Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/209895 
Erscheinungsjahr: 
2008
Schriftenreihe/Nr.: 
Working Paper No. 2008/4
Verlag: 
Norges Bank, Oslo
Zusammenfassung: 
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.
Schlagwörter: 
VAR
monetary policy
asset prices
identification
JEL: 
E61
E52
E43
Persistent Identifier der Erstveröffentlichung: 
ISBN: 
978-82-7553-431-4
Creative-Commons-Lizenz: 
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Dokumentart: 
Working Paper
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