The effects of expectations-based monetary policy on international stock markets: An application of heterogeneous agent model

• Published in: International review of economics & finance Vol. 47; pp. 70 - 87
• Main Authors: Hung, Kuo-Che, Ma, Tai
• Format: Journal Article
• Language: English
• Published: Elsevier Inc 01.01.2017
• Subjects: C22; E52; E58; Expectations-based monetary policy; Heterogeneous expectations; Stock market prices; The fraction of fundamentalists; The fraction of fundamentalists; C22; E52; Stock market prices; Heterogeneous expectations; E58; Expectations-based monetary policy

This study develops an empirical approach to measuring the monetary policy effectiveness for price stability based on stock market expectations. First, we use the fraction of fundamentalists estimated by the model of heterogeneous agents as an indicator of agents' predictions of stock market mo...