Monetary policy and stock valuation: structural VAR identification and size effects
نویسندگان
چکیده
منابع مشابه
The Identification of Fiscal and Monetary Policy in a Structural VAR∗
Jointly identifying the effects of both fiscal and monetary policy shocks in an open economy structural VAR poses identification challenges. The innovations in this paper are to combine the methods of identification via sign restrictions, cointegration and traditional exclusion restrictions within a system which explicitly accounts for both stationary and non-stationary variables. This incorpor...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2018
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2017.1414516