Does Monetary Policy Have Asymmetric Effects on Stock Returns?
使用马尔可夫转换模型，基于标普500指数月收益数据，发现货币政策在熊市中对股票收益影响更大，且紧缩政策会增加转向熊市的概率。
This paper investigates whether monetary policy has asymmetric effects on stock returns using Markov‐switching models. Different measures of a monetary policy stance are adopted. Empirical evidence from monthly returns on the Standard & Poor's 500 price index suggests that monetary policy has larger effects on stock returns in bear markets. Furthermore, it is shown that a contractionary monetary policy leads to a higher probability of switching to the bear‐market regime.