Analyzing Monetary Policy (Paperback) (ISBN-13: 9783836426688)

This book analyzes the relationships among monetary policy, stock prices and exchange rates. After introducing the relationship among the variables of interest and the problems of measuring the effects of monetary policy on stock prices or exchange rates, the simultaneous relationship between monetary policy and stock prices is examined. Also, the simultaneous relationship between monetary policy and the exchange rate is investigated. Multivariate relationships among monetary policy, stock prices and the exchange rate are examined by using various multivariate methods such as the VECM, VAR, VARX and VARGARCH. The literature on measuring the reaction of monetary policy to macroeconomic variables or vice versa has focused either on a single equation of monetary response, which is subject to the simultaneity bias problem, or the VAR analysis, which is subject to the heteroscedasticity problem. We employ the ITH method to estimate the reaction of monetary policy to stock prices and the reaction of monetary policy to the exchange rate. The ITH method overcomes the simultaneous bias problem and it uses heteroskedasticity to estimate the parameter of interest. The book is addressed to professionals, Ph.D and Master's students in the fields of economics and finance.

Author: Mehmet Ivrendi
ISBN-10: 3836426684
ISBN-13: 9783836426688
Publisher: VDM Verlag Dr. Mueller E.K.
Language: English
Published: 09/24/2007
Pages: 252
Format: Paperback
Weight: 0.90lbs
Size: 9.61h x 6.69w x 0.53d