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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| Format: | Article |
| Language: | English |
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Emerald Publishing
2021-11-01
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| Series: | Seonmul yeongu |
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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 |