Lütkepohl, Helmut; Netšunajev, Aleksei - In: Econometrics : open access journal 6 (2018) 3, pp. 1-14
We use a cointegrated structural vector autoregressive model to investigate the relation between monetary policy in the euro area and the stock market. Since there may be an instantaneous causal relation, we consider long-run identifying restrictions for the structural shocks and also used...
