scholarly journals The impact of monetary policy shocks on the equity risk premium before and after the Quantitative Easing in the United Kingdom

2016 ◽  
Vol 13 (4) ◽  
pp. 146-159 ◽  
Author(s):  
Sunil Poshakwale ◽  
Pankaj Chandorkar
Keyword(s):  
Monetary Policy ◽  
Risk Premium ◽  
Quantitative Easing ◽  
Monetary Policy Shocks ◽  
Equity Risk Premium ◽  
Equity Risk ◽  
Ex Post ◽  
Before And After ◽  
Policy Shocks ◽  
The Impact

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

scholarly journals Equity risk premium: A cross country analysis on return behaviour

2015 ◽  
Vol 14 (3) ◽  
pp. 47-57
Author(s):  
Santhosh Kumar
Keyword(s):  
Emerging Markets ◽  
Risk Premium ◽  
Central Element ◽  
Global Integration ◽  
Equity Risk Premium ◽  
Equity Risk ◽  
Ex Post ◽  
Country Analysis ◽  
Developed Nations ◽  
The Impact

The equity risk premium has been of paramount importance in the field of finance and is still a widely utilised central element for every risk return model in corporate finance, asset pricing and other fields of economic literature. This research captures the differences in the ex-post behaviour of equity risk premium between developed and emerging markets .Further, an investigation has been made into the impact of global integration on the ERP across G7 countries and 7 emerging countries. .The analysis has shown a decline in the ERP of developed nations and an upward trend in emerging markets over the chosen sub-sample period. We found out that there exists low correlation in ERP of emerging markets in comparison with developed markets

scholarly journals Monetary Policy Effects on Energy Sector Bubbles

Energies ◽  
2019 ◽  
Vol 12 (3) ◽  
pp. 472
Author(s):  
Petre Caraiani ◽  
Adrian Călin
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Asset Prices ◽  
The United States ◽  
Energy Sector ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
The Difference ◽  
The Interest Rate ◽  
The Impact

We investigate the effects of monetary policy shocks, including unconventional policy measures, on the bubbles of the energy sector, for the case of the United States. We estimate a time-varying Bayesian VAR model that allows for quantifying the impact of monetary policy shocks on asset prices and bubbles. The energy sector is measured through the S&P Energy Index, while bubbles are measured through the difference between asset prices and the corresponding dividends for the energy sector. We find significant differences in the impact of monetary policy shocks for the aggregate economy and for the energy sector. The findings seem sensitive to the interest rate use, i.e., whether one uses the shadow interest rate or the long-term interest rate.

Financial Constraints, Monetary Policy Shocks, and the Cross-Section of Equity Returns

2019 ◽  
Vol 33 (9) ◽  
pp. 4367-4402 ◽  
Author(s):  
Sudheer Chava ◽  
Alex Hsu
Keyword(s):  
Monetary Policy ◽  
Cross Section ◽  
Equity Returns ◽  
Monetary Policy Shocks ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Oxford University ◽  
Policy Shocks ◽  
The Cross ◽  
The Impact

Abstract We analyze the impact ofa unanticipated monetary policy changes on the cross-section of U.S. equity returns. Financially constrained firms earn a significantly lower (higher) return following surprise interest rate increases (decreases) as compared to unconstrained firms. This differential return response between constrained and unconstrained firms appears after a delay of 3 to 4 days. Further, unanticipated Federal funds rate increases are associated with a larger decrease in expected cash flow news, but not discount rate news, for constrained firms relative to unconstrained firms. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Firm Size, Industry Mix and the Regional Transmission of Monetary Policy in Germany

2004 ◽  
Vol 5 (1) ◽  
pp. 35-59 ◽  
Author(s):  
Ivo J. M. Arnold ◽  
Evert B. Vrugt
Keyword(s):  
Monetary Policy ◽  
Firm Size ◽  
Structural Features ◽  
Regional Economies ◽  
Monetary Policy Shocks ◽  
Regional Effects ◽  
Real Gdp ◽  
Interest Rate Shocks ◽  
Policy Shocks ◽  
The Impact

