메뉴 건너뛰기




Volumn 40, Issue 2, 1996, Pages 213-237

Business conditions, monetary policy, and expected security returns

Author keywords

Business conditions; Expected security returns; Monetary policy

Indexed keywords


EID: 0030076532     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/0304-405X(96)89537-7     Document Type: Article
Times cited : (210)

References (38)
  • 1
    • 84977713178 scopus 로고
    • Predicting stock returns in an efficient market
    • Balvers, Ronald J., Thomas F. Cosimano, and Bill McDonald, 1990, Predicting stock returns in an efficient market, Journal of Finance 45, 1109-1128.
    • (1990) Journal of Finance , vol.45 , pp. 1109-1128
    • Balvers, R.J.1    Cosimano, T.F.2    McDonald, B.3
  • 2
    • 85016834058 scopus 로고
    • The federal funds rate and the channels of monetary transmission
    • Bernanke, Ben S. and Alan S. Blinder, 1992, The federal funds rate and the channels of monetary transmission. American Economic Review 82, 901-921.
    • (1992) American Economic Review , vol.82 , pp. 901-921
    • Bernanke, B.S.1    Blinder, A.S.2
  • 3
    • 0344839169 scopus 로고
    • Stock returns and the term structure
    • Campbell, John Y., 1987, Stock returns and the term structure. Journal of Financial Economics 18, 373-399.
    • (1987) Journal of Financial Economics , vol.18 , pp. 373-399
    • Campbell, J.Y.1
  • 4
    • 0000007521 scopus 로고
    • The dividend price ratio and expectations of future dividends and discount factors
    • Campbell. John Y. and Robert Shiller, 1988, The dividend price ratio and expectations of future dividends and discount factors, Review of Financial Studies 1. 195-228.
    • (1988) Review of Financial Studies , vol.1 , pp. 195-228
    • Campbell, J.Y.1    Shiller, R.2
  • 5
    • 84977738382 scopus 로고
    • Financial investment opportunities and the macroeconomy
    • Chen, Nai-fu, 1991, Financial investment opportunities and the macroeconomy. Journal of Finance 46. 529-554.
    • (1991) Journal of Finance , vol.46 , pp. 529-554
    • Chen, N.-F.1
  • 6
    • 0001671988 scopus 로고
    • The information content of discount rate announcements and their effect on market interest rates
    • Cook, Timothy and Thomas Hahn, 1988, The information content of discount rate announcements and their effect on market interest rates, Journal of Money, Credit, and Banking 20, 167-180.
    • (1988) Journal of Money, Credit, and Banking , vol.20 , pp. 167-180
    • Cook, T.1    Hahn, T.2
  • 7
    • 0000575756 scopus 로고
    • The money supply announcements puzzle: Review and interpretation
    • Cornell, Bradford, 1983, The money supply announcements puzzle: Review and interpretation, American Economic Review 73, 644-657.
    • (1983) American Economic Review , vol.73 , pp. 644-657
    • Cornell, B.1
  • 8
    • 0000467517 scopus 로고
    • Money does Granger-cause output in the bivariate money-output relation
    • Christiano, Lawrence J. and Lars Ljungqvist, 1988, Money does Granger-cause output in the bivariate money-output relation, Journal of Monetary Economics 22, 217-236.
    • (1988) Journal of Monetary Economics , vol.22 , pp. 217-236
    • Christiano, L.J.1    Ljungqvist, L.2
  • 9
    • 28044446540 scopus 로고
    • Forward rates as predictors of future spot rates
    • Fama, Eugene F., 1976, Forward rates as predictors of future spot rates. Journal of Financial Economics 3, 361-377.
    • (1976) Journal of Financial Economics , vol.3 , pp. 361-377
    • Fama, E.F.1
  • 10
    • 33749009107 scopus 로고
    • Stock returns, real activity, inflation, and money
    • Fama, Eugene F., 1981, Stock returns, real activity, inflation, and money. American Economic Review 71, 545-565.
    • (1981) American Economic Review , vol.71 , pp. 545-565
    • Fama, E.F.1
  • 11
    • 0000911048 scopus 로고
    • The information in the term structure
    • Fama, Eugene F., 1984, The information in the term structure. Journal of Financial Economics 13, 509-528.
    • (1984) Journal of Financial Economics , vol.13 , pp. 509-528
