메뉴 건너뛰기




Volumn 56, Issue 2, 2009, Pages 275-282

Identifying the interdependence between US monetary policy and the stock market

Author keywords

Asset prices; Identification; Monetary policy; VAR

Indexed keywords


EID: 61649104318     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmoneco.2008.12.001     Document Type: Article
Times cited : (262)

References (35)
  • 1
    • 33847668476 scopus 로고    scopus 로고
    • Stock prices, news and economic fluctuations
    • Beaudry P., and Portier F. Stock prices, news and economic fluctuations. American Economic Review 96 (2006) 1293-1307
    • (2006) American Economic Review , vol.96 , pp. 1293-1307
    • Beaudry, P.1    Portier, F.2
  • 2
    • 84977364496 scopus 로고
    • Agency costs, net worth, and business fluctuations
    • Bernanke B.S., and Gertler M. Agency costs, net worth, and business fluctuations. American Economic Review 79 (1989) 14-31
    • (1989) American Economic Review , vol.79 , pp. 14-31
    • Bernanke, B.S.1    Gertler, M.2
  • 4
    • 0041077402 scopus 로고    scopus 로고
    • Should central banks respond to movements in asset prices?
    • Bernanke B.S., and Gertler M. Should central banks respond to movements in asset prices?. American Economic Review 91 (2001) 253-257
    • (2001) American Economic Review , vol.91 , pp. 253-257
    • Bernanke, B.S.1    Gertler, M.2
  • 5
    • 14944344261 scopus 로고    scopus 로고
    • What explains the stock market's reaction to Federal Reserve Policy?
    • Bernanke B.S., and Kuttner K.N. What explains the stock market's reaction to Federal Reserve Policy?. Journal of Finance 60 (2005) 1221-1257
    • (2005) Journal of Finance , vol.60 , pp. 1221-1257
    • Bernanke, B.S.1    Kuttner, K.N.2
  • 6
    • 70449530457 scopus 로고    scopus 로고
    • The financial accelerator in a quantitative business cycle framework
    • Taylor J.B., and Woodford M. (Eds), Elsevier, New York
    • Bernanke B.S., Gertler M., and Gilchrist S. The financial accelerator in a quantitative business cycle framework. In: Taylor J.B., and Woodford M. (Eds). Handbook of Macroeconomics vol. 1C (2000), Elsevier, New York 1341-1393
    • (2000) Handbook of Macroeconomics , vol.1 C , pp. 1341-1393
    • Bernanke, B.S.1    Gertler, M.2    Gilchrist, S.3
  • 8
    • 0004097471 scopus 로고    scopus 로고
    • Asset prices and Central Bank Policy
    • The Geneva Report on the World Economy No. 2, ICMB/CEPR
    • Cecchetti, S.G., Genberg, H., Lipsky, J., Wadhwani, S., 2000. Asset prices and Central Bank Policy. The Geneva Report on the World Economy No. 2, ICMB/CEPR.
    • (2000)
    • Cecchetti, S.G.1    Genberg, H.2    Lipsky, J.3    Wadhwani, S.4
  • 10
    • 33646189673 scopus 로고    scopus 로고
    • Inflation dynamics and the cost channel of monetary transmission
    • Chowdhury I., Hoffmann M., and Schabert A. Inflation dynamics and the cost channel of monetary transmission. European Economic Review 50 (2006) 995-1016
    • (2006) European Economic Review , vol.50 , pp. 995-1016
    • Chowdhury, I.1    Hoffmann, M.2    Schabert, A.3
  • 11
    • 70449089152 scopus 로고    scopus 로고
    • Monetary policy shocks: what have we learned and to what end?
    • Taylor J.B., and Woodford M. (Eds), Elsevier, New York
    • Christiano L.J., Eichenbaum M., and Evans C.L. Monetary policy shocks: what have we learned and to what end?. In: Taylor J.B., and Woodford M. (Eds). Handbook of Macroeconomics vol. 1A (1999), Elsevier, New York 65-148
