Asset prices, monetary policy, and aggregate fluctuations: An empirical investigation

Lichao Cheng, Yi Jin

Research output: Contribution to journalArticleResearchpeer-review

6 Citations (Scopus)


This paper studies empirically the dynamic interactions between asset prices, monetary policy, and aggregate fluctuations in the U.S. during the Volcker-Greenspan period. Results from a simple structural vector autoregression indicate that monetary policy reacts directly to the term spread and indirectly to stock prices and house prices via output and inflation, that there is an asymmetry in the interactions between asset prices and aggregate activity, and that asset prices exhibit positive comovement.
Original languageEnglish
Pages (from-to)24 - 27
Number of pages4
JournalEconomics Letters
Issue number1
Publication statusPublished - 2013

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