Monetary policy and the stock market - A partly recursive SVAR estimator

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dc.contributor.authorKeweloh, Sascha Alexander
dc.contributor.authorSeepe, Andre
dc.date.accessioned2020-12-04T15:28:18Z
dc.date.available2020-12-04T15:28:18Z
dc.date.issued2020
dc.description.abstractThis study analyzes the interdependence of monetary policy and the stock market in a structural VAR model. We argue that commonly used short- and long-run restrictions on the interaction of both variables might not hold and propose an estimator not requiring any of these restrictions on the interaction of monetary policy and the stock market. The proposed estimator combines a data driven and restriction based identification approach. In particular, the estimator allows the researcher to order and identify some shocks recursively, while other shocks can remain unrestricted and are identified based on independence and non-Gaussianity. We find that a positive stock market shock contemporaneously increases the nominal interest rate, while a contractionary monetary policy shock leads to lower stock returns on impact. Furthermore, we present evidence that monetary policy is non-neutral with respect to long-run real stock prices.en
dc.identifier.urihttp://hdl.handle.net/2003/39831
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-21722
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB823;32/2020
dc.subjectSVARen
dc.subjectmonetary policyen
dc.subjectstock marketen
dc.subjectnon-Gaussian, recursiveen
dc.subjectidentificationen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.subject.rswkSVAR-Modellde
dc.subject.rswkGeldpolitikde
dc.subject.rswkAktienmarktanalysede
dc.titleMonetary policy and the stock market - A partly recursive SVAR estimatoren
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access
eldorado.secondarypublicationfalsede

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Sonderforschungsbereich (SFB) 823