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: 10.1080/14697688.2017.1414516)
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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: | Articles |
|---|---|
| Keywords: | General economics, econometrics and finance, finance. |
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | ZEKAITE, ZIVILE and Kontonikas, Professor Alexandros |
| Authors: | Kontonikas, A., and Zekaite, Z. |
| College/School: | College of Social Sciences > Adam Smith Business School |
| Journal Name: | Quantitative Finance |
| Publisher: | Taylor and Francis |
| ISSN: | 1469-7688 |
| ISSN (Online): | 1469-7696 |
| Published Online: | 23 January 2018 |
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