UK Stock returns & the impact of domestic monetary policy shocks

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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dc.status Not peer reviewed en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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