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Time variation in macro-financial linkages

Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - 2013

We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...

Persistent link: https://www.econbiz.de/10009739598

Time Variation in Macro-Financial Linkages

Prieto, Esteban - 2016

Persistent link: https://www.econbiz.de/10012988788

Monetary Shocks and Stock Returns : Identification Through the Impossible Trinity

Ozdagli, Ali - 2013

.S. stock prices. To overcome this bias, we propose a new identification method based on the "Impossible Trinity" theory which …We present evidence of significant bias in event studies that investigate the effect of U.S. monetary policy on U …

Persistent link: https://www.econbiz.de/10013075805

The Effect of Monetary Policy Shocks on Stock Prices Accounting for Endogeneity and Omitted Variable Biases

Farka, Mira - 2009

A new high-frequency data set is used to estimate the Fed's impact on the level and volatility of stock prices while accounting for endogeneity and omitted variable biases and potential asymmetries. Results show that after addressing these issues, the effect of policy shocks on the level and...

Persistent link: https://www.econbiz.de/10013156282

Impact of monetary policy and fiscal policy on Indonesian stock market

Rossanto Dwi Handoyo; BinJusoh, Mansor; Mohd Azlan Shah … - In: Expert journal of economics 3 (2015) 2, pp. 113-126

). We find that there is a positive stock price response to monetary policy shock both aggregated and sectoral stock price …. In term of interaction between fiscal policy shock and stock market, we find that all sectors respond negative …

Persistent link: https://www.econbiz.de/10012062301

Investigating the effect of financial and monetary policy on the Iranian stock market by using DSGE model

Rahmani, Abdolsamad; Samadi, Saeed; Dastjerdi, Rasul Bakhshi - In: Iranian economic review : journal of University of Tehran 25 (2021) 3, pp. 509-523

Persistent link: https://www.econbiz.de/10012664179

Fiscal policy shocks and stock prices in the United States

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

1980. Over the period 1955-1979 an expansionary spending or revenue shock was associated with modestly higher stock prices …. After 1980, along with a decline in the fiscal multiplier, the response of stock prices to the same shock became negative …

Persistent link: https://www.econbiz.de/10011887044

Fiscal policy shocks and stock prices in the United States

Mumtaz, Haroon; Theodoridis, Konstantinos - 2017

1980. Over the period 1955-1980 an expansionary spending or revenue shock was associated with modestly higher stock prices …. After 1980, along with a decline in the fiscal multiplier, the response of stock prices to the same shock became negative …

Persistent link: https://www.econbiz.de/10011627039

Markup Shocks and Asset Prices

Corhay, Alexandre; Li, Jun E.; Tong, Jincheng - 2022

shock is associated with high marginal utility states. Markup shocks generate differences in risk premia due to their …

Persistent link: https://www.econbiz.de/10013295189

Should Monetary Policy Respond to Asset Price Bubbles? Some Experimental Results

Filardo, Andrew J. - 2002

contain reliable information about inflation and output. Second, this finding holds even if a monetary authority cannot …

Persistent link: https://www.econbiz.de/10014124824