Monetary policy and fixed income returns

Quarterly Review of Economics and Finance

Volumn 43, Issue 1, 2003, Pages 133-146

  Johnson, Robert R ^a   Buetow, Gerald W ^b   Jensen, Gerald R ^c   Keilly, Frank K ^d  

^a Assoc for Investm Mgmt and Res   (United States)

^b BFRC Services LLC   (United States)

^c NORTHERN ILLINOIS UNIVERSITY   (United States)

^d UNIVERSITY OF NOTRE DAME   (United States)

Author keywords

Federal reserve; Fixed income; Monetary policy

Indexed keywords

EID: 0037336160     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1062-9769(01)00134-X     Document Type: Article

References (25)

1. Baker, H. K., & Meyer, J. M. (1980). Impact of discount rate-changes on treasury bills. Journal of Economics and Business, 33, 43-48.
2. Batten, D. S., & Thornton, D. L. (1984). Discount rate-changes and the foreign exchange market. Journal of International Money and Finance, 3, 279-292.
3. Bernanke, B. S.,& Blinder,A. S. (1992). The federal funds rate and the channels of monetary transmission. American Economic Review, 82, 901-921.
4. Board of Governors of the Federal Reserve (1961). The federal reserve system: Purposes and functions. Washington, DC: Board of Governors of the Federal Reserve.
5. Booth, J. R., & Booth, L. C. (1997). Economic factors, monetary policy, and expected returns on stocks and bonds. Economic Review, Federal Reserve Bank of San Francisco, pp. 32-42.
6. Brown, K. H. (1981). Effects of changes in the discount rate on the foreign exchange value of the dollar: 1973-1978. Quarterly Journal of Economics, 95, 551-558.
7. Campbell, J. Y. (1995). Some lessons from the yield curve. Journal of Economic Perspectives, 9, 129-152.
8. Campbell, J. Y., & Ammer, J. (1993). What moves the stock and bond markets? A variance decomposition for long-term asset returns. Journal of Finance, 48, 3-26.
9. Cook, T., & Hahn, T. (1988). The information content of discount rate announcements and their effect on market interest rates. Journal of Money, Credit and Banking, 20, 167-180.
10. Fisher, I. (1930). The Theory of Interest. New York: MacMillan.
11. Ibbotson Associates. (2000). Stocks, bonds, bills and inflation: 2000 Yearbook. Chicago, IL: Ibbotson Associates.
12. Jensen, G. R., & Johnson, R. R. (1993). An examination of stock price reactions to discount rate-changes under alternative monetary policy regimes. Quarterly Journal of Business and Economics, 32, 26-51.
13. Jensen, G. R., & Johnson, R. R. (1995). Discount rate-changes and security returns in the U.S.: 1962-1991. Journal of Banking and Finance, 19, 79-96.
14. Jensen, G. R., Mercer, J. M., & Johnson, R. R. (1996, February). Business conditions, monetary policy, and expected security returns. Journal of Financial Economics, 40, 213-237.
15. Mishkin, F. S. (1990). The information in the longer-maturity term structure about future inflation. Quarterly Journal of Economics, 105, 815-820.
16. Patelis, A. D. (1997). Stock return predictability and the role of the monetary sector. Journal of Finance, 52, 1951-1972.
17. Pearce, D. K., & Roley, V. V. (1985). Stock prices and economic news. Journal of Business, 58, 49-67.
18. Roley, V. V., & Troll, R. (1984). The impact of discount rate changes on market interest rates. Economic review, Federal Reserve Bank of Kansas city, pp. 27-39.
19. Romer, C., & Romer, D. (1996). Federal reserve private information and the behavior of interest rates. NBER working paper 5692.
20. Smirlock, M. J., & Yawitz, J. B. (1985). Asset returns, discount rate-changes, and market efficiency. Journal of Finance, 40, 1141-1158.
21. Thorbecke, W. (1997). On stock market returns and monetary policy. Journal of Finance, 52, 635-654.
22. Thorbecke, W. (2000). Monetary policy, time-varying risk, and the bond market debacle of 1994. Journal of Macroeconomics, 22, 159-174.
23. Thorbecke, W., & Alami, T. (1992). The federal funds rate and the arbitrage pricing theory: Evidence that monetary policy matters. Journal of Macroeconomics, 14, 731-744.
24. Waud, R. N. (1970). Public interpretation of federal reserve discount rate-changes: Evidence on the 'announcement effect'. Econometrica, 38, 231-250.
25. Wessel, D., & Schlesinger, J. (1998, September 9). Greenspan's words seem to do trick. The Wall Street Journal, C1.