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Monetary policy and information shocks in a block-recursive SVAR

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Do stock prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autoregressive model

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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