What Explains the Stock Market's Reaction to Federal Reserve Policy?

By Chenchuramaiah T. Bathala. 2005

663 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/57b9e7885a30ab6671815081310e833de20d0496

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In Economics and Econometrics

Citations in the corpus

Stock market response to monetary and fiscal policy shocks: Multi-country evidence (2013, neutral): “Thus, in the same spirit with Bjornland and Leitemo (2009), we identify the global demand shock, the income shock and the price shock from their respective equations; however, these are left, at large, uninterpreted.”
Granger Causality: A Review and Recent Advances (2021, methodology): “Bernanke et al. (2005) state that “To conserve degrees of freedom, standard VARs rarely employ more than six to eight variables.””
Innocent Bystanders? Monetary Policy and Inequality in the U.S. (2012, neutral): “Real stock prices decline on impact (as in Bernanke and Kuttner 2005) but eventually rise.”
What are the effects of fiscal policy on asset markets (2011, background): “Blanchard and Perotti (2002) exploit the decision lags in policymaking and use information about the elasticity of fiscal variables to economic activity, to identify the automatic response of fiscal policy. They find that expansionary fiscal shocks increase output, and have a positive effect on priv”
Hazardous Times for Monetary Policy: What Do Twenty‐Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk‐Taking? (2014, neutral): “In a different setting, Bernanke and Kuttner (2005) found that higher interest rates reduce equity prices, interpreting that tight money may reduce the willingness of stock”
Risk, Uncertainty and Monetary Policy (2013, neutral): “Third, analyzing the relationship between monetary policy and the VIX and its components may help clarify the relationship between monetary policy and the stock market, explored in a large number of empirical papers (Thorbecke (1997), Rigobon and Sack (2004), Bernanke and Kuttner (2005)).”
The long-run information effect of central bank communication (2019, positive): “In order to study the impact of IR publication on market interest rates, we use an event study approach that has now become quite standard in the literature (Cook and Hahn (1989), Kuttner (2001), Bernanke and Kuttner (2005), among many others).6 Suppose the IR is published on day t in month m(t). Fi”
Market response to policy initiatives during the global financial crisis (2012, neutral): “In normal times, policy announcements, for example, interest rate decisions, may be better anticipated (Bernanke and Kuttner (2005)).”
On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements (2009, methodology): “(2003), (2007), Bomfim (2003), Connolly and Wang (2003), Bernanke and Kuttner (2005), and Boyd, Hu, and Jagannathan (2005). Some recent studies also analyze the impact of macroeconomic news releases on stock and bond market liquidity (e.g., Brandt and Kavajecz (2004), Green (2004), Vega (2006), and ”
The Deposits Channel of Monetary Policy (2017, neutral): “17”