1. bookTom 51 (2016): Zeszyt 1 (September 2016)
Informacje o czasopiśmie
License
Format
Czasopismo
eISSN
2543-5361
Pierwsze wydanie
17 Oct 2014
Częstotliwość wydawania
4 razy w roku
Języki
Angielski
Otwarty dostęp

The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes

Data publikacji: 08 Oct 2016
Tom & Zeszyt: Tom 51 (2016) - Zeszyt 1 (September 2016)
Zakres stron: 9 - 19
Informacje o czasopiśmie
License
Format
Czasopismo
eISSN
2543-5361
Pierwsze wydanie
17 Oct 2014
Częstotliwość wydawania
4 razy w roku
Języki
Angielski

Alatiqi, S., Fazel, S. (2008), Can Money Supply Predict Stock Prices?, Journal for Economic Educators, No. 8, pp. 1–6.Search in Google Scholar

Andersen, T. G., Bollerslev, T., Diebold, F. X., Vega, C. (2007), Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets, Journal of International Economics, No. 73, pp. 251–277.Search in Google Scholar

Baele, L., Bekaert, G., Inghelbrecht, K. (2010), The Determinants of Stock and Bond Return Comovements, Review of Financial Studies, Vol. 23, No. 6, pp. 2374–2428.Search in Google Scholar

Bansal, N., Connolly, R., Stivers, C. (2014), The Stock-Bond Return Relation, the Term-Structure’s Slope, and Asset-class Risk Dynamics, Journal of Financial and Quantitative Analysis, No. 49, pp. 699–724.Search in Google Scholar

Brenner, M., Pasquariello, P., Subrahmanyam, M. (2009), On the Volatility and Comovement of U. S. Financial Markets around Macroeconomic News Announcements, Journal of Financial and Quantitative Analysis, No. 44, pp. 1265–1289.Search in Google Scholar

Chen, K. C., Tsang, D. D. (1988), Interest Rate Sensitivity of Real Estate Investment Trusts, Journal of Real Estate Research, No. 3, pp. 13–22.Search in Google Scholar

Connolly, R., Stivers, C., Sun, L. (2007), Commonality in the Time Variation of Stock–Bond and Stock–Stock Return Comovements, Journal of Financial Markets, Vol. 10, No. 2, pp. 192–218.Search in Google Scholar

Conover, C. M., Jensen, G. R., Johnson, R. R., Mercer, J. M. (1999), Monetary Environments and International Stock Returns, Journal of Banking and Finance, Vol. 23, No. 9, pp. 1357–1381.Search in Google Scholar

Cowan, A., Joutz, F. (2006), An Unobserved Component Model of Asset Pricing across Financial Markets, International Review of Financial Analysis, Vol. 15, No. 1, pp. 86–107.Search in Google Scholar

Doeswijk, R., Lam, T., Swinkels, L. (2014), The Global Multi-Asset Market Portfolio, 1959–2012, Financial Analysts Journal, Vol. 70, No. 2, pp. 26–41.Search in Google Scholar

Driscoll, J. (2004), Does Bank Lending Affect Output?, Journal of Monetary Economics, Vol. 51, No. 3, pp. 451–71.Search in Google Scholar

Durham, J. B. (2003), Does Monetary Policy Affect Stock Prices and Treasury Yields? An Error Correction and Simultaneous Equation Approach, Federal Reserve, Working Paper.10.2139/ssrn.394202Search in Google Scholar

Ehrmann, M., Fratzscher, M. (2004), Taking Stocks: Monetary Policy Transmission to Equity Markets, Journal of Money, Credit and Banking, Vol. 36, No. 4, pp. 719–737.Search in Google Scholar

Ennis, R., Burik, P. (1991), Pension Fund Real Estate Investment Under a Simple Equilibrium Pricing Model, Financial Analyst Journal, Vol. 47, No. 3, pp. 20–30.Search in Google Scholar

Fleming, M. J., Remolona, E. M. (1997), What Moves the Bond Market?, Federal Reserve Bank of New York Economic Policy Review, No. 14, pp. 31–50.Search in Google Scholar

Gagnon, J., Raskin, M., Remache, J., Sack, B. (2011), The Financial Market Effects of the Federal Reserve’s Large-Scale Asset Purchases, International Journal of Central Banking, No. 7, pp. 3–43.Search in Google Scholar

Gyourko, J., Keim, D. (1992), What does the Stock Market Tell Us About Real Estate Returns?, AREUEA Journal, No. 20, 457–485.Search in Google Scholar

Harasty, H., Roulette, J. (2000), Modelling Stock Market Returns: An Error Correction Model, Journal of Portfolio Management, No. 26, pp. 33–46.Search in Google Scholar

Hamilton, J., Wu, J. (2012), The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment, Journal of Money, Credit and Banking, Vol. 44, pp. 3–46.Search in Google Scholar

