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Nonlinear effects of monetary policy on stock returns in a smooth transition autoregressive model

机译：平滑过渡自回归模型中货币政策对股票收益的非线性影响

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摘要

This paper employs smooth transition autoregressive (STAR) models to investigate the nonlinear effect of monetary policy on stock returns. The change in the Federal funds rate is used as an endogenous measure of monetary policy, and the growth rate of industrial production is also considered in the model. Our results show that the relationship between the monetary policy and excess returns on stock prices is positive and nonlinear. A decrease in the Federal funds rate causes a larger increase in excess returns if excess stock returns are located in the extreme low excess returns regime.
机译：本文采用平滑过渡自回归（STAR）模型来研究货币政策对股票收益的非线性影响。联邦基金利率的变化被用作货币政策的内生度量，模型中也考虑了工业生产的增长率。我们的结果表明，货币政策与股票超额收益之间的关系是正向和非线性的。如果超额股票收益位于极低的超额收益制度中，则联邦基金利率的下降会导致超额收益更大的增加。

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  • 来源
    《The quarterly review of economics and finance》 |2011年第4期|p.339-349|共11页
  • 作者

    Kuang-Chung Hsu; Hui-Chu Chiang;

  • 作者单位

    Department of Economics and International Business, University of Central Oklahoma, 100 North University Drive, Edmond, OK 73034, United States;

    rnDepartment of Economics and International Business, University of Central Oklahoma, 100 North University Drive, Edmond, OK 73034, United States;

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  • 正文语种 eng
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  • 关键词

    monetary policy; stock returns; STAR model;

    机译：货币政策;库存收益;STAR型号;

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