The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes

Abstract It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices of financial assets, including equities and bonds. Little, however, has been done to explore the impa...
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Autor*in:	Miao, Jia [verfasserIn]

Format:	E-Artikel

Erschienen:	2016

Anmerkung:	© 2016 Jia Miao, published by De Gruyter Open

Übergeordnetes Werk:	Enthalten in: International journal of management and economics - De Gruyter Open, 2013, 51(2016), 1 vom: 01. Sept., Seite 9-19
Übergeordnetes Werk:	volume:51 ; year:2016 ; number:1 ; day:01 ; month:09 ; pages:9-19

Links:	Volltext

DOI / URN:	10.1515/ijme-2016-0016

Katalog-ID:	GRUY00061114X

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allfields	10.1515/ijme-2016-0016 doi (DE-627)GRUY00061114X (DE-B1597)ijme-2016-0016-e DE-627 ger DE-627 rakwb 330 650 VZ Miao, Jia verfasserin aut The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes 2016 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © 2016 Jia Miao, published by De Gruyter Open Abstract It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices of financial assets, including equities and bonds. Little, however, has been done to explore the impact of major financial assets on changes in monetary policies. This study examines the impacts of the Federal Reserve’s monetary policy on the dynamics of major financial assets in the U. S. For this purpose, cointegration was tested for between equities, bonds and real estate markets in the period 1980 to 2014, whereas the U. S. monetary base M2 was used as an exogenous variable. Our cointegration tests suggest that the exogenous component of the U. S. M2 significantly affected the interaction among major U. S. financial assets. These findings have implications for both policymakers and market practitioners in terms of portfolio allocation rules. Enthalten in International journal of management and economics De Gruyter Open, 2013 51(2016), 1 vom: 01. Sept., Seite 9-19 Online-Ressource (DE-627)827378262 (DE-600)2824518-0 (DE-576)433819138 2543-5361 nnns volume:51 year:2016 number:1 day:01 month:09 pages:9-19 https://dx.doi.org/10.1515/ijme-2016-0016 lizenzpflichtig Volltext SYSFLAG_0 GBV_GRUY SSG-OLC-WIW GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 51 2016 1 01 09 9-19
spelling	10.1515/ijme-2016-0016 doi (DE-627)GRUY00061114X (DE-B1597)ijme-2016-0016-e DE-627 ger DE-627 rakwb 330 650 VZ Miao, Jia verfasserin aut The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes 2016 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © 2016 Jia Miao, published by De Gruyter Open Abstract It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices of financial assets, including equities and bonds. Little, however, has been done to explore the impact of major financial assets on changes in monetary policies. This study examines the impacts of the Federal Reserve’s monetary policy on the dynamics of major financial assets in the U. S. For this purpose, cointegration was tested for between equities, bonds and real estate markets in the period 1980 to 2014, whereas the U. S. monetary base M2 was used as an exogenous variable. Our cointegration tests suggest that the exogenous component of the U. S. M2 significantly affected the interaction among major U. S. financial assets. These findings have implications for both policymakers and market practitioners in terms of portfolio allocation rules. Enthalten in International journal of management and economics De Gruyter Open, 2013 51(2016), 1 vom: 01. Sept., Seite 9-19 Online-Ressource (DE-627)827378262 (DE-600)2824518-0 (DE-576)433819138 2543-5361 nnns volume:51 year:2016 number:1 day:01 month:09 pages:9-19 https://dx.doi.org/10.1515/ijme-2016-0016 lizenzpflichtig Volltext SYSFLAG_0 GBV_GRUY SSG-OLC-WIW GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 51 2016 1 01 09 9-19
allfields_unstemmed	10.1515/ijme-2016-0016 doi (DE-627)GRUY00061114X (DE-B1597)ijme-2016-0016-e DE-627 ger DE-627 rakwb 330 650 VZ Miao, Jia verfasserin aut The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes 2016 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © 2016 Jia Miao, published by De Gruyter Open Abstract It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices of financial assets, including equities and bonds. Little, however, has been done to explore the impact of major financial assets on changes in monetary policies. This study examines the impacts of the Federal Reserve’s monetary policy on the dynamics of major financial assets in the U. S. For this purpose, cointegration was tested for between equities, bonds and real estate markets in the period 1980 to 2014, whereas the U. S. monetary base M2 was used as an exogenous variable. Our cointegration tests suggest that the exogenous component of the U. S. M2 significantly affected the interaction among major U. S. financial assets. These findings have implications for both policymakers and market practitioners in terms of portfolio allocation rules. Enthalten in International journal of management and economics De Gruyter Open, 2013 51(2016), 1 vom: 01. Sept., Seite 9-19 Online-Ressource (DE-627)827378262 (DE-600)2824518-0 (DE-576)433819138 2543-5361 nnns volume:51 year:2016 number:1 day:01 month:09 pages:9-19 https://dx.doi.org/10.1515/ijme-2016-0016 lizenzpflichtig Volltext SYSFLAG_0 GBV_GRUY SSG-OLC-WIW GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 51 2016 1 01 09 9-19