He, L. T., Webb, J. R., Myer, F. C. (2003), Interest Rate Sensitivities of REIT Returns, International Real Estate Reviews, Vol. 6, No. 1, pp. 1–21.Search in Google Scholar

Ibbotson, R. G., Siegel, L. B. and Love, K. S. (1985), World Wealth: Market Values and Returns, Journal of Portfolio Management, No. 12, pp. 4–23.Search in Google Scholar

Jensen, G. R., Johnson, R. (1995), Discount Rate Changes and Security Returns in the US, 1962–1991. Journal of Banking and Finance, No. 19, pp. 79–95.10.1016/0378-4266(94)00048-8Search in Google Scholar

Johansen, S. (1991), Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models, Econometrica, Vol. 59, No. 6, pp. 1551–1580.Search in Google Scholar

Johansen, S. (1995), Likelihood-based Inference in Cointegrated Vector Autoregressive Models, Oxford University Press, New York.10.1093/0198774508.001.0001Search in Google Scholar

Kashyap, A. K., Stern, J. C., Wilcox, D. W. (1993), Monetary Policy and Credit Conditions: Evidence from the Composition of External Finance, American Economic Review, Vol. 83, No. 1, pp. 78–98.Search in Google Scholar

Kashyap, A. K., Stern, J. C. (2000), What Do A Million Observations on Banks Say about the Transmission of Monetary Policy?, American Economic Review, Vol. 90, No. 3, pp. 407–428.Search in Google Scholar

Kraft, J., Kraft, A. (1976), Determinants of Common Stock Prices: A Time Series Analysis, The Journal of Finance, No. 32, pp. 417–425.Search in Google Scholar

Laopodis, N. (2010), Dynamic Linkages Between Monetary Policy and the Stock Market, Review of Quantitative Finance and Accounting, 35, No. 3, pp. 271–293.Search in Google Scholar

Liang, Y., Mclntosh, W., Webb. J. R. (1995), Intertemporal Changes in the Riskiness of REITs Journal of Real Estate Research, No. 10, pp. 427–443.Search in Google Scholar

Lim, E., Gallo, J. and Swanson, P. (2000), “The Relationship between International Bond Markets and International Stock Markets”, International Review of Financial Analysis, Vol. 7, No. 2, pp. 181–190.10.1016/S1057-5219(99)80034-9Search in Google Scholar

Mengden, A., Hartzell, D. (1986), Real Estate Investment Trusts – Are They Stocks or Real Estate?, Salomon Brothers, Inc, New York.Search in Google Scholar

Migiakis, P. M., Bekiris, F. V. (2009), Regime Switches between Dividend and Bond Yields, International Review of Financial Analysis, No. 18, pp. 198–204.Search in Google Scholar

Miron, J., Romer, C. D., Weil, K. (1994), Historical Perspectives on the Monetary Transmission Mechanism, in: N. G. Mankiw (ed.), Monetary Policy, University of Chicago Press, Chicago, IL.10.3386/w4326Search in Google Scholar

Mueller, G. R., Pauley, K. R. (1995), The Effect of Interest Rate Movements on Real Estate Investment Trusts, Journal of Real Estate Research, Vol. 10, No. 3, pp. 319–326.Search in Google Scholar

Newyorkfed.org. (2016), The Money Supply, [online], available at: https://www.newyorkfed.org/aboutthefed/fedpoint/fed49.html, accessed: August 9, 2016.Search in Google Scholar

Pearce, D. K., Roley, V. (1985), Stock Prices and Economic News, The Journal of Business, Vol. 58, No. 1, pp. 49–67.Search in Google Scholar

Rigobon, R., Sack, B. (2003), Measuring the Response of Monetary Policy to the Stock Market, Quarterly Journal of Economics, No. 118, pp. 639–669.Search in Google Scholar

Sousa, R. M. (2010), Housing Wealth, Financial Wealth, Money Demand and Policy Rule: Evidence from the Euro Area, The North American Journal of Economics and Finance, Vol. 21, No. 3, pp. 88–105.Search in Google Scholar

Thorbecke, W. (1997), On Stock Market Returns and Monetary Policy. Journal of Finance, Vol. 52, No. 2, pp. 635–654.10.1111/j.1540-6261.1997.tb04816.xSearch in Google Scholar

Tarhan, V. (1995), Does the Federal Reserve Affect Asset Prices? Journal of Economic Dynamics and Control, Vol. 19, No. 5/7, pp. 1199–1222.Search in Google Scholar

Warner, E. J., Georges, C. (2001), The Credit Channel of Monetary Policy Transmission: Evidence from stock returns, Economic Inquiry, Vol. 39, No. 1, pp. 74–85.Search in Google Scholar

Polecane artykuły z Trend MD

Zaplanuj zdalną konferencję ze Sciendo