Nonlinear relationship between monetary policy and stock returns : evidence from the U.S.
Marcelle Chauvet, Cheng Jiang
| Year of publication: |
2023
|
|---|---|
| Authors: | Chauvet, Marcelle ; Jiang, Cheng |
| Published in: |
Global finance journal. - Amsterdam [u.a.] : Elsevier Inc., ISSN 1044-0283, ZDB-ID 1117243-5. - Vol. 55.2023, p. 1-14
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| Subject: | Kalman filter | Markov-switching dynamic bi-factor model | Monetary policy | Stock market | Geldpolitik | USA | United States | Aktienmarkt | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain | Börsenkurs | Share price | Zustandsraummodell | State space model | Wirkungsanalyse | Impact assessment | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.gfj.2022.100796 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014248590