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Erschienen in:

05.06.2023

Unconventional monetary policy and the stock market

verfasst von: Sajjadur Rahman, Apostolos Serletis

Erschienen in: Journal of Economics and Finance | Ausgabe 3/2023

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Abstract

We use weekly changes in the size of the Federal Reserve’s balance sheet as a policy tool that has largely been ignored in the literature to investigate the relationship between the unconventional monetary policy and stock market returns when the federal funds rate reaches the zero lower bound. Our empirical framework is based on a structural VAR that is identified using heteroscedasticity in weekly data on the components of the Fed’s balance sheet. We find evidence that the unconventional expansionary monetary policy is effective in stimulating the stock market, as it has positive and statistically significant effects on stock returns. In extending our analysis to disaggregate returns, our findings suggest heterogenous and asymmetric responses of disaggregate returns to an unconventional policy shock.

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Metadaten
Titel
Unconventional monetary policy and the stock market
verfasst von
Sajjadur Rahman
Apostolos Serletis
Publikationsdatum
05.06.2023
Verlag
Springer US
Erschienen in
Journal of Economics and Finance / Ausgabe 3/2023
Print ISSN: 1055-0925
Elektronische ISSN: 1938-9744
DOI
https://doi.org/10.1007/s12197-023-09624-z

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