Bookcover of Monetary Policy Transmission to Stock Markets
Booktitle:

Monetary Policy Transmission to Stock Markets

Heterogeneous Reaction of Stock Prices to Tightening

LAP LAMBERT Academic Publishing (2012-05-02 )

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ISBN-13:

978-3-8484-0196-3

ISBN-10:
3848401967
EAN:
9783848401963
Book language:
English
Blurb/Shorttext:
The immediate effect of monetary policy changes on the stock market returns has been of great interest both for macroeconomists and financial economists. However, up until now a mutual accord has not been reached on the relationship between monetary policy and equity prices. The main issues of the debate are centered on the exact identification of policy changes and endogeneity of policy decisions. In this book I provide the analysis of alternative specifications of monetary policy measures and focus on testing of two most popular ones in empirical research: VAR orthogonalized innovations and decomposed federal funds rate change. I show how the estimates of stock responses vary with regard to the measure of policy shock chosen for estimation. I suggest extending the regression of stock returns on policy shocks with one of the measures of investor sentiment, Volatility Index, VIX, which I conclude to be the omitted variable. The empirical results presented in the book confirm the heterogeneous reaction of stock prices to changes in monetary conditions.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Natalia Chetveryk
Number of pages:
56
Published at:
2012-05-02
Stock:
Available
Category:
Money, Bank, Stock exchange
Price:
49.00 €
Keywords:
Investor Sentiment, Stock Market, monetary policy

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