Monetary policy shocks and stock returns: evidence from the British market
AbstractThis paper examines the impact of anticipated and unanticipated monetary policy announcements, of the Bank of Englandâs Monetary Policy Committee on UK sectoral stock returns. The monetary policy shock is generated from the change in the three-month sterling LIBOR futures contract. Using a panel GMM estimator we find that both the expected and unexpected components of monetary changes are significant, but that only the surprise term is significant when we control for the impact of the sectors financial position
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Bibliographic InfoArticle provided by Springer in its journal Financial Markets and Portfolio Management.
Volume (Year): 23 (2009)
Issue (Month): 4 (December)
Contact details of provider:
Web page: http://www.springerlink.com/link.asp?id=119763
Asset prices; Monetary policy; Panel data; C33; E44; E52; G13;
Other versions of this item:
- A Gregoriou & A Kontonikas & R MacDonald & A Montagnoli, 2006. "Monetary Policy Shocks and Stock Returns: Evidence from the British Market," Working Papers 2006_15, Business School - Economics, University of Glasgow.
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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