods for DSGE Models," PIER Working Paper Archive 15-042, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 09 Dec 2015.
- Bjørnland, Hilde C. & Leitemo, Kai, 2009.
"Identifying the interdependence between US monetary policy and the stock market,"
Journal of Monetary Economics, Elsevier, vol. 56(2), pages 275-282, March.
- 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.
- Hilde C. Bjørnland & Kai Leitemo, 2008. "Identifying the interdependence between US monetary policy and the stock market," Working Paper 2008/04, Norges Bank.
- Bjørnland, Hilde C. & Leitemo, Kai, 2005. "Identifying the interdependence between US monetary policy and the stock market," Research Discussion Papers 17/2005, Bank of Finland.
- Di Giorgio, Giorgio & Nisticò, Salvatore, 2013.
"Productivity shocks, stabilization policies and the dynamics of net foreign assets,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 210-230.
- Giorgio Di Giorgio & Salvatore Nisticò, 2010. "Productivity Shocks, Stabilization Policies and the Dynamics of Net Foreign Assets," Working Papers LuissLab 1089, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Giorgio Di Giorgio & Salvatore Nistico', 2011. "Productivity Shocks, Stabilization Policies and the Dynamics of Net Foreign Assets," Working Papers CASMEF 1101, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Kostas Mavromatis, 2020. "Finite Horizons and the Monetary/Fiscal Policy Mix," International Journal of Central Banking, International Journal of Central Banking, vol. 16(4), pages 327-378, September.
- Emanuele Bacchiocchi & Efrem Castelnuovo & Luca Fanelli, 2014.
"Gimme a break! Identification and estimation of the macroeconomic effects of monetary policy shocks in the U.S,"
"Marco Fanno" Working Papers
0181, Dipartimento di Scienze Economiche "Marco Fanno".
- Emanuele Bacchiocchi & Efrem Castelnuovo & Luca Fanelli, 2016. "Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S," Melbourne Institute Working Paper Series wp2016n31, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Efrem Castelnuovo, 2012.
"Estimating the Evolution of Money’s Role in the U.S. Monetary Business Cycle,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 23-52, February.
- Efrem Castelnuovo, 2012. "Estimating the Evolution of Money’s Role in the U.S. Monetary Business Cycle," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(1), pages 23-52, February.
- Efrem Castelnuovo, 2009. "Estimating the Evolution of Money's Role in the U.S. Monetary Business Cycle," "Marco Fanno" Working Papers 0103, Dipartimento di Scienze Economiche "Marco Fanno".
- Jesús Fernández-Villaverde, 2010.
"The econometrics of DSGE models,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 1(1), pages 3-49, March.
- Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," PIER Working Paper Archive 09-008, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Fernández-Villaverde, Jesús, 2009. "The Econometrics of DSGE Models," CEPR Discussion Papers 7157, C.E.P.R. Discussion Papers.
- Jesús Fernández-Villaverde, 2009. "The Econometrics of DSGE Models," NBER Working Papers 14677, National Bureau of Economic Research, Inc.
- Best, Gabriela & Hur, Joonyoung, 2019. "Bad luck, bad policy, and learning? A Markov-switching approach to understanding postwar U.S. macroeconomic dynamics," European Economic Review, Elsevier, vol. 119(C), pages 55-78.
- Giovanni Nicolo, 2020. "Monetary Policy, Self-Fulfilling Expectations and the U.S. Business Cycle," Finance and Economics Discussion Series 2020-035, Board of Governors of the Federal Reserve System (U.S.).
More about this item
Keywords
Stock Prices; Monetary Policy; Bayesian Estimation; Wealth Effects;All these keywords.
JEL classification:
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-00732674. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.