SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Unified Measure of Fed Monetary Policy Shocks
16 references·1 citing·35 second hop
A Unified Measure of Fed Monetary Policy Shocks (2019)A Unified Measure of Fed Monetary Policy …Deconstructing Monetary Policy Surprises: The Role of Information Shocks (2018)Deconstructing Monetary Polic…Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)Measuring the Macroeconomic I…Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)Monetary Policy Surprises, Cr…High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)High Frequency Identification…Macroeconomic Effects of Federal Reserve Forward Guidance (2012)Macroeconomic Effects of Fede…Credit Spreads and Business Cycle Fluctuations (2012)Credit Spreads and Business C…Estimation and Inference of Impulse Responses by Local Projections (2005)Estimation and Inference of I…The impact of monetary policy on asset prices (2004)The impact of monetary policy…Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Do Actions Speak Louder Than …A New Measure of Monetary Shocks: Derivation and Implications (2004)A New Measure of Monetary Sho…Identification Through Heteroskedasticity (2003)Identification Through Hetero…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Federal Reserve Information and the Behavior of Interest Rates (2000)Federal Reserve Information a…The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds (1996)The Effects of Monetary Polic…Path Models with Latent Variables: The NIPALS Approach (1975)Path Models with Latent Varia…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Offshore EME bond issuance and the transmission channels of global liquidity (2020)Offshore EME bond issuance an…Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy (2005)Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach (2007)Monetary Policy According to HANK (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)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)On Persistence in Mutual Fund Performance (1997)What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence (2008)Macroeconomics and Reality (1980)Discretion versus policy rules in practice (1993)Macroeconomic Shocks and Their Propagation (2016)Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data (2017)Measuring Geopolitical Risk (2022)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Credit Cycles (1997)The Employment Effects of Credit Market Disruptions: Firm-level Evidence from the 2008–9 Financial Crisis * (2013)Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices (2018)U.S. Monetary Policy and the Global Financial Cycle (2020)Interest and Prices (2004)The federal funds rate and the channels of monetary transmission (1989)Interpreting the macroeconomic time series facts (1992)Measuring Monetary Policy (1998)The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks (2010)Monetary Policy Shocks: What Have We Learned and to What End? (1998)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Uncertainty Shocks in a Model of Effective Demand (2017)Measuring the effects of federal reserve forward guidance and asset purchases on financial markets (2020)The Financial Accelerator and the Flight to Quality (1996)Oil price shocks and stock market activity (1999)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)
this work references cited by second hop

References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2005Estimation and Inference of Impulse Responses by Local Projections4,629 cited
  • 2012Credit Spreads and Business Cycle Fluctuations2,209 cited
  • 2001Monetary policy surprises and interest rates: Evidence from the Fed funds futures market2,054 cited
  • 2016Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound1,840 cited
  • 2004A New Measure of Monetary Shocks: Derivation and Implications1,621 cited
  • 2004Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements1,566 cited
  • 2015Monetary Policy Surprises, Credit Costs, and Economic Activity1,480 cited
  • 2013High Frequency Identification of Monetary Non-Neutrality: The Information Effect1,410 cited
  • 1996The Effects of Monetary Policy Shocks: Evidence from the Flow of Funds1,209 cited
  • 2000Federal Reserve Information and the Behavior of Interest Rates1,049 cited
  • 2018Deconstructing Monetary Policy Surprises: The Role of Information Shocks981 cited
  • 2004The impact of monetary policy on asset prices956 cited
  • 2003Identification Through Heteroskedasticity922 cited
  • 1975Path Models with Latent Variables: The NIPALS Approach

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

843 cited
  • 2012Macroeconomic Effects of Federal Reserve Forward Guidance748 cited
  • Cited by

    • 2020Offshore EME bond issuance and the transmission channels of global liquidity20 cited