English, Article, Journal or magazine article edition: The Importance of Stock Market Returns in Estimated Monetary Policy Rules. Jesús Vázquez

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Bookmark: http://trove.nla.gov.au/version/183364
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Importance of Stock Market Returns in Estimated Monetary Policy Rules.
Author
  • Jesús Vázquez
Physical Description
  • preprint
Notes
  • This paper estimates a standard version of the New Keynesian Monetary (NKM) model augmented with financial variables in order to analyze the relative importance of stock market returns and term spread in the estimated U.S. monetary policy rule. The estimation procedure implemented is a classical structural method based on the indirect inference principle. The empirical results show that the Fed seems to respond to the macroeconomic outlook and to the stock market return but does not seem to respond to the term spread. Moreover, policy inertia and persistent policy shocks are also significant features of the estimated policy rule.
  • NKM model, stock market returns, policy rule
  • RePEc:ehu:dfaeii:200606
Language
  • English
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