The impact of monetary policy on asset prices

• 成果类型: Article
• 署名作者: Rigobon, R; Sack, B
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Federal Reserve System - USA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2004.02.004
• 发表日期: 2004
• 页码: 1553-1575
• 关键词: Monetary policy; Stock market; yield curve; identification; heteroskedasticity

摘要

Estimating the response of asset prices to changes in monetary policy is complicated by the endogeneity of policy decisions and the fact that both interest rates and asset prices react to numerous other variables. This paper develops a new estimator that is based on the heterpskedaticity that exists in high-frequency data. We show (hat the response of asset prices to changes in monetary policy can be identified based on the increase in the variance of Policy shocks that occurs on days of FOMC meetings and of the Chair-man's semi-annual monetary policy testimony to Congress. The identification approach employed requires a much weaker set of assumptions than needed under the event-study approach that is typically used in this context. The results indicate that an increase in short-term interest rates results in a decline in stock prices and in an upward shift in the yield curve that becomes smaller at longer maturities. The findings also sugguest that the event-study estimates contain biases that make the estimated effects on stock prices appear too small and those on Treasury yields too large. (C) 2004 Elsevier B.V. All rights reserved.