Abstract This paper estimates the impact of interest rate shocks on regional output in Germany over the period from 1970 to 2000. We use a vector autoregression (VAR) model to obtain impulse responses, which reveal differences in the output responses to monetary policy shocks across ten German provinces. Next, we investigate whether these differences can be related to structural features of the regional economies, such as industry mix, firm size, bank size and openness. An additional analysis of the volatility of real GDP growth for the period 1992-2000 includes the Eastern provinces. We also present evidence on the interrelationship between firm size and industry, and compare our measure of firm size with those used in previous studies. We conclude that the differential regional effects of monetary policy are related to industrial composition, but not to firm size or bank size.

scholarly journals Equity Risk Premium in ASEAN: Empirical Analysis on Its Puzzle and Impact of 2008 Financial Crisis

2017 ◽  
Vol 2 (1) ◽  
pp. 4
Author(s):  
Katherine M. Villalobos
Keyword(s):  
Financial Crisis ◽  
Risk Premium ◽  
Calibration Method ◽  
Data Availability ◽  
Potential Contribution ◽  
Equity Risk Premium ◽  
2008 Financial Crisis ◽  
Stock Market Development ◽  
Equity Risk ◽  
The Impact

This paper aims to mainly investigate equity risk premium of the six major members of ASEAN countries such as Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam which have been chosen based on their stock market development and data availability. It has focused on the two main issues of the equity risk premium such as the intriguing issue on the existence of equity premium puzzle and the analysis on the impact of the 2008 financial crisis on the trend of the equity risk premium and their potential contribution on the risk aversion's attitude of the ASEAN investors. Three methods are utilized to test this phenomenon (1) basic model consumption of Mehra and Prescott (1985) and simplified model by Ni (2006); (2) calibration (Campbell, 2003) and (3) GMM estimation (Hansen, 1982). The calibration method results suggest that the puzzle exists in Indonesia.It has determined that the puzzle seems lying on the negative covariance between the consumption growth rate and the average real stock return. After applying GMM as method of the three sub-sample analyses for before, after and excluding 2008, it shows that financial crisis didn't affect much the value of risk aversion, but it cannot deny the fact that it has profound effect on the behavior of the equity risk premium. It can also be inferred that after crisis, ASEAN investors are likely tend to become more decreasing relative risk averse and prefer to have happiness tomorrow than today.

Do foreign banks in India respond to global monetary policy shocks? A SVAR analysis

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Ameen Omar Shareef ◽  
K.P. Prabheesh
Keyword(s):  
Monetary Policy ◽  
Bank Lending ◽  
Foreign Bank ◽  
Foreign Banks ◽  
Monetary Policy Shocks ◽  
Content Type ◽  
Indian Economy ◽  
Policy Shocks ◽  
The Impact

Purpose This paper aims to examine the role of foreign banks in transmitting global monetary policy shocks to India. Further, the authors try to explore the international bank lending channel and analyze the impact of global monetary policy on Indian macroeconomic variables. Design/methodology/approach The authors use a structural break unit root test and structural vector autoregression on monthly data from 1998 to 2018. Findings The study finds that the global monetary policy is significantly determining foreign banks’ lending in India; the evidence of a portfolio re-balancing channel in the process of global monetary policy transmission to the Indian economy; the exchange rate is significantly explaining the foreign bank credit dynamism in India; and evidence of international monetary policy spillover to the Indian economy. Originality/value This is the first attempt to analyze the role of foreign banks in the transmission of global monetary policy shocks to India, where the literature availability is limited. The finding of ineffective domestic monetary policy on foreign bank lending opens the need for an in-depth and diversified analysis of the role of foreign banks in the transmission of domestic monetary policy.

Production network structure and the impact of the monetary policy shocks: Evidence from the OECD

2020 ◽  
Vol 193 ◽  
pp. 109271
Author(s):  
Petre Caraiani ◽  
Adriana Dutescu ◽  
Răzvan Hoinaru ◽  
Georgiana Oana Stănilă
Keyword(s):  
Monetary Policy ◽  
Network Structure ◽  
Production Network ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
The Impact
Sign in / Sign up

Export Citation Format

Share Document