Monetary policy uncertainty, monetary policy surprises and stock returns
نویسندگان
چکیده
We study the effects of monetary policy surprises on stock returns under low and high uncertainty in U.S. using Panel Smooth Transition Regression (PSTR) model to identify regimes. Monetary are unexpected changes Federal Funds Rate (FFR) Open Market Committee (FOMC) announcement days, where mimicking portfolio method is used obtain a regular time series with since announcements occur an irregular basis. Using data for period 1994–2008, we find negative relationship between both regimes but less pronounced when low. Hence, it more important hedge against market volatility compared
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ژورنال
عنوان ژورنال: Journal of Economics and Business
سال: 2023
ISSN: ['2621-5667', '2615-3726']
DOI: https://doi.org/10.1016/j.jeconbus.2022.106106