Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/176794 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 1729
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional) heteroskedasticity in the residuals for identification purposes. Heteroskedasticity is modelled by a Markov-switching mechanism. We find a plausible identification scheme for stock market and monetary policy shocks which is consistent with the second order moment structure of the variables. The model indicates that contractionary monetary policy shocks lead to a long-lasting down-turn of real stock prices.
Schlagwörter: 
cointegrated vector autoregression
heteroskedasticity
Markov-switching model
monetary policy analysis
JEL: 
C32
Dokumentart: 
Working Paper

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