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The impact of monetary policy surprises on asset return volatility: the case of Germany
16 references·5 citing·27 second hop
The impact of monetary policy surprises on asset return volatility: the case of Germany (2009)The impact of monetary policy surprises o…What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Monetary Policy Rules and Mac…Monetary policy rules in practice (1998)Monetary policy rules in prac…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Discretion versus policy rules in practice (1993)Discretion versus policy rule…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…No news is good news (1992)No news is good newsARCH modeling in finance (1992)ARCH modeling in financeA VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …The federal funds rate and the channels of monetary transmission (1989)The federal funds rate and th…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Evolving United States stock market volatility: The role of conventional and unconventional monetary policies (2022)Evolving United States stock …Monetary Policy Announcements and Stock Returns: Some Further Evidence from India (2019)Monetary Policy Announcements…Asymmetric Effects of Chinas Monetary Policy on the Stock Market: Evidence from a Nonlinear VAR Mode (2018)Asymmetric Effects of Chinas …Do Monetary Policy Announcements Affect Stock Prices in Emerging Market Countries? The Case of Thailand (2013)Do Monetary Policy Announceme…Intraday volatility responses to monetary policy events (2009)Intraday volatility responses…The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Rules, discretion and reputation in a model of monetary policy (1983)Estimation and Inference of Impulse Responses by Local Projections (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Staggered Prices in a Utility-Maximizing Framework (1996)Inflation dynamics: A structural econometric analysis (1999)The Science of Monetary Policy: A New Keynesian Perspective (1999)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)The Cross‐Section of Volatility and Expected Returns (2006)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Uncertainty about Government Policy and Stock Prices (2012)Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)What Do a Million Observations on Banks Say About the Transmission of Monetary Policy? (2000)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993Discretion versus policy rules in practice9,059 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2000Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*4,631 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1989The federal funds rate and the channels of monetary transmission2,833 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1998Monetary policy rules in practice2,206 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 1992No news is good news1,929 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited

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  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • Cited by

    • 2009Intraday volatility responses to monetary policy events28 cited
    • 2013Do Monetary Policy Announcements Affect Stock Prices in Emerging Market Countries? The Case of Thailand24 cited
    • 2022Evolving United States stock market volatility: The role of conventional and unconventional monetary policies19 cited
    • 2018Asymmetric Effects of Chinas Monetary Policy on the Stock Market: Evidence from a Nonlinear VAR Mode18 cited
    • 2019Monetary Policy Announcements and Stock Returns: Some Further Evidence from India10 cited