... 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...

... aversion coefficient is large and the time impatience parameter is positive. On the other hand, the consideration of noisy information helps explain the large risk premium and high return volatility even if the representative agent’s relative risk aversion coefficient is relative low, less than 10. We...