    • (1999) Handbook of Macroeconomics , vol.1 A , pp. 65-148
    • Christiano, L.J.1    Eichenbaum, M.2    Evans, C.L.3
  • 12
    • 15844392342 scopus 로고    scopus 로고
    • Nominal rigidities and the dynamic effects of a shock to monetary policy
    • Christiano L.J., Eichenbaum M., and Evans C.L. Nominal rigidities and the dynamic effects of a shock to monetary policy. Journal of Political Economy 113 (2005) 1-45
    • (2005) Journal of Political Economy , vol.113 , pp. 1-45
    • Christiano, L.J.1    Eichenbaum, M.2    Evans, C.L.3
  • 14
    • 44049118003 scopus 로고
    • Comment on Interpreting the macroeconomic time series facts: the effects of monetary policy
    • Eichenbaum M. Comment on Interpreting the macroeconomic time series facts: the effects of monetary policy. European Economic Review 36 (1992) 1001-1011
    • (1992) European Economic Review , vol.36 , pp. 1001-1011
    • Eichenbaum, M.1
  • 15
    • 34547677653 scopus 로고    scopus 로고
    • Optimal interest rate rules, asset prices and credit frictions
    • Faia E., and Monacelli T. Optimal interest rate rules, asset prices and credit frictions. Journal of Economic Dynamics and Control 31 10 (2007) 3228-3254
    • (2007) Journal of Economic Dynamics and Control , vol.31 , Issue.10 , pp. 3228-3254
    • Faia, E.1    Monacelli, T.2
  • 16
    • 84944830931 scopus 로고
    • The fiscal and monetary linkage between stock returns and inflation
    • Geske R., and Roll R. The fiscal and monetary linkage between stock returns and inflation. Journal of Finance 38 (1983) 1-33
    • (1983) Journal of Finance , vol.38 , pp. 1-33
    • Geske, R.1    Roll, R.2
  • 17
    • 4544377846 scopus 로고    scopus 로고
    • An alternative explanation of the price puzzle
    • Giordani P. An alternative explanation of the price puzzle. Journal of Monetary Economics 51 (2004) 1271-1296
    • (2004) Journal of Monetary Economics , vol.51 , pp. 1271-1296
    • Giordani, P.1
  • 18
    • 61649123592 scopus 로고    scopus 로고
    • Can news about the future drive the business cycle?
    • forthcoming
    • Jaimovich, N., Rebelo, S., 2006. Can news about the future drive the business cycle? American Economic Review, forthcoming.
    • (2006) American Economic Review
    • Jaimovich, N.1    Rebelo, S.2
  • 19
    • 0001715015 scopus 로고
    • Stock returns and inflation: the role of the monetary sector
    • Kaul G. Stock returns and inflation: the role of the monetary sector. Journal of Financial Economics 18 (1987) 253-276
    • (1987) Journal of Financial Economics , vol.18 , pp. 253-276
    • Kaul, G.1
  • 20
    • 0032089255 scopus 로고    scopus 로고
    • International evidence on equity prices, interest rates and money
    • Lastrapes W.D. International evidence on equity prices, interest rates and money. Journal of International Money and Finance 17 (1998) 377-406
    • (1998) Journal of International Money and Finance , vol.17 , pp. 377-406
    • Lastrapes, W.D.1
  • 21
    • 84977738102 scopus 로고
    • Causal relations among stock returns, interest rates, real activity, and inflation
    • Lee B.-S. Causal relations among stock returns, interest rates, real activity, and inflation. The Journal of Finance 47 (1992) 1591-1603
    • (1992) The Journal of Finance , vol.47 , pp. 1591-1603
    • Lee, B.-S.1
  • 24
    • 0041049050 scopus 로고    scopus 로고
    • Stock return predictability and the role of monetary policy
