Have a personal or library account? Click to login
The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes Cover

The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes

By: Jia Miao  
Open Access
|Oct 2016

References

  1. Alatiqi, S., Fazel, S. (2008), Can Money Supply Predict Stock Prices?, Journal for Economic Educators, No. 8, pp. 1–6.
  2. Andersen, T. G., Bollerslev, T., Diebold, F. X., Vega, C. (2007), Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets, Journal of International Economics, No. 73, pp. 251–277.
  3. Baele, L., Bekaert, G., Inghelbrecht, K. (2010), The Determinants of Stock and Bond Return Comovements, Review of Financial Studies, Vol. 23, No. 6, pp. 2374–2428.
  4. Bansal, N., Connolly, R., Stivers, C. (2014), The Stock-Bond Return Relation, the Term-Structure’s Slope, and Asset-class Risk Dynamics, Journal of Financial and Quantitative Analysis, No. 49, pp. 699–724.
  5. Brenner, M., Pasquariello, P., Subrahmanyam, M. (2009), On the Volatility and Comovement of U. S. Financial Markets around Macroeconomic News Announcements, Journal of Financial and Quantitative Analysis, No. 44, pp. 1265–1289.
  6. Chen, K. C., Tsang, D. D. (1988), Interest Rate Sensitivity of Real Estate Investment Trusts, Journal of Real Estate Research, No. 3, pp. 13–22.
  7. Connolly, R., Stivers, C., Sun, L. (2007), Commonality in the Time Variation of Stock–Bond and Stock–Stock Return Comovements, Journal of Financial Markets, Vol. 10, No. 2, pp. 192–218.
  8. Conover, C. M., Jensen, G. R., Johnson, R. R., Mercer, J. M. (1999), Monetary Environments and International Stock Returns, Journal of Banking and Finance, Vol. 23, No. 9, pp. 1357–1381.
  9. Cowan, A., Joutz, F. (2006), An Unobserved Component Model of Asset Pricing across Financial Markets, International Review of Financial Analysis, Vol. 15, No. 1, pp. 86–107.
  10. Doeswijk, R., Lam, T., Swinkels, L. (2014), The Global Multi-Asset Market Portfolio, 1959–2012, Financial Analysts Journal, Vol. 70, No. 2, pp. 26–41.
  11. Driscoll, J. (2004), Does Bank Lending Affect Output?, Journal of Monetary Economics, Vol. 51, No. 3, pp. 451–71.
  12. Durham, J. B. (2003), Does Monetary Policy Affect Stock Prices and Treasury Yields? An Error Correction and Simultaneous Equation Approach, Federal Reserve, Working Paper.10.2139/ssrn.394202
  13. Ehrmann, M., Fratzscher, M. (2004), Taking Stocks: Monetary Policy Transmission to Equity Markets, Journal of Money, Credit and Banking, Vol. 36, No. 4, pp. 719–737.
  14. Ennis, R., Burik, P. (1991), Pension Fund Real Estate Investment Under a Simple Equilibrium Pricing Model, Financial Analyst Journal, Vol. 47, No. 3, pp. 20–30.
  15. Fleming, M. J., Remolona, E. M. (1997), What Moves the Bond Market?, Federal Reserve Bank of New York Economic Policy Review, No. 14, pp. 31–50.
  16. Gagnon, J., Raskin, M., Remache, J., Sack, B. (2011), The Financial Market Effects of the Federal Reserve’s Large-Scale Asset Purchases, International Journal of Central Banking, No. 7, pp. 3–43.
  17. Gyourko, J., Keim, D. (1992), What does the Stock Market Tell Us About Real Estate Returns?, AREUEA Journal, No. 20, 457–485.
  18. Harasty, H., Roulette, J. (2000), Modelling Stock Market Returns: An Error Correction Model, Journal of Portfolio Management, No. 26, pp. 33–46.
  19. Hamilton, J., Wu, J. (2012), The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment, Journal of Money, Credit and Banking, Vol. 44, pp. 3–46.
  20. He, L. T., Webb, J. R., Myer, F. C. (2003), Interest Rate Sensitivities of REIT Returns, International Real Estate Reviews, Vol. 6, No. 1, pp. 1–21.
  21. Ibbotson, R. G., Siegel, L. B. and Love, K. S. (1985), World Wealth: Market Values and Returns, Journal of Portfolio Management, No. 12, pp. 4–23.
