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Keywords: Data-rich environment
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Journal Articles
How is the ECB’s quantitative easing transmitted to the financial markets?
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2024) 41 (2): 268–285.
Published: 26 March 2024
... in a data-rich environment using a factor augmented VAR (FAVAR). Findings The results show that the ECB’s unconventional monetary policy positively affects the stock market. A QE shock leads to an increase in stock prices and a drop in the realized volatility and the implied risk premium. The authors...
