Monetary Economics: Theory and Policy by Bennett T. McCallum PDF

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The returns for the industries are equally weighted for all companies in the CRSP NYSE, Amex, and Nasdaq return database that are categorized in the appropriate SIC designation. To remain consistent with the derivation of the industry indexes, the market return in Table 8 is represented by the CRSP equal-weighted NYSE, Amex, and Nasdaq index. For all 19 industries, the mean returns in expansive monetary periods are higher than the returns in restrictive periods. The difference in mean returns is significant at the 5 percent level for all industries, except the mining industry.

Returns Following Monetary Environment Changes, 1960–1998 Monthly Return Index Four or More One Month After Two Months After Three Months Months After Rate Rate Change Rate Change After Rate Change Change Panel A. 8977 Panel B. 4812 Note: The values reported in the table are mean monthly returns over the relevant calendar month subsequent to the initiation of a new monetary environment and are reported as percentages. a The stock index is the CRSP value-weighted NYSE, Amex, and Nasdaq index, including dividends.

It has a higher significance level than other measures in a Granger-causality setting). Variance decompositions, however, show that the federal funds rate explains more of the variability in economic activity than do other measures. Stock and Watson (1989), Bernanke (1990), and Friedman and Kuttner (1992) also support the importance of the commercial paper–T-bill spread. book Page 40 Thursday, November 9, 2000 11:17 AM The Role of Monetary Policy in Investment Management the funds rate and a short-term T-bill rate are useful monetary indicators.

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