Yoshino, Naoyuki; Taghizadeh-Hesary, Farhad; … - East Asian Bureau of Economic Research (EABER) - 2014
We estimate the response of Asian stock market prices to exogenous monetary policy shocks using a vector error … correction model. In our paper, monetary policy transmits to stock market price through three routes : money by itself, exchange … easing monetary policy. Variance deposition results show that, after 10 periods, the forecast error variance of beyond 53% of …