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Does Monetary Policy Have Asymmetric Effects on Stock Returns?
16 references·16 citing·42 second hopsampled
Does Monetary Policy Have Asymmetric Effects on Stock Returns? (2007)Does Monetary Policy Have Asymmetric Effe…Measuring The Reaction of Monetary Policy to the Stock Market (2003)Measuring The Reaction of Mon…A simple framework for analysing bull and bear markets (2002)A simple framework for analys…Firm Size and Cyclical Variations in Stock Returns (2000)Firm Size and Cyclical Variat…Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models (1998)Asymptotic Null Distribution …Stock Return Predictability and The Role of Monetary Policy (1997)Stock Return Predictability a…On Stock Market Returns and Monetary Policy (1997)On Stock Market Returns and M…Inflation forecast targeting: Implementing and monitoring inflation targets (1997)Inflation forecast targeting:…Credit Cycles (1997)Credit CyclesStock market volatility and the business cycle (1996)Stock market volatility and t…The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp (1992)The likelihood ratio test und…Asymmetric Effects of Positive and Negative Money-Supply Shocks (1992)Asymmetric Effects of Positiv…The federal funds rate and the channels of monetary transmission (1989)The federal funds rate and th…The effect of changes in the federal funds rate target on market interest rates in the 1970s (1989)The effect of changes in the …A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market (1989)A Markov Model of Heteroskeda…Agency Costs, Net Worth, And Business Fluctuations (1988)Agency Costs, Net Worth, And …Monetary policy uncertainty and stock returns in G7 and BRICS countries: A quantile-on-quantile approach (2021)Monetary policy uncertainty a…Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey (2018)Asymmetric effects of industr…The Power of Stakeholders' Voice: The Effects of Social Media Activism on Stock Markets (2017)The Power of Stakeholders' Vo…Stock prices, exchange rate and interest rate: evidence beyond symmetry (2017)Stock prices, exchange rate a…Short-Term Interest Rates and Stock Market Anomalies (2017)Short-Term Interest Rates and…Diversification benefits of commodities: A stochastic dominance efficiency approach (2017)Diversification benefits of c…Stock market reaction to fed funds rate surprises: State dependence and the financial crisis (2013)Stock market reaction to fed …Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model (2013)Is the relationship between m…Another Look at the Stock Return Response to Monetary Policy Actions (2013)Another Look at the Stock Ret…Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors (2012)Stock market volatility and e…Monetary policy and stock market dynamics across monetary regimes (2012)Monetary policy and stock mar…Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach (2011)Stock market volatility and e…Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets (2010)Monetary policy and stock ret…Investor sentiment and the stock market’s reaction to monetary policy (2009)Investor sentiment and the st…Regime switching in the relationship between equity returns and short-term interest rates in the UK (2008)Regime switching in the relat…European Stock Markets and the ECB's Monetary Policy Surprises* (2008)European Stock Markets and th…The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Optimal Lending Contracts and Firm Dynamics (2004)Instability of return prediction models (2006)Time-varying short-horizon predictability☆ (2010)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Identification Through Heteroskedasticity (2003)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Risk, uncertainty and monetary policy (2013)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)The Quarterly Journal of Economics (2024)The Variation of Certain Speculative Prices (1963)A Capital Asset Pricing Model with Time-Varying Covariances (1988)A Markov Model of Switching-Regime ARCH (1994)Estimating the Intertemporal Risk–Return Tradeoff Using the Implied Cost of Capital (2008)Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk (2008)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Volatility Spillover Effects in European Equity Markets (2005)Infected Markets: Novel Coronavirus, Government Interventions, and Stock Return Volatility around the Globe (2020)A Positive Theory of Monetary Policy in a Natural Rate Model (1983)The Optimal Degree of Commitment to an Intermediate Monetary Target (1985)Discretion versus policy rules in practice (1993)Monetary Policy and Asset Price Volatility (2000)Open-Economy Inflation Targeting (2000)Monetary Policy Rules Based on Real-Time Data (2001)Inequality and Growth (1996)Financial Constraints Risk (2006)Liquidity and leverage (2008)The Science of Monetary Policy: A New Keynesian Perspective (1999)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Market Liquidity and Funding Liquidity (2008)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1997Credit Cycles5,254 cited
  • 1989The federal funds rate and the channels of monetary transmission2,833 cited
  • 1997Inflation forecast targeting: Implementing and monitoring inflation targets1,666 cited
  • 1988Agency Costs, Net Worth, And Business Fluctuations1,334 cited
  • 1997On Stock Market Returns and Monetary Policy931 cited
  • 1996Stock market volatility and the business cycle779 cited
  • 2003Measuring The Reaction of Monetary Policy to the Stock Market744 cited
  • 2000Firm Size and Cyclical Variations in Stock Returns656 cited
  • 1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market647 cited
  • 1992The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp623 cited
  • 1989The effect of changes in the federal funds rate target on market interest rates in the 1970s595 cited
  • 2002A simple framework for analysing bull and bear markets593 cited
  • 1998Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models551 cited
  • 1992Asymmetric Effects of Positive and Negative Money-Supply Shocks

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541 cited
  • 1997Stock Return Predictability and The Role of Monetary Policy541 cited
  • Cited by

    • 2009Investor sentiment and the stock market’s reaction to monetary policy379 cited
    • 2011Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach233 cited
    • 2013Stock market reaction to fed funds rate surprises: State dependence and the financial crisis123 cited
    • 2013Another Look at the Stock Return Response to Monetary Policy Actions101 cited
    • 2010Monetary policy and stock returns: Financing constraints and asymmetries in bull and bear markets101 cited
    • 2017The Power of Stakeholders' Voice: The Effects of Social Media Activism on Stock Markets96 cited
    • 2008Regime switching in the relationship between equity returns and short-term interest rates in the UK90 cited
    • 2017Short-Term Interest Rates and Stock Market Anomalies85 cited
    • 2012Stock market volatility and equity returns: Evidence from a two-state Markov-switching model with regressors84 cited
    • 2021Monetary policy uncertainty and stock returns in G7 and BRICS countries: A quantile-on-quantile approach83 cited
    • 2008European Stock Markets and the ECB's Monetary Policy Surprises*78 cited
    • 2012Monetary policy and stock market dynamics across monetary regimes65 cited
    • 2017Diversification benefits of commodities: A stochastic dominance efficiency approach64 cited
    • 2013Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model49 cited
    • 2018Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey46 cited
    • 2017Stock prices, exchange rate and interest rate: evidence beyond symmetry45 cited