Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/148054 
Erscheinungsjahr: 
2016
Schriftenreihe/Nr.: 
cege Discussion Papers No. 295
Verlag: 
University of Göttingen, Center for European, Governance and Economic Development Research (cege), Göttingen
Zusammenfassung: 
A central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on this issue by augmenting a monetary SVAR for US data with an asset price index, using set-identifying structural restrictions. The impulse responses show a positive asset price response to a contractionary monetary policy shock. The resulting monetary policy shocks correlate weakly with the Romer and Romer (2004) (RR) shocks, which matters greatly when analyzing impulse responses. Considering only models with shocks highly correlated with the RR series uncovers a negative, but near-zero response of asset prices.
Schlagwörter: 
monetary policy shocks
asset prices
sign restrictions
zero restrictions
set identification
structural VAR models
JEL: 
C32
E44
E52
Dokumentart: 
Working Paper

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