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Monetary policy and stock valuation: Structural VAR identification and size effects

Kontonikas, A and Zekaite, Z (2017) Monetary policy and stock valuation: Structural VAR identification and size effects. Working Paper. Essex Finance Centre Working Papers, Colchester.

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Abstract

his paper examines the relationship between the US monetary policy and stock valuation using a structural VAR framework that allows for the simultaneous interaction between the federal funds rate and stock market developments based on the assumption of long-run monetary neutrality. The results confirm a strong, negative and significant monetary policy tightening effect on real stock prices. Furthermore, we provide evidence consistent with a delayed response of small stocks to monetary policy shocks relative to large stocks.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: Monetary policy; Stock market; Size effect; SVAR
Subjects: H Social Sciences > HG Finance
SWORD Depositor: Elements
Depositing User: Elements
Date Deposited: 02 Nov 2017 15:35
Last Modified: 06 Jan 2022 13:43
URI: http://repository.essex.ac.uk/id/eprint/20605

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