Kontonikas, A and Zekaite, Z (2018) Monetary policy and stock valuation: Structural VAR identification and size effects. Quantitative Finance, 18 (5). pp. 837-848. DOI https://doi.org/10.1080/14697688.2017.1414516
Kontonikas, A and Zekaite, Z (2018) Monetary policy and stock valuation: Structural VAR identification and size effects. Quantitative Finance, 18 (5). pp. 837-848. DOI https://doi.org/10.1080/14697688.2017.1414516
Kontonikas, A and Zekaite, Z (2018) Monetary policy and stock valuation: Structural VAR identification and size effects. Quantitative Finance, 18 (5). pp. 837-848. DOI https://doi.org/10.1080/14697688.2017.1414516
Abstract
This 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: | Article |
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Uncontrolled Keywords: | Monetary policy, Stock market, Size effect, SVAR |
Subjects: | H Social Sciences > HG Finance |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 08 Dec 2017 11:57 |
Last Modified: | 16 May 2024 19:09 |
URI: | http://repository.essex.ac.uk/id/eprint/20763 |
Available files
Filename: Kontonikas and Zekaite_final.pdf