TY - JOUR
T1 - Daily monetary impulses and security prices
AU - Loderer, Claudio
AU - Lys, Thomas
AU - Schweizer, Urs
N1 - Funding Information:
*This paper was completed while C. Loderer was visiting at the University of Chicago. Financial support by the Swiss Center for socio-Political Research, Bern, Switzerland and the Accounting Research Center, Northwestern University are gratefully acknowledged. The paper profited from helpful comments by Karl Brunner, Robert Hodrick, Robert G. King, Kurt Schiltknecht and an anonymous referee. ‘This finding fails to support the motion of a short-run liquidity effect of monetary policy.
PY - 1986/7
Y1 - 1986/7
N2 - 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.
AB - 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.
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U2 - 10.1016/0304-3932(86)90053-X
DO - 10.1016/0304-3932(86)90053-X
M3 - Article
AN - SCOPUS:46149131158
SN - 0304-3932
VL - 18
SP - 33
EP - 47
JO - Journal of Monetary Economics
JF - Journal of Monetary Economics
IS - 1
ER -