Electronic Resource
Oxford, UK and Boston, USA
:
Blackwell Publishers Ltd
Bulletin of economic research
53 (2001), S. 0
ISSN:
1467-8586
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Economics
Notes:
The Standard & Poor stock market composite index is examined to determine how much of the variance in returns can be explained by monetary policy. The note employs the econometric technique of generalized forecast error variance decomposition developed by Koop et al. (Journal of Econometrics, vol. 74, 1996, pp.119–47) and Pesaran and Shin (Economics Letters, vol. 58, pp.17–29). Unlike the traditional orthogonalized decomposition, the generalized version is invariant to the ordering of the variables in the underlying vector autoregression. The results provide important information about the relationship between monetary policy and the stock market.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1467-8586.00119
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