Measuring the reaction of monetary policy to the stock market
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：
QUARTERLY JOURNAL OF ECONOMICS
ISSN/ISSBN：
0033-5533
DOI：
10.1162/003355303321675473
发表日期：
2003
页码：
639-669
关键词：
摘要：
Movements in the stock market can have a significant impact on the macroeconomy and are therefore likely to be an important factor in the determination of monetary policy. However, little is known about the magnitude of the Federal Reserve's reaction to the stock market, in part because the simultaneous response of equity prices to interest rates makes it difficult to estimate. This paper uses an identification technique based on the heteroskedasticity of stock market returns to measure the reaction of monetary policy to the stock market. We find a significant policy response, with a 5 percent rise (fall) in the S&P 500 index increasing the likelihood of a 25 basis point tightening (easing) by about a half.
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