The time varying effect of monetary policy on stock returns

abstract

• 2017 We find that a surprise increase on the federal funds rate has five times stronger and statistically significant effects on stock returns during 20002007, versus statistically insignificant effects during 19892000. These differences are not apparent in the bond markets.

authors

• Jansen, Dennis

published proceedings

• ECONOMICS LETTERS

author list (cited authors)

• Jansen, D. W., & Zervou, A.

citation count

• 19

complete list of authors

• Jansen, Dennis W||Zervou, Anastasia

publication date

• January 2017

publisher

• Elsevier  Publisher

published in

• Economics Letters  Journal

keywords

• Monetary Policy Transmission
• Stock Prices
• Time Varying Parameter Model

Digital Object Identifier (DOI)

• 10.1016/j.econlet.2017.08.022

start page

• 54

end page

• 58

volume

• 160

URL

• http://dx.doi.org/10.1016/j.econlet.2017.08.022