doi:10.2139/ssrn.3824860This study analyses the effects of euro area monetary policy on equity risk premia (ERP). We find that changes in equity prices during periods of accommodativeKapp, DanielKristiansen, KristianSocial Science Electronic Publishing...
Additional evidence shows that regimes of low interest rates and high asset valuations are characterized by lower equity market risk premia and monetary policy that is less responsive to inflation. 展开 年份: 2018 收藏 引用 批量引用 报错 分享 ...
For this, we decompose the stock price into a fundamental, a risk premium and a mispricing component. We argue that mispricing can arise for two reasons: (i) from false subjective expectations of investors about future fundamentals and equity premia, and (ii) from the inherent indeterminacy in...
The alternative possibility is that monetary policy does not move expected future real rates far out into the future but instead changes the term premia on long-term bonds. This implies that the effects on forward rates that we document should be expected to mean revert over time. To test thi...
unconventional monetary policiesequity marketsbond marketsThe impact of monetary policy in large advanced countries on emerging market economies—dubbed spillovers... J Chen,TM Griffoli,R Sahay - 《Imf Working Papers》 被引量: 108发表: 2015年 Long-term interest rates, risk premia and unconventional...
in the market. Adopting a market model approach and utilising broad-based equity indices as regional benchmarks, we investigate abnormal returns of banking sector stocks on the day before, the day of, and three days after major monetary policy announcements in response to the COVID-19 pandemic...
(2023), who build upon the framework developed by Cieslak and Schrimpf (2019) that distinguish between various types of monetary policy surprises and investigating the spillover effects of both monetary and non-monetary shocks, particularly those related to economic growth and financial risk premia. ...
Inflation plays a vital role in macroeconomics and financial markets. First, it is the only variable that is targeted by all main central banks. Accordingly, it determines the policy interest rates and hence short-term money market rates, which, in turn,
To keep the model as disciplined and off-the-shelf as possible, the only shock is a shock to the monetary policy rate. The shock is assumed to be conditionally homoskedastic, so time varying risk premia arise endogenously from preferences rather than from auxiliary assumptions about time-...
Ex ante, under efficient capital markets and open capital accounts, uncovered interest rate parity (UIP) should ensure that expected returns on domestic and foreign assets are equal, net of risk premia. The literature was aware of this issue, and therefore referred to these costs as "quasi-...