Monetary policy rules and the equity risk premium: Evidence from the US experience.
Journal article
Authors | Apergis, Nicholas and Payne, James |
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Abstract | This study explores the role of monetary policy rules and central bank actions originating from such rules that directly affects the equity risk premium. The results indicate that monetary policy rules have a direct impact on the equity risk premium through investors’ appetite for risk and greater uncertainty faced by market participants. The analysis includes the pre‐ and post‐2008 financial crisis periods in finding that monetary policy actions had a much greater impact on the equity risk premium in the post‐2008 crisis period due in part to the funding conditions of banking intermediaries, thus exerting a greater impact on credit conditions during this period. |
Keywords | monetary policy rules; equity premium; cointegration |
Year | 2018 |
Journal | Review of Financial Economics |
Publisher | Wiley |
ISSN | 1058-3300 |
Digital Object Identifier (DOI) | https://doi.org/10.1002/rfe.1021 |
Web address (URL) | http://hdl.handle.net/10545/623398 |
http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
hdl:10545/623398 | |
Publication dates | 23 Apr 2018 |
Publication process dates | |
Deposited | 28 Jan 2019, 17:16 |
Contributors | University of Piraeus and Benedictine University |
File | File Access Level Open |
File | File Access Level Open |
https://repository.derby.ac.uk/item/92z90/monetary-policy-rules-and-the-equity-risk-premium-evidence-from-the-us-experience
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