Daily monetary impulses and security prices

Claudio Loderer*, Thomas Lys, Urs Schweizer

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

This paper uses Swiss data to study the real long-run effects of monetary policy. Daily unexpected changes in the monetary base are found to be negatively correlated with security price changes. This result is unaffected when, implicitly following Geske and Roll (1983), we try to measure the autonomous component of monetary policy by taking into account a reaction function of monetary policy to changes in real variables.

Original languageEnglish (US)
Pages (from-to)33-47
Number of pages15
JournalJournal of Monetary Economics
Volume18
Issue number1
DOIs
StatePublished - Jul 1986

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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