  22. Jensen, G. R., Johnson, R. (1995), Discount Rate Changes and Security Returns in the US, 1962–1991. Journal of Banking and Finance, No. 19, pp. 79–95.10.1016/0378-4266(94)00048-8
  23. Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, Vol. 59, No. 6, pp. 1551–1580.
  24. Johansen, S. (1995), Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, New York.10.1093/0198774508.001.0001
  25. Kashyap, A. K., Stern, J. C., Wilcox, D. W. (1993), Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance, American Economic Review, Vol. 83, No. 1, pp. 78–98.
  26. Kashyap, A. K., Stern, J. C. (2000), What Do A Million Observations on Banks Say about the Transmission of Monetary Policy?, American Economic Review, Vol. 90, No. 3, pp. 407–428.
  27. Kraft, J., Kraft, A. (1976), Determinants of Common Stock Prices: A Time Series Analysis, The Journal of Finance, No. 32, pp. 417–425.
  28. Laopodis, N. (2010), Dynamic Linkages Between Monetary Policy and the Stock Market, Review of Quantitative Finance and Accounting, 35, No. 3, pp. 271–293.
  29. Liang, Y., Mclntosh, W., Webb. J. R. (1995), Intertemporal Changes in the Riskiness of REITs Journal of Real Estate Research, No. 10, pp. 427–443.
  30. Lim, E., Gallo, J. and Swanson, P. (2000), “The Relationship between International Bond Markets and International Stock Markets”, International Review of Financial Analysis, Vol. 7, No. 2, pp. 181–190.10.1016/S1057-5219(99)80034-9
  31. Mengden, A., Hartzell, D. (1986), Real Estate Investment Trusts – Are They Stocks or Real Estate?, Salomon Brothers, Inc, New York.
  32. Migiakis, P. M., Bekiris, F. V. (2009), Regime Switches between Dividend and Bond Yields, International Review of Financial Analysis, No. 18, pp. 198–204.
  33. Miron, J., Romer, C. D., Weil, K. (1994), Historical Perspectives on the Monetary Transmission Mechanism, in: N. G. Mankiw (ed.), Monetary Policy, University of Chicago Press, Chicago, IL.10.3386/w4326
  34. Mueller, G. R., Pauley, K. R. (1995), The Effect of Interest Rate Movements on Real Estate Investment Trusts, Journal of Real Estate Research, Vol. 10, No. 3, pp. 319–326.
  35. Newyorkfed.org. (2016), The Money Supply, [online], available at: https://www.newyorkfed.org/aboutthefed/fedpoint/fed49.html, accessed: August 9, 2016.
  36. Pearce, D. K., Roley, V. (1985), Stock Prices and Economic News, The Journal of Business, Vol. 58, No. 1, pp. 49–67.
  37. Rigobon, R., Sack, B. (2003), Measuring the Response of Monetary Policy to the Stock Market, Quarterly Journal of Economics, No. 118, pp. 639–669.
  38. Sousa, R. M. (2010), Housing Wealth, Financial Wealth, Money Demand and Policy Rule: Evidence from the Euro Area, The North American Journal of Economics and Finance, Vol. 21, No. 3, pp. 88–105.
  39. Thorbecke, W. (1997), On Stock Market Returns and Monetary Policy. Journal of Finance, Vol. 52, No. 2, pp. 635–654.10.1111/j.1540-6261.1997.tb04816.x
  40. Tarhan, V. (1995), Does the Federal Reserve Affect Asset Prices? Journal of Economic Dynamics and Control, Vol. 19, No. 5/7, pp. 1199–1222.
  41. Warner, E. J., Georges, C. (2001), The Credit Channel of Monetary Policy Transmission: Evidence from stock returns, Economic Inquiry, Vol. 39, No. 1, pp. 74–85.
DOI: https://doi.org/10.1515/ijme-2016-0016 | Journal eISSN: 2543-5361 | Journal ISSN: 2299-9701
Language: English
Page range: 9 - 19
Published on: Oct 8, 2016
Published by: Warsaw School of Economics
In partnership with: Paradigm Publishing Services
Publication frequency: 4 issues per year

© 2016 Jia Miao, published by Warsaw School of Economics
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.