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A Monetary Policy Asset Pricing Model
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A Monetary Policy Asset Pricing Model (2022)A Monetary Policy Asset Pricing ModelSpeculative Asset Prices (2014)Speculative Asset PricesPresidential Address: Discount Rates (2011)Presidential Address: Discoun…Real-time price discovery in global stock, bond and foreign exchange markets (2007)Real-time price discovery in …What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks (2005)The Stock Market's Reaction t…The impact of monetary policy on asset prices (2004)The impact of monetary policy…Taking Stock: Monetary Policy Transmission to Equity Markets (2004)Taking Stock: Monetary Policy…A New Measure of Monetary Shocks: Derivation and Implications (2004)A New Measure of Monetary Sho…What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules (2003)What Is Wrong with Taylor Rul…A New Measure of Monetary Shocks: Derivation and Implications (2003)A New Measure of Monetary Sho…Should Central Banks Respond to Movements in Asset Prices? (2001)Should Central Banks Respond …Monetary Policy and Asset Price Volatility (2000)Monetary Policy and Asset Pri…On Stock Market Returns and Monetary Policy (1997)On Stock Market Returns and M…Business conditions, monetary policy, and expected security returns (1996)Business conditions, monetary…Stock Prices, News, and Business Conditions (1993)Stock Prices, News, and Busin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Inside the Black Box: The Credit Channel of Monetary Policy Transmission (1995)The Financial Accelerator in a Quantitative Business Cycle Framework (1998)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)One Decade of Inflation Targeting in the World: What Do We Know and What Do We Need to Know? (2001)Financial Intermediaries and Monetary Economics (2010)The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)Stock Return Predictability and The Role of Monetary Policy (1997)Firm Size and Cyclical Variations in Stock Returns (2000)An Empirical Analysis of Stock and Bond Market Liquidity (2004)Inflation Targeting: A New Framework for Monetary Policy? (1997)Inefficient Credit Booms (2008)MACROPRUDENTIAL POLICY – A LITERATURE REVIEW (2010)Risk, uncertainty and monetary policy (2013)Discretion versus policy rules in practice (1993)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Capital flows, push versus pull factors and the global financial crisis (2012)Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates (2012)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The equity premium: A puzzle (1985)Efficient Capital Markets: II (1991)Editor's Choice Digesting Anomalies: An Investment ApproachEfficient Capital Markets: A Review of Theory and Empirical Work (1970)Common risk factors in the returns on stocks and bonds (1993)Expectations of Returns and Expected Returns (2014)… and the Cross-Section of Expected Returns (2015)Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Identification Through Heteroskedasticity (2003)Uncertainty about Government Policy and Stock Prices (2012)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)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)A Capital Asset Pricing Model with Time-Varying Covariances (1988)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The empirical risk–return relation: A factor analysis approach☆ (2006)The Determinants of Stock and Bond Return Comovements (2010)Predictive regressions with time-varying coefficients (2012)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)
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References

  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2004A New Measure of Monetary Shocks: Derivation and Implications1,621 cited
  • 2000Monetary Policy and Asset Price Volatility1,274 cited
  • 2001Should Central Banks Respond to Movements in Asset Prices?1,166 cited
  • 2007Real-time price discovery in global stock, bond and foreign exchange markets1,127 cited
  • 2004The impact of monetary policy on asset prices956 cited
  • 1997On Stock Market Returns and Monetary Policy931 cited
  • 2005The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks793 cited
  • 2003What Is Wrong with Taylor Rules? Using Judgment in Monetary Policy through Targeting Rules703 cited
  • 1993Stock Prices, News, and Business Conditions675 cited
  • 2003A New Measure of Monetary Shocks: Derivation and Implications535 cited
  • 2004Taking Stock: Monetary Policy Transmission to Equity Markets466 cited
  • 2014Speculative Asset Prices402 cited
  • 1996

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Business conditions, monetary policy, and expected security returns
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