    • Fama, E.F.1
  • 12
    • 84977707061 scopus 로고
    • Stock returns, expected returns, and real activity
    • Fama, Eugene F., 1990, Stock returns, expected returns, and real activity. Journal of Finance 45. 1089-1108.
    • (1990) Journal of Finance , vol.45 , pp. 1089-1108
    • Fama, E.F.1
  • 13
    • 0000064728 scopus 로고
    • The information in long-maturity forward rates
    • Fama, Eugene F. and Robert R. Bliss, 1987. The information in long-maturity forward rates. American Economic Review 77, 680-692.
    • (1987) American Economic Review , vol.77 , pp. 680-692
    • Fama, E.F.1    Bliss, R.R.2
  • 14
  • 15
    • 34250890715 scopus 로고
    • Business conditions and expected returns on stocks and bonds
    • Fama, Eugene F. and Kenneth R. French, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 25. 23-49.
    • (1989) Journal of Financial Economics , vol.25 , pp. 23-49
    • Fama, E.F.1    French, K.R.2
  • 17
    • 84881179172 scopus 로고    scopus 로고
    • Federal Reserve, Washington, DC
    • Federal Reserve Statistical Release H. 15, Selected interest rates (Federal Reserve, Washington, DC).
    • Selected Interest Rates
  • 19
    • 84944830931 scopus 로고
    • The fiscal and monetary linkage between stock returns and inflation
    • Geske. Robert and Richard Roll, 1983. The fiscal and monetary linkage between stock returns and inflation. Journal of Finance 38, 1-33.
    • (1983) Journal of Finance , vol.38 , pp. 1-33
    • Geske, R.1    Roll, R.2
  • 20
    • 84977737647 scopus 로고
    • Reserves announcements and interest rates: Does monetary policy matter?
    • Hardovelis, Gikas A.. 1987, Reserves announcements and interest rates: Does monetary policy matter?, Journal of Finance 42, 407-422.
    • (1987) Journal of Finance , vol.42 , pp. 407-422
    • Hardovelis, G.A.1
  • 21
    • 0002841993 scopus 로고
    • Discount rate changes and security returns in the u.S., 1962 1991
    • Jensen, Gerald R. and Robert R. Johnson, 1995, Discount rate changes and security returns in the U.S., 1962 1991, Journal of Banking and Finance 19. 79-95.
    • (1995) Journal of Banking and Finance , vol.19 , pp. 79-95
    • Jensen, G.R.1    Johnson, R.R.2
  • 22
    • 0001715015 scopus 로고
    • Stock returns and inflation: The role of the monetary sector
    • Kaul. Gautum, 1987, Stock returns and inflation: The role of the monetary sector. Journal of Financial Economics 18, 253-276.
    • (1987) Journal of Financial Economics , vol.18 , pp. 253-276
    • Kaul, G.1
  • 23
    • 46149129689 scopus 로고
    • Predicting returns in the stock and bond markets
    • Keim. Donald B. and Robert F. Stambaugh, 1986, Predicting returns in the stock and bond markets, Journal of Financial Economics 17, 357-390.
    • (1986) Journal of Financial Economics , vol.17 , pp. 357-390
    • Keim, D.B.1    Stambaugh, R.F.2
  • 24
    • 0002228805 scopus 로고
    • An interest-rate-based indicator of monetary policy
    • Federal Reserve Bank of Chicago
    • Laurent, Robert D., 1988, An interest-rate-based indicator of monetary policy, Economic Perspectives, Federal Reserve Bank of Chicago 12, 3-14.
    • (1988) Economic Perspectives , vol.12 , pp. 3-14
    • Laurent, R.D.1
  • 25
    • 0003059248 scopus 로고
    • Money supply announcements and stock prices
    • Lynge, Morgan J. Jr., 1981, Money supply announcements and stock prices. Journal of Portfolio Management 8, 40-43.
    • (1981) Journal of Portfolio Management , vol.8 , pp. 40-43
    • Lynge M.J., Jr.1
  • 26
    • 0002811126 scopus 로고
    • Monetary policy and long-term interest rates: An efficient markets approach
    • Mishkin, Frederic S.. 1981, Monetary policy and long-term interest rates: An efficient markets approach, Journal of Monetary Economics 7, 29-55.
    • (1981) Journal of Monetary Economics , vol.7 , pp. 29-55
    • Mishkin, F.S.1
  • 27
    • 84977432371 scopus 로고
    • Monetary policy and short-term interest rates: An efficient markets rational expectations approach
    • Mishkin, Frederic S., 1982, Monetary policy and short-term interest rates: An efficient markets rational expectations approach, Journal of Finance 37. 63-72.
    • (1982) Journal of Finance , vol.37 , pp. 63-72
    • Mishkin, F.S.1
  • 28
    • 0000285422 scopus 로고
    • The reaction of stock prices to unanticipated changes in money: A note
    • Pearce, Douglas K. and V. Vance Roley, 1983, The reaction of stock prices to unanticipated changes in money: A note, Journal of Finance 38, 1323-1333.
    • (1983) Journal of Finance , vol.38 , pp. 1323-1333
    • Pearce, D.K.1    Roley, V.V.2
  • 29
    • 0002446489 scopus 로고
    • Stock prices and economic news
    • Pearce, Douglas K. and V. Vance Roley, 1985, Stock prices and economic news, Journal of Business 58, 49-67.
    • (1985) Journal of Business , vol.58 , pp. 49-67
    • Pearce, D.K.1    Roley, V.V.2
  • 30
    • 0001524717 scopus 로고
    • Money and stock prices: Market efficiency and the lag in effect of monetary policy
    • Rozeff, Michael, 1974, Money and stock prices: Market efficiency and the lag in effect of monetary policy, Journal of Financial Economics 1, 245-302.
    • (1974) Journal of Financial Economics , vol.1 , pp. 245-302
    • Rozeff, M.1
  • 31
    • 0011407070 scopus 로고
    • The money supply and the stock market: The demise of a leading indicator
    • Rozeff, Michael, 1975, The money supply and the stock market: The demise of a leading indicator. Financial Analysts Journal 31, 18-20, 22-24, 26, 76.
    • (1975) Financial Analysts Journal , vol.31 , pp. 18-20
    • Rozeff, M.1
  • 32
    • 0002940613 scopus 로고
    • Dividend yields are equity risk premiums
    • Rozeff, Michael, 1984, Dividend yields are equity risk premiums, Journal of Portfolio Management 10, 68-75.
    • (1984) Journal of Portfolio Management , vol.10 , pp. 68-75
    • Rozeff, M.1
  • 33
    • 84977711269 scopus 로고
    • Stock returns and real activity: A century of evidence
    • Schwert. G. William, 1990, Stock returns and real activity: A century of evidence, Journal of Finance 45, 1237-1257.
    • (1990) Journal of Finance , vol.45 , pp. 1237-1257
    • Schwert, G.W.1
  • 34
    • 0001116028 scopus 로고
    • Forward rates and future policy: Interpreting the term structure of interest rates
    • Shiller, Robert J., John Y. Campbell, and Kermit L. Schoenholtz. 1983. Forward rates and future policy: Interpreting the term structure of interest rates. Brookings Papers on Economic Activity 1, 173-217.
    • (1983) Brookings Papers on Economic Activity , vol.1 , pp. 173-217
    • Shiller, R.J.1    Campbell, J.Y.2    Schoenholtz, K.L.3
  • 35
    • 0001462080 scopus 로고
    • Money, income, and causality
    • Sims, Christopher A., 1972, Money, income, and causality, American Economic Review 62, 540-552.
    • (1972) American Economic Review , vol.62 , pp. 540-552
    • Sims, C.A.1
  • 36
    • 0000985305 scopus 로고
    • Asset returns, discount rate changes, and market efficiency
    • Smirlock, Michael and Jess Yawitz, 1985, Asset returns, discount rate changes, and market efficiency, Journal of Finance 40, 1141-1158.
    • (1985) Journal of Finance , vol.40 , pp. 1141-1158
    • Smirlock, M.1    Yawitz, J.2
  • 37
    • 0002723345 scopus 로고
    • Do forecast errors or term premia really make a difference between long and short rates?
    • Startz. Richard, 1982, Do forecast errors or term premia really make a difference between long and short rates?, Journal of Financial Economics 3, 323-329.
    • (1982) Journal of Financial Economics , vol.3 , pp. 323-329
    • Startz, R.1
  • 38
    • 0000299672 scopus 로고
    • Public interpretation of federal reserve discount rate changes: Evidence on the 'announcement effect'
    • Waud, Roger N., 1970, Public interpretation of Federal Reserve discount rate changes: Evidence on the 'announcement effect'. Econometrica 38, 231-250.
    • (1970) Econometrica , vol.38 , pp. 231-250
    • Waud, R.N.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.