Monetary policy and stock valuation: structural VAR identification and size effects
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Publication:4554466
DOI10.1080/14697688.2017.1414516zbMath1400.91697OpenAlexW2767870685MaRDI QIDQ4554466
Alexandros Kontonikas, Zivile Zekaite
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://repository.essex.ac.uk/20763/1/Kontonikas%20and%20Zekaite_final.pdf
Macroeconomic theory (monetary models, models of taxation) (91B64) Actuarial science and mathematical finance (91G99)
Cites Work
- Monetary Non-neutrality in a Multisector Menu Cost Model
- Measuring The Reaction of Monetary Policy to the Stock Market
- Error Bands for Impulse Responses
- Another Look at the Stock Return Response to Monetary Policy Actions*
- Investing in the size factor
- Firm size, information acquisition and price efficiency