Duran, Murat; Ozlu, Pinar; Unalmis, Deren - In: Central Bank