| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w8350
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| 来源ID | Working Paper 8350
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| Measuring the Reaction of Monetary Policy to the Stock Market |
| Roberto Rigobon; Brian Sack
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| 发表日期 | 2001-07-01
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| 出版年 | 2001
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| 语种 | 英语
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| 摘要 | Movements in the stock market can have a significant impact on the macroeconomy and are therefore likely to be an important factor in the determination of monetary policy. However, little is known about the magnitude of the Federal Reserve's reaction to the stock market. One reason is that it is difficult to estimate the policy reaction because of the simultaneous response of equity prices to interest rate changes. This paper uses an identification technique based on the heteroskedasticity of stock market returns to identify the reaction of monetary policy to the stock market. The results indicate that monetary policy reacts significantly to stock market movements, with a 5% rise (fall) in the S&P 500 index increasing the likelihood of a 25 basis point tightening (easing) by about a half. This reaction is roughly of the magnitude that would be expected from estimates of the impact of stock market movements on aggregate demand. Thus, it appears that the Federal Reserve systematically responds to stock price movements only to the extent warranted by their impact on the macroeconomy. |
| 主题 | Macroeconomics
; Money and Interest Rates
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| URL | https://www.nber.org/papers/w8350
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565952
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推荐引用方式
GB/T 7714 |
Roberto Rigobon,Brian Sack. Measuring the Reaction of Monetary Policy to the Stock Market. 2001.
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文件名：
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w8350.pdf
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格式：
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Adobe PDF
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