| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5057534 | Economics Letters | 2017 | 5 Pages |
Abstract
â¢Stock returns respond strongly to monetary policy surprises during the 2000s.â¢Stock returns do not respond to monetary policy surprises during the 1990s.â¢Bond markets do not demonstrate such time variation.â¢Monetary policy's time varying effect is driven by events in the stock market.
We find that a surprise increase on the federal funds rate has five times stronger and statistically significant effects on stock returns during 2000-2007, versus statistically insignificant effects during 1989-2000. These differences are not apparent in the bond markets.
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Authors
Dennis W. Jansen, Anastasia Zervou,