| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w8794
|
| 来源ID | Working Paper 8794
|
| The Impact of Monetary Policy on Asset Prices |
| Roberto Rigobon; Brian P. Sack
|
| 发表日期 | 2002-02-14
|
| 出版年 | 2002
|
| 语种 | 英语
|
| 摘要 | Estimating the response of asset prices to changes in monetary policy is complicated by the endogeneity of policy decisions and the fact that both interest rates and asset prices react to numerous other variables. This paper develops a new estimator that is based on the heteroskedasticity that exists in high frequency data. We show that the response of asset prices to changes in monetary policy can be identified based on the increase in the variance of policy shocks that occurs on days of FOMC meetings and of the Chairman's semi-annual monetary policy testimony to Congress. The identification approach employed requires a much weaker set of assumptions than needed under the 'event-study' approach that is typically used in this context. The results indicate that an increase in short-term interest rates results in a decline in stock prices and in an upward shift in the yield curve that becomes smaller at longer maturities. The findings also suggest that the event-study estimates contain biases that make the estimated effects on stock prices appear too small and those on Treasury yields too large. |
| 主题 | Macroeconomics
; Money and Interest Rates
|
| URL | https://www.nber.org/papers/w8794
|
| 来源智库 | National Bureau of Economic Research (United States)
|
| 引用统计 |
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566401
|
推荐引用方式
GB/T 7714 |
Roberto Rigobon,Brian P. Sack. The Impact of Monetary Policy on Asset Prices. 2002.
|
|
文件名：
|
w8794.pdf
|
|
格式：
|
Adobe PDF
|
此文件暂不支持浏览
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
