This paper presents a procedure to analyze the reaction of stock market returns and output growth volatility to monetary policy. In particular, we study whether shifts in the variance of returns and GDP growth can be predicted by changes in a monetary policy indicator. An empirical application to US data is examined and discussed. (c) 2006 Elsevier B.V. All rights reserved.
Predicting Markov volatility switches using monetary policy variables
Fabio Spagnolo;
2007-01-01
Abstract
This paper presents a procedure to analyze the reaction of stock market returns and output growth volatility to monetary policy. In particular, we study whether shifts in the variance of returns and GDP growth can be predicted by changes in a monetary policy indicator. An empirical application to US data is examined and discussed. (c) 2006 Elsevier B.V. All rights reserved.File in questo prodotto:
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