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Security markets and the information content of monetary policy turning points

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  • Jensen, Gerald R.
  • Mercer, Jeffrey M.

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  • Jensen, Gerald R. & Mercer, Jeffrey M., 2006. "Security markets and the information content of monetary policy turning points," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(4), pages 477-494, September.
    • Handle: RePEc:eee:quaeco:v:46:y:2006:i:4:p:477-494
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    References listed on IDEAS

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    1. Thorbecke, Willem, 1997. "On Stock Market Returns and Monetary Policy," Journal of Finance, American Finance Association, vol. 52(2), pages 635-654, June.
    2. Smirlock, Michael J & Yawitz, Jess B, 1985. "Asset Returns, Discount Rate Changes, and Market Efficiency," Journal of Finance, American Finance Association, vol. 40(4), pages 1141-1158, September.
    3. Jensen, Gerald R. & Mercer, Jeffrey M. & Johnson, Robert R., 1996. "Business conditions, monetary policy, and expected security returns," Journal of Financial Economics, Elsevier, vol. 40(2), pages 213-237, February.
    4. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-921, September.
    5. Cook, Timothy & Hahn, Thomas, 1988. "The Information Content of Discount Rate Announcements and Their Effect on Market Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(2), pages 167-180, May.
    6. James R. Booth & Lena Chua Booth, 1997. "Economic factors, monetary policy and expected returns on stocks and bonds," Economic Review, Federal Reserve Bank of San Francisco, pages 32-42.
    7. Daniel L. Thornton, 1998. "Tests of the market's reaction to federal funds rate target changes," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 25-36.
    8. Wagster, John, 1993. "The Information Content of Discount Rate Announcements Revisited: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(1), pages 132-137, February.
    9. Haslag, Joseph H & Hein, Scott E, 1995. "Quasi Balance-Sheet Measures of U.S. Monetary Policy: A Closer Look," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(1), pages 124-139, February.
    10. Waud, Roger N, 1970. "Public Interpretation of Federal Reserve Discount Rate Changes: Evidence on the 'Announcement Effect'," Econometrica, Econometric Society, vol. 38(2), pages 231-250, March.
    11. Conover, C. Mitchell & Jensen, Gerald R. & Johnson, Robert R., 1999. "Monetary environments and international stock returns," Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1357-1381, September.
    12. Johnson, Robert R. & Buetow, Gerald W. & Jensen, Gerald R. & Reilly, Frank K., 2003. "Monetary policy and fixed income returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(1), pages 133-146.
    13. Gerald R. Jensen & Jeffrey M. Mercer, 2002. "Monetary Policy and the Cross‐Section of Expected Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 25(1), pages 125-139, March.
    14. Robert D. Laurent, 1988. "An interest rate-based indicator of monetary policy," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 12(Jan), pages 3-14.
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    Cited by:

    1. Su-Jane Chen & Ming-Hsiang Chen, 2009. "Discount Rate Changes and Market Timing: A Multinational Study," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 329-349, November.
    2. Ming-Hsiang Chen, 2010. "Federal Reserve Monetary Policy and US Hospitality Stock Returns," Tourism Economics, , vol. 16(4), pages 833-852, December.

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