期刊
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
卷 29, 期 1, 页码 126-137出版社
AMER STATISTICAL ASSOC
DOI: 10.1198/jbes.2009.08019
关键词
Identification; Monetary policy; Stock market; Structural VAR
资金
- Department of Economics, Columbia University
- California State University, Fullerton
This article develops a new identification procedure to estimate the contemporaneous relation between monetary policy and the stock market within a vector autoregression (VAR) framework. The approach combines high-frequency data from the futures market with the VAR methodology to circumvent exclusion restrictions and achieve identification. Our analysis casts doubt on VAR models imposing a recursive structure between innovations in policy rates and stock returns. We find that a tightening in policy rates has a negative impact on stock prices and that the Federal Reserve (Fed) has responded significantly to movements in the stock market. Estimates are robust to various model specifications.
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