dc.contributor.author | Bjørnland, Hilde C. | |
dc.contributor.author | Leitemo, Kai | |
dc.date.accessioned | 2018-05-09T11:08:20Z | |
dc.date.available | 2018-05-09T11:08:20Z | |
dc.date.issued | 2008 | |
dc.identifier.isbn | 978-82-7553-430-7 | |
dc.identifier.isbn | 978-82-7553-431-4 | |
dc.identifier.issn | 0801-2504 | |
dc.identifier.issn | 1502-8143 | |
dc.identifier.uri | http://hdl.handle.net/11250/2497782 | |
dc.description.abstract | We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a combination of short-run and long-run restrictions that maintains the qualitative properties of a monetary policy shock found in the established literature (Christiano et al., 1999). We find great interdependence between interest rate setting and real stock prices. Real stock prices immediately fall by 7-9 percent due to a monetary policy shock that raises the federal funds rate by 100 basis points. A stock price shock increasing real stock prices by one percent leads to an increase in the interest rate of close to 4 basis points. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.publisher | Norges Bank | nb_NO |
dc.relation.ispartofseries | Working Papers;4/2008 | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.no | * |
dc.subject | JEL: E61 | nb_NO |
dc.subject | JEL: E52 | nb_NO |
dc.subject | JEL: E43 | nb_NO |
dc.subject | VAR | nb_NO |
dc.subject | monetary policy | nb_NO |
dc.subject | asset prices | nb_NO |
dc.subject | identification | nb_NO |
dc.title | Identifying the Interdependence Between Us Monetary Policy and the Stock Market | nb_NO |
dc.type | Working paper | nb_NO |
dc.description.version | publishedVersion | nb_NO |
dc.subject.nsi | VDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212 | nb_NO |
dc.source.pagenumber | 28 | nb_NO |