Buy this book
"This paper analyzes the impact of unanticipated changes in the federal funds rate target on equity prices, with the aim of both estimating the size of the typical reaction and understanding the reasons for the market's response. We find that over the June 1989-December 2002 sample period, a typical unanticipated rate cut of 25 basis points is associated with an increase of roughly 1 percent in the level of stock prices, as measured by the CRSP value-weighted index. There is some evidence of a stronger stock price response to changes in rates that are expected to be more permanent or that represent a reversal in the direction of rate changes. The estimated response of stock prices to fund rate surprises varies widely across industries, but in a manner consistent with the predictions of the standard capital asset pricing model. Applying the methods of Campbell (1991) and Campbell and Ammer (1993), we find that most of the effect of monetary policy on stock prices can be traced to its implications for forecasted equity risk premiums. Some effect can be traced to the implications of monetary policy surprises for forecasted dividends, but very little stems from the impact of policy on expectations of the real rate of interest"--Federal Reserve Bank of New York web site.
Buy this book
Subjects
Monetary policy, Prices, Stock exchanges, StocksPlaces
United StatesShowing 4 featured editions. View all 4 editions?
Edition | Availability |
---|---|
1
What explains the stock market's reaction to Federal Reserve policy?
2004, Federal Reserve Board
Electronic resource
in English
|
zzzz
|
2
What explains the stock market's reaction to Federal Reserve policy?
2004, National Bureau of Economic Research
in English
|
zzzz
Libraries near you:
WorldCat
|
3
What explains the stock market's reaction to Federal Reserve policy?
2004, National Bureau of Economic Research
Electronic resource
in English
|
zzzz
|
4
What explains the stock market's reaction to Federal Reserve Policy?
2003, Federal Reserve Bank of New York
Electronic resource
in English
|
aaaa
|
Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 3/3/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
Classifications
The Physical Object
ID Numbers
Work Description
"This paper analyzes the impact of changes in monetary policy on equity prices, with the objectives both of measuring the average reaction of the stock market and also of understanding the economic sources of that reaction. We find that, on average, a hypothetical unanticipated 25-basis-point cut in the federal funds rate target is associated with about a one percent increase in broad stock indexes. Adapting a methodology due to Campbell (1991) and Campbell and Ammer (1993), we find that the effects of unanticipated monetary policy actions on expected excess returns account for the largest part of the response of stock prices"--Federal Reserve Board web site.
Community Reviews (0)
Feedback?December 11, 2020 | Edited by MARC Bot | import existing book |
December 5, 2010 | Edited by Open Library Bot | Added subjects from MARC records. |
December 3, 2010 | Edited by Open Library Bot | Added subjects from MARC records. |
December 10, 2009 | Created by WorkBot | add works page |