The Time Varying Effect of Monetary Policy Surprise on Stock Returns: Bursting Bubble Beating Forward Guidance
Abstract
Generally, stock prices react negatively to unanticipated and restrictive monetary policies. In PERC Working Paper 1505, Jordan Professor of Economics, Dennis W. Jansen, and Anastasia S. Zervou test to what extent surprises in monetary policy affect stock price returns and analyze how this relationship has changed over time. They find that a one percentage point surprise federal funds rate increase reduces the one-day stock return, and that the size of this effect is markedly different depending on the time period under consideration.
Description
MacroeconomicsCollections
Citation
Jansen, Dennis W.; Zervou, Anastasia S. (2015). The Time Varying Effect of Monetary Policy Surprise on Stock Returns: Bursting Bubble Beating Forward Guidance. Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library. Available electronically from https : / /hdl .handle .net /1969 .1 /199348.