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.authorPoshakwale, Sunil S.
dc.contributor.authorChandorkar, Pankaj Avinash
dc.date.accessioned2017-02-24T16:11:58Z
dc.date.available2017-02-24T16:11:58Z
dc.date.issued2016-12-29
dc.description.abstractThe 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.identifier.citationSunil 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 146-159en_UK
dc.identifier.issn1810-4967
dc.identifier.urihttps://doi.org/10.21511/imfi.13(4-1).2016.01
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/11497
dc.language.isoenen_UK
dc.rightsAttribution 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectMonetary policyen_UK
dc.subjectEquity risk premiumen_UK
dc.subjectQuantitative easingen_UK
dc.subjectMonetary policy shocksen_UK
dc.subjectStructural vector autoregressionen_UK
dc.subjectBank of Englanden_UK
dc.subjectTaylor monetary policy ruleen_UK
dc.subjectUnconventional monetary policyen_UK
dc.subjectOutput gapen_UK
dc.subjectInflation gapen_UK
dc.subjectOkun’s lawen_UK
dc.titleThe impact of monetary policy shocks on the Equity Risk Premium before and after the quantitative easing in the United Kingdomen_UK
dc.typeArticleen_UK

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