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MONETARY POLICY INDICATORS
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05 level adaptive expectations adjustment of stock average residual behavior bution buy-and-hold strategy cators changes in monetary chapter common stock returns composite indicator considered cumulative distribution decreases demand deposits discount rate distri Doctor of Philosophy economy efficient market hypothesis eliminate equity value excess return exhibit 6.3 expectations Federal Reserve FFJR following the signal free reserves given indicator impact increases industry influence interest rates interval investment investors June magnitude margin requirements market average market index market returns Mean return methodology monetary base monetary policy indicators months following negative signals normal Number of months parameters percent period covered positive signals random regression reserve requirements residual returns return series Reward-to sample mean seasonally adjusted serial correlation shown in exhibit signal month stable Paretian distribution statistically significant stock prices stock splits subperiods T-bill target variables trading rule based transactions costs Treasury bill yield Treasury-bill yield unadjusted money supply Waud zero