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| dc.contributor.author | Bredin, Donal | |
| dc.contributor.author | Hyde, Stuart | |
| dc.contributor.author | O'Reilly, Gerard | |
| dc.date.accessioned | 2009-06-10T13:50:52Z | |
| dc.date.available | 2009-06-10T13:50:52Z | |
| dc.date.copyright | 2005, Centre for Financial Markets | en |
| dc.date.issued | 2005-10-21 | |
| dc.identifier.uri | http://hdl.handle.net/10197/1167 | |
| dc.description.abstract | We investigate the influence of changes in UK monetary policy on UK stock returns and the possible reasons behind such a response. Firstly, we conduct an event study to assess the impact of unexpected changes in monetary policy on aggregate and sectoral stock returns. The decomposition of unexpected changes in the policy rate is based on futures markets data. Secondly, using a variance decomposition in the spirit of Campbell (1991) we attempt to identity the channels behind the response of stock returns to monetary policy surprises. The variance decomposition results indicate that the monetary policy shock leads to a persistent negative response in terms of future excess returns for a number of sectors. | en |
| dc.format.extent | 172345 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.language.iso | en | en |
| dc.publisher | University College Dublin. School of Business. Centre for Financial Markets | en |
| dc.relation.ispartofseries | Centre for Financial Markets working paper series | en |
| dc.relation.ispartofseries | WP-06-04 | en |
| dc.subject | Monetary policy | en |
| dc.subject | Stock market | en |
| dc.subject | Interest rates | en |
| dc.subject.classification | E4 | en |
| dc.subject.classification | G1 | en |
| dc.subject.lcsh | Monetary policy--Great Britain | en |
| dc.subject.lcsh | Stock exchanges--Great Britain | en |
| dc.subject.lcsh | Interest rates--Great Britain | en |
| dc.title | UK Stock returns & the impact of domestic monetary policy shocks | en |
| dc.type | Working Paper | en |
| dc.internal.availability | Full text available | en |
| dc.internal.webversions | Publisher's version | en |
| dc.internal.webversions | http://www.ucd.ie/bankingfinance/docs/wp/wp0604.pdf | en |
| dc.status | Not peer reviewed | en |
| dc.neeo.contributor | Bredin|Donal|aut| | |
| dc.neeo.contributor | Hyde|Stuart|aut| | |
| dc.neeo.contributor | O'Reilly|Gerard|aut| |
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