Stock market implications of Fed's balance sheet size
نویسندگان
چکیده
Purpose Considering the relationship between central bank balance sheet and unconventional monetary policy after 2008 financial crisis, it is crucial to see how policy, given near-zero interest rates, affects future stock market performance. This paper analyzes impact of Fed's size on Design/methodology/approach To analyze size's long-term implications, this uses asset pricing framework return predictability such as Ordinary least squares (OLS) Generalized method moments (GMM) analysis. Findings in suggest that size, deflated by wealth, presents evidence during 1926–2015 robust against standard controls. These results can be explained through redistribution risk wealth channels transmission. The changing a (1) systemic risk, yields expectations (2) signals direction thus economic outlook. Research limitations/implications main implication these findings policymakers should avoid severe imbalance bank's assets wealth. Originality/value empirical documents century-old relation US using data for last 100 years returns from Center research security prices (CRSP) database.
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ژورنال
عنوان ژورنال: Journal of Economic Studies
سال: 2021
ISSN: ['0144-3585', '1758-7387']
DOI: https://doi.org/10.1108/jes-09-2020-0437