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How did the Fed react to the 1990s stock market bubble? Evidence from an extended Taylor rule
15 references·1 citing·36 second hop
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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 Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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References

  • 1993Discretion versus policy rules in practice9,059 cited
  • 1999Monetary Policy Rules1,705 cited
  • 2000Monetary Policy and Asset Price Volatility1,274 cited
  • 2001Should Central Banks Respond to Movements in Asset Prices?1,166 cited
  • 1963The Investment, Financing, and Valuation of the Corporation958 cited
  • 2003Measuring The Reaction of Monetary Policy to the Stock Market744 cited
  • 1998An Historical Analysis of Monetary Policy Rules665 cited
  • 2000Asset prices and central bank policy584 cited
  • 2020Taylor’s Rule and the Fed397 cited
  • 2001Asset Prices and Central Bank Policy294 cited
  • 1999World economic outlook / International Monetary Fund231 cited
  • 2001Financial Structure, Macroeconomic Stability and Monetary Policy120 cited
  • 2003Monetary Policy and Real Stabilization99 cited
  • 2001Measuring the Reaction of Monetary Policy to the Stock Market76 cited
  • 1998Policy Rules and Targets: Framing the Central Banker's Problem58 cited

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  • 2012Nonlinearity and structural breaks in monetary policy rules with stock prices

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21 cited