Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/1094
Title: Unconventional monetary policy and the stock market's reaction to Federal Reserve policy actions
Authors: Ekşi, Ozan
Taş, Bedri Kamil Onur
Keywords: monetary policy
zero lower bound
lsap
stock market
Issue Date: Apr-2017
Publisher: Elsevier Science Inc
Source: Eksi, O., & Tas, B. K. O. (2017). Unconventional monetary policy and the stock market’s reaction to Federal Reserve policy actions. The North American Journal of Economics and Finance, 40, 136-147.
Abstract: We examine the change in the effect of Federal Reserve's policy actions on stock returns after the Fed started to use unconventional policy actions. We find that the response of stock returns to monetary policy actions are almost seven times higher after the federal funds rate hit the zero lower bound. We conduct additional analysis to examine the underlying causes of the increase in the impact of monetary policy actions of stock returns. We show that investors rebalance their portfolios towards equity after selling Treasury securities to the Federal Reserve during large scale asset purchases. (C) 2017 Elsevier Inc. All rights reserved.
URI: https://doi.org/10.1016/j.najef.2017.02.004
https://hdl.handle.net/20.500.11851/1094
ISSN: 1062-9408
Appears in Collections:İktisat Bölümü / Department of Economics
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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