Risk, Asset Pricing and Monetary Policy transmission in Europe: Evidence from a Threshold-VAR approach

This paper investigates in how far monetary policy shocks impact Euro- pean asset markets, conditional on different risk states. It focuses on four different asset classes: equity of industrial firms, equity of banks, high-grade corporate bonds, and high-yielding corporate bonds. We distinguish betw...

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Bibliographic Details

Published in:	MAGKS - Joint Discussion Paper Series in Economics (Band 28-2019)
Main Author:	Schmidth, Jörg
Format:	Article
Language:	English
Published:	2019
Subjects:	state-dependency asset pricing Wirtschaft monetary policy Economics
Online Access:	PDF Full Text
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