The effect of monetary policy on monthly and quarterly stock market returns: cross-country evidence and sensitivity analyses
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2001 - Business & Economics - 45 pages
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0frica South 0frica altemative measures anada anada Brian Sack Canada central bank policy conﬁrm Conover correlation Discount Rate Real Discount Spread Discount discount window Doubtful Variables Durham Economics Discussion Series equity markets federal funds rate Federal Reserve Federal Reserve System ﬁg Finance and Economics ﬁnancial Finland Finland Finland ﬁve France Growth M1 Growth indicate inﬂation insigniﬁcant intemational interest rates Ireland Italy Japan Japan Japan Japan Netherlands Kingdom United Kingdom market anomalies market participants monetary policy transmission Netherlands Netherlands panel regressions percent conﬁdence policy transmission mechanisms portfolio managers previous results previous studies Rate Real Discount Real Discount Rate relation is signiﬁcant robust Sample Divisions Section Sensitivity Analyses signiﬁcant result South 0frica South South lfrica speciﬁcation Spread Discount Spread stance of monetary statistically signiﬁcant stock market performance stock price retums Switzerland Switzerland Switzerland Switzerland United Kingdom Tightening Dummy Variable Time-Series United Kingdom United United States monetary variance-covariance matrix Wealth Effect Zealand New Zealand