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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/5043

Title: Stock prices and monetary policy: An impulse response analysis
Authors: Caporale, GM
Soliman, AM
Keywords: Asset prices
Stock market
Monetary policy
Impulse response analysis
VECM
VAR
Publication Date: 2010
Publisher: Brunel University
Citation: Economics and Finance Working Paper, Brunel University, 10-22
Abstract: This paper analyses the relationship between monetary policy and the stock market with the aim of gaining new insights into the transmission mechanism of monetary policy. The empirical findings shed light on the importance of stock prices for money demand and therefore provide useful nformation to monetary authorities deciding on policy actions. A technique developed by Wickens and Motto (2001) for identifying shocks by estimating a VECM for the endogenous variables is employed. The reported evidence suggests that stock markets play a significant role in the money demand function.
URI: http://bura.brunel.ac.uk/handle/2438/5043
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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