Monetary policy shocks and stock returns: evidence from the British market
This paper examines the impact of anticipated and unanticipated monetary policy announcements, of the Bank of England’s 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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Volume (Year): 23 (2009)
Issue (Month): 4 (December)
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References listed on IDEAS
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