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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
Issue 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.
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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