Stock market conditions and monetary policy in a DSGE model for the U.S.

DOI10.1016/J.JEDC.2010.06.028MaRDI QIDQ602869zbMATH OpenOpenAlexFDO

Authors Efrem Castelnuovo, Salvatore Nisticò

Publication date 5 November 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://economia.unipd.it/sites/economia.unipd.it/files/20100107.pdf

zbMATH Keywords

Bayesian estimationmonetary policystock priceswealth effects

Mathematics Subject Classification ID

Dynamic stochastic general equilibrium theory (91B51) Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Recommendations

• Stock prices and monetary policy shocks: a general equilibrium approach
• Monetary policy trade-offs in an estimated open-economy DSGE model
• Monetary policy, stock prices, and consumption externalities
• Determinacy, stock market dynamics and monetary policy inertia
• Measuring The Reaction of Monetary Policy to the Stock Market
• Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data
• Stock prices, output and the monetary regime
• DSGE models, detrending, and the method of moments
• Monetary policy and stock valuation: structural VAR identification and size effects
• Fiscal policy, monetary policy and the efficiency of the stock market

Cites work

• Bayesian Analysis of DSGE Models
• Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning
• Measuring The Reaction of Monetary Policy to the Stock Market
• Monetary and fiscal policy interactions in a New Keynesian model with capital accumulation and non-Ricardian consumers
• Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
• The Present-Value Relation: Tests Based on Implied Variance Bounds

Cited in

(10)

• Optimal monetary policy in a New Keynesian model with animal spirits and financial markets
• Stock prices and monetary policy shocks: a general equilibrium approach
• Heterogeneous beliefs, monetary policy, and stock price volatility
• The public debt multiplier
• Attenuating the forward guidance puzzle: implications for optimal monetary policy
• New JLS-factor model versus the standard JLS model: a case study on Chinese stock bubbles
• Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data
• Calvo vs. Rotemberg in a trend inflation world: an empirical investigation
• Identification and estimation of non-Gaussian structural vector autoregressions
• Monetary policy and asset prices with belief-driven fluctuations

This page was built for publication: Stock market conditions and monetary policy in a DSGE model for the U.S.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q602869)