    • Patelis A.D. Stock return predictability and the role of monetary policy. The Journal of Finance 52 (1997) 1951-1972
    • (1997) The Journal of Finance , vol.52 , pp. 1951-1972
    • Patelis, A.D.1
  • 26
    • 33644644318 scopus 로고    scopus 로고
    • Optimal monetary policy with the cost channel
    • Ravenna F., and Walsh C.E. Optimal monetary policy with the cost channel. Journal of Monetary Economics 53 (2006) 199-216
    • (2006) Journal of Monetary Economics , vol.53 , pp. 199-216
    • Ravenna, F.1    Walsh, C.E.2
  • 27
    • 5144235368 scopus 로고    scopus 로고
    • The impact of monetary policy on asset prices
    • Rigobon R., and Sack B. The impact of monetary policy on asset prices. Journal of Monetary Economics 51 (2004) 1553-1575
    • (2004) Journal of Monetary Economics , vol.51 , pp. 1553-1575
    • Rigobon, R.1    Sack, B.2
  • 28
    • 0038353805 scopus 로고    scopus 로고
    • Measuring the reaction of monetary policy to the stock market
    • Rigobon R., and Sack B. Measuring the reaction of monetary policy to the stock market. The Quarterly Journal of Economics 118 (2003) 639-669
    • (2003) The Quarterly Journal of Economics , vol.118 , pp. 639-669
    • Rigobon, R.1    Sack, B.2
  • 29
    • 0034820083 scopus 로고    scopus 로고
    • Monetary policy and the stock market: theory and empirical evidence
    • Sellin P. Monetary policy and the stock market: theory and empirical evidence. Journal of Economic Surveys 15 (2001) 491-541
    • (2001) Journal of Economic Surveys , vol.15 , pp. 491-541
    • Sellin, P.1
  • 30
    • 0000997472 scopus 로고
    • Macroeconomics and reality
    • Sims C.A. Macroeconomics and reality. Econometrica 48 (1980) 1-48
    • (1980) Econometrica , vol.48 , pp. 1-48
    • Sims, C.A.1
  • 31
    • 0000529574 scopus 로고    scopus 로고
    • Inflation forecast targeting: implementing and monitoring inflation targets
    • Svensson L.E.O. Inflation forecast targeting: implementing and monitoring inflation targets. European Economic Review 41 (1997) 1111-1146
    • (1997) European Economic Review , vol.41 , pp. 1111-1146
    • Svensson, L.E.O.1
  • 32
    • 27144456986 scopus 로고    scopus 로고
    • Implementing optimal policy through inflation-forecast targeting
    • Bernanke B.S., and Woodford M. (Eds), The University of Chicago Press, Chicago
    • Svensson L.E.O., and Woodford M. Implementing optimal policy through inflation-forecast targeting. In: Bernanke B.S., and Woodford M. (Eds). The Inflation-Targeting Debate (2005), The University of Chicago Press, Chicago
    • (2005) The Inflation-Targeting Debate
    • Svensson, L.E.O.1    Woodford, M.2
  • 33
    • 0006223301 scopus 로고    scopus 로고
    • On stock market returns and monetary policy
    • Thorbecke W. On stock market returns and monetary policy. The Journal of Finance 52 (1997) 635-654
    • (1997) The Journal of Finance , vol.52 , pp. 635-654
    • Thorbecke, W.1
  • 34
    • 20144373200 scopus 로고    scopus 로고
    • Monetary policy and asset prices
    • Vickers J. Monetary policy and asset prices. The Manchester School 68 1 (2000) 1-22
    • (2000) The Manchester School , vol.68 , Issue.1 , pp. 1-22
    • Vickers, J.1
  • 35
    • 84884050052 scopus 로고    scopus 로고
    • Princeton University Press, Princeton and Oxford
    • Woodford M. Interest and Prices (2003), Princeton University Press, Princeton and Oxford
    • (2003) Interest and Prices
    • Woodford, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.