Asset prices regime-switching and the role of inflation targeting monetary policy

This source preferred by George Filis

Authors: Chatziantoniou, I., Filis, G. and Floros, C.

http://eprints.bournemouth.ac.uk/23747/

Journal: Global Finance Journal

Volume: 32

Pages: 97-112

ISSN: 1873-5665

This data was imported from Scopus:

Authors: Chatziantoniou, I., Filis, G. and Floros, C.

http://eprints.bournemouth.ac.uk/23747/

Journal: Global Finance Journal

Volume: 32

Pages: 97-112

ISSN: 1044-0283

DOI: 10.1016/j.gfj.2015.12.002

© 2016 Elsevier Inc. This paper provides the empirical framework to assess whether UK monetary policy shocks induce both the UK housing market and the UK stock market to remain at a high-volatility (risk) environment. The Markov regime switching modelling approach is employed in order to identify two distinct environments for each market, namely, a high-risk environment and a low-risk environment, while a probit model is employed in order to test whether monetary policy shocks provide this predictive information regarding the current state of both markets under consideration. Our findings indicate that monetary policy shocks do indeed have predictive power on the stock market. In addition, in both asset markets, there is a key role for inflation. Results are important especially within the framework of the inflation targeting monetary policy regime.

This data was imported from Web of Science (Lite):

Authors: Chatziantoniou, I., Filis, G. and Floros, C.

http://eprints.bournemouth.ac.uk/23747/

Journal: GLOBAL FINANCE JOURNAL

Volume: 32

Pages: 97-112

eISSN: 1873-5665

ISSN: 1044-0283

DOI: 10.1016/j.gfj.2015.12.002

The data on this page was last updated at 04:42 on September 22, 2017.