Monetary policy effects on equity returns: application of SVAR identified with high-frequency external instrument

Monetary policy effects on equity returns: application of SVAR identified with high-frequency external instrument

The purpose of this study is to examine the effects of monetary policy on equity returns by applying an alternative econometric approach. Campbell and Ammer (1993) decomposed unexpected equity excess returns into three news components: risk premium news, real interest rate news and cash-flow news. T...

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Bibliographic Details
Main Author: Woon Wook Jang
Format: Article
Language:English
Published: Emerald Publishing 2021-11-01
Series:Seonmul yeongu
Subjects:
equity return decomposition
monetary policy effects
structural vector autoregression
external instruments
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Online Access:https://www.emerald.com/insight/content/doi/10.1108/JDQS-08-2021-0021/full/pdf?title=monetary-policy-effects-on-equity-returns-application-of-svar-identified-with-high-frequency-external-instrument

Internet

https://www.emerald.com/insight/content/doi/10.1108/JDQS-08-2021-0021/full/pdf?title=monetary-policy-effects-on-equity-returns-application-of-svar-identified-with-high-frequency-external-instrument

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