allfieldsGer	10.1515/ijme-2016-0016 doi (DE-627)GRUY00061114X (DE-B1597)ijme-2016-0016-e DE-627 ger DE-627 rakwb 330 650 VZ Miao, Jia verfasserin aut The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes 2016 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © 2016 Jia Miao, published by De Gruyter Open Abstract It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices of financial assets, including equities and bonds. Little, however, has been done to explore the impact of major financial assets on changes in monetary policies. This study examines the impacts of the Federal Reserve’s monetary policy on the dynamics of major financial assets in the U. S. For this purpose, cointegration was tested for between equities, bonds and real estate markets in the period 1980 to 2014, whereas the U. S. monetary base M2 was used as an exogenous variable. Our cointegration tests suggest that the exogenous component of the U. S. M2 significantly affected the interaction among major U. S. financial assets. These findings have implications for both policymakers and market practitioners in terms of portfolio allocation rules. Enthalten in International journal of management and economics De Gruyter Open, 2013 51(2016), 1 vom: 01. Sept., Seite 9-19 Online-Ressource (DE-627)827378262 (DE-600)2824518-0 (DE-576)433819138 2543-5361 nnns volume:51 year:2016 number:1 day:01 month:09 pages:9-19 https://dx.doi.org/10.1515/ijme-2016-0016 lizenzpflichtig Volltext SYSFLAG_0 GBV_GRUY SSG-OLC-WIW GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 51 2016 1 01 09 9-19
allfieldsSound	10.1515/ijme-2016-0016 doi (DE-627)GRUY00061114X (DE-B1597)ijme-2016-0016-e DE-627 ger DE-627 rakwb 330 650 VZ Miao, Jia verfasserin aut The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes 2016 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier © 2016 Jia Miao, published by De Gruyter Open Abstract It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices of financial assets, including equities and bonds. Little, however, has been done to explore the impact of major financial assets on changes in monetary policies. This study examines the impacts of the Federal Reserve’s monetary policy on the dynamics of major financial assets in the U. S. For this purpose, cointegration was tested for between equities, bonds and real estate markets in the period 1980 to 2014, whereas the U. S. monetary base M2 was used as an exogenous variable. Our cointegration tests suggest that the exogenous component of the U. S. M2 significantly affected the interaction among major U. S. financial assets. These findings have implications for both policymakers and market practitioners in terms of portfolio allocation rules. Enthalten in International journal of management and economics De Gruyter Open, 2013 51(2016), 1 vom: 01. Sept., Seite 9-19 Online-Ressource (DE-627)827378262 (DE-600)2824518-0 (DE-576)433819138 2543-5361 nnns volume:51 year:2016 number:1 day:01 month:09 pages:9-19 https://dx.doi.org/10.1515/ijme-2016-0016 lizenzpflichtig Volltext SYSFLAG_0 GBV_GRUY SSG-OLC-WIW GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_65 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_95 GBV_ILN_105 GBV_ILN_110 GBV_ILN_151 GBV_ILN_161 GBV_ILN_170 GBV_ILN_206 GBV_ILN_213 GBV_ILN_230 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_2014 GBV_ILN_4012 GBV_ILN_4037 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4249 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4338 GBV_ILN_4367 GBV_ILN_4700 AR 51 2016 1 01 09 9-19
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author	Miao, Jia
spellingShingle	Miao, Jia ddc 330 The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes
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title	The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes
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title_sort	the long-run effects of the fed’s monetary policy on the dynamics among major asset classes
title_auth	The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes
abstract	Abstract It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices of financial assets, including equities and bonds. Little, however, has been done to explore the impact of major financial assets on changes in monetary policies. This study examines the impacts of the Federal Reserve’s monetary policy on the dynamics of major financial assets in the U. S. For this purpose, cointegration was tested for between equities, bonds and real estate markets in the period 1980 to 2014, whereas the U. S. monetary base M2 was used as an exogenous variable. Our cointegration tests suggest that the exogenous component of the U. S. M2 significantly affected the interaction among major U. S. financial assets. These findings have implications for both policymakers and market practitioners in terms of portfolio allocation rules. © 2016 Jia Miao, published by De Gruyter Open
abstractGer	Abstract It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices of financial assets, including equities and bonds. Little, however, has been done to explore the impact of major financial assets on changes in monetary policies. This study examines the impacts of the Federal Reserve’s monetary policy on the dynamics of major financial assets in the U. S. For this purpose, cointegration was tested for between equities, bonds and real estate markets in the period 1980 to 2014, whereas the U. S. monetary base M2 was used as an exogenous variable. Our cointegration tests suggest that the exogenous component of the U. S. M2 significantly affected the interaction among major U. S. financial assets. These findings have implications for both policymakers and market practitioners in terms of portfolio allocation rules. © 2016 Jia Miao, published by De Gruyter Open
abstract_unstemmed	Abstract It is well known that government monetary policies significantly impact financial markets. There have been numerous studies examining the relationship between monetary policy and the prices of financial assets, including equities and bonds. Little, however, has been done to explore the impact of major financial assets on changes in monetary policies. This study examines the impacts of the Federal Reserve’s monetary policy on the dynamics of major financial assets in the U. S. For this purpose, cointegration was tested for between equities, bonds and real estate markets in the period 1980 to 2014, whereas the U. S. monetary base M2 was used as an exogenous variable. Our cointegration tests suggest that the exogenous component of the U. S. M2 significantly affected the interaction among major U. S. financial assets. These findings have implications for both policymakers and market practitioners in terms of portfolio allocation rules. © 2016 Jia Miao, published by De Gruyter Open
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title_short	The Long-Run Effects of the Fed’s Monetary Policy on the Dynamics among Major Asset Classes
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