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

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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Veröffentlicht in:MAGKS - Joint Discussion Paper Series in Economics (Band 28-2019)
1. Verfasser: Schmidth, Jörg
Format: Artikel
Sprache:Englisch
Veröffentlicht: Philipps-Universität Marburg 2019
Schlagworte:
monetary policy
asset pricing
Wirtschaft
state-dependency
Economics
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MAGKS - Joint Discussion Paper Series in Economics

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