The impact of monetary policy shocks on the equity risk premium before and after the Quantitative Easing in the United Kingdom
The authors investigate the impact of structural monetary policy shocks on ex-post equity risk premium (ERP) of aggregate and sectoral FTSE indices and 25 Fama-French style value-weighted portfolios. They find that monetary policy shocks negatively affect the ERP but at the sectoral level, the magni...
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| Format: | Article |
| Language: | English |
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LLC "CPC "Business Perspectives"
2016-12-01
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| Series: | Investment Management & Financial Innovations |
| Online Access: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/8084/imfi_en_2016_04cont_Poshakwale.pdf |
| _version_ | 1818486810579304448 |
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| author | Sunil Poshakwale Pankaj Chandorkar |
| author_facet | Sunil Poshakwale Pankaj Chandorkar |
| author_sort | Sunil Poshakwale |
| collection | DOAJ |
| description | The authors investigate the impact of structural monetary policy shocks on ex-post equity risk premium (ERP) of aggregate and sectoral FTSE indices and 25 Fama-French style value-weighted portfolios. They find that monetary policy shocks negatively affect the ERP but at the sectoral level, the magnitude of the response is heterogeneous. Further, monetary policy shocks have a significant negative (positive) impact on the ERP before (after) the implementation of quantitative easing (QE). The empirical evidence provided in the paper sheds light on the equity market’s asymmetric response to the BoE’s policy before and after the monetary stimulus.
Keywords: monetary policy, equity risk premium, quantitative easing, monetary policy shocks, structural vector autoregression, Bank of England, Taylor monetary policy rule, unconventional monetary policy, output gap, inflation gap, Okun’s law. JEL Classification: E5, E30, G0, G1 |
| first_indexed | 2024-12-10T16:27:59Z |
| format | Article |
| id | doaj.art-6dce1af536e940409ed9d50f6d894f10 |
| institution | Directory Open Access Journal |
| issn | 1810-4967 1812-9358 |
| language | English |
| last_indexed | 2024-12-10T16:27:59Z |
| publishDate | 2016-12-01 |
| publisher | LLC "CPC "Business Perspectives" |
| record_format | Article |
| series | Investment Management & Financial Innovations |
| spelling | doaj.art-6dce1af536e940409ed9d50f6d894f102022-12-22T01:41:37ZengLLC "CPC "Business Perspectives"Investment Management & Financial Innovations1810-49671812-93582016-12-0113414615910.21511/imfi.13(4-1).2016.018084The impact of monetary policy shocks on the equity risk premium before and after the Quantitative Easing in the United KingdomSunil Poshakwale0Pankaj Chandorkar1BCom, DCMA, MBA, Ph.D. (Manchester), Professor of International Finance, Director of Centre for research in Finance, School of Management Cranfield University, UKDoctoral Researcher, Centre for research in Finance, Cranfield School of Management, UK.The authors investigate the impact of structural monetary policy shocks on ex-post equity risk premium (ERP) of aggregate and sectoral FTSE indices and 25 Fama-French style value-weighted portfolios. They find that monetary policy shocks negatively affect the ERP but at the sectoral level, the magnitude of the response is heterogeneous. Further, monetary policy shocks have a significant negative (positive) impact on the ERP before (after) the implementation of quantitative easing (QE). The empirical evidence provided in the paper sheds light on the equity market’s asymmetric response to the BoE’s policy before and after the monetary stimulus. Keywords: monetary policy, equity risk premium, quantitative easing, monetary policy shocks, structural vector autoregression, Bank of England, Taylor monetary policy rule, unconventional monetary policy, output gap, inflation gap, Okun’s law. JEL Classification: E5, E30, G0, G1https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/8084/imfi_en_2016_04cont_Poshakwale.pdf |
| spellingShingle | Sunil Poshakwale Pankaj Chandorkar The impact of monetary policy shocks on the equity risk premium before and after the Quantitative Easing in the United Kingdom Investment Management & Financial Innovations |
| title | The impact of monetary policy shocks on the equity risk premium before and after the Quantitative Easing in the United Kingdom |
| title_full | The impact of monetary policy shocks on the equity risk premium before and after the Quantitative Easing in the United Kingdom |
| title_fullStr | The impact of monetary policy shocks on the equity risk premium before and after the Quantitative Easing in the United Kingdom |
| title_full_unstemmed | The impact of monetary policy shocks on the equity risk premium before and after the Quantitative Easing in the United Kingdom |
| title_short | The impact of monetary policy shocks on the equity risk premium before and after the Quantitative Easing in the United Kingdom |
| title_sort | impact of monetary policy shocks on the equity risk premium before and after the quantitative easing in the united kingdom |
| url | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/8084/imfi_en_2016_04cont_Poshakwale.pdf |
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