The impact of monetary policy shocks on the Equity Risk Premium before and after the quantitative easing in the United Kingdom

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dc.contributor.author Poshakwale, Sunil S.
dc.contributor.author Chandorkar, Pankaj Avinash
dc.date.accessioned 2017-02-24T16:11:58Z
dc.date.available 2017-02-24T16:11:58Z
dc.date.issued 2016-12-29
dc.identifier.citation Sunil Poshakwale, Pankaj Chandorkar, The impact of monetary policy shocks on the equity risk premium before and after the Quantitative Easing in the United Kingdom, Investment Management and Financial Innovations, Volume 13, Issue 4, 2016, Pages 146-159 en_UK
dc.identifier.issn 1810-4967
dc.identifier.uri https://doi.org/10.21511/imfi.13(4-1).2016.01
dc.identifier.uri http://dspace.lib.cranfield.ac.uk/handle/1826/11497
dc.description.abstract 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. en_UK
dc.language.iso en en_UK
dc.rights Attribution 4.0 International
dc.rights.uri http://creativecommons.org/licenses/by/4.0/
dc.subject Monetary policy en_UK
dc.subject Equity risk premium en_UK
dc.subject Quantitative easing en_UK
dc.subject Monetary policy shocks en_UK
dc.subject Structural vector autoregression en_UK
dc.subject Bank of England en_UK
dc.subject Taylor monetary policy rule en_UK
dc.subject Unconventional monetary policy en_UK
dc.subject Output gap en_UK
dc.subject Inflation gap en_UK
dc.subject Okun’s law en_UK
dc.title The impact of monetary policy shocks on the Equity Risk Premium before and after the quantitative easing in the United Kingdom en_UK
dc.type Article en_UK


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