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The relation between monetary policy and the stock market in Europe
Lütkepohl, Helmut; Netšunajev, Aleksei - 2018
We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional)...
Persistent link: https://www.econbiz.de/10011810177
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The relation between monetary policy and the stock market in Europe
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...
Persistent link: https://www.econbiz.de/10011887655
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Can stock price fundamentals properly be captured? : using Markov switching in hetereskedasticity models to test identification schemes
Velinov, Anton - 2013
Structural identification schemes are of essential importance to vector autoregressive (VAR) analysis. This paper tests a commonly used structural parameter identification scheme to assess whether it can properly capture fundamental and non-fundamental shocks to stock prices. In particular, five...
Persistent link: https://www.econbiz.de/10010229662
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Impact of monetary policy and fiscal policy on Indonesian stock market
Handoyo, Rossanto Dwi; BinJusoh, Mansor; Mohd Azlan … - In: Expert journal of economics 3 (2015) 2, pp. 113-126
This paper attempts to investigate the effect of fiscal and monetary policy on Indonesian Stock price as well as main sectors stock price such as agricultural, mining, manufacture, and financial sector indexes. We consider the world oil price as a foreign variable that will influence domestic...
Persistent link: https://www.econbiz.de/10012062301
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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...
Persistent link: https://www.econbiz.de/10010395968
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Chapter 20. Term Structure of Uncertainty in the Macroeconomy
Borovička, J.; Hansen, L.P. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1641-1696). 2016
Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...
Persistent link: https://www.econbiz.de/10014024262
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Monetary shocks and stock returns : identification through the impossible trinity
Ozdagli, Ali; Yu, Yifan - 2012
This paper attempts to identify how monetary policy shocks affect stock prices by using Mundell and Fleming's theory of … the "Impossible Trinity". According to this theory, it is impossible to simultaneously have a fixed exchange rate, free … this theory because the HK dollar has been pegged to the U.S. dollar since 1983 and Hong Kong does not impose any capital …
Persistent link: https://www.econbiz.de/10009681235
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The Effect of Monetary Policy Shocks on Stock Prices Accounting for Endogeneity and Omitted Variable Biases
Farka, Mira - 2009
A new high-frequency data set is used to estimate the Fed's impact on the level and volatility of stock prices while accounting for endogeneity and omitted variable biases and potential asymmetries. Results show that after addressing these issues, the effect of policy shocks on the level and...
Persistent link: https://www.econbiz.de/10013156282
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Identifying the Interdependence between US Monetary Policy and the Stock Market
Bjørnland, Hilde Christiane; Leitemo, Kai - 2010
We estimate the interdependence between US monetary policy and the S&P 500 using structural VAR methodology. A solution is proposed to the simultaneity problem of identifying monetary and stock price shocks by using a combination of short-run and long-run restrictions that maintains the...
Persistent link: https://www.econbiz.de/10014223768
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Monetary Shocks and Stock Returns : Identification Through the Impossible Trinity
Ozdagli, Ali - 2013
.S. stock prices. To overcome this bias, we propose a new identification method based on the "Impossible Trinity" theory which …
Persistent link: https://www.econbiz.de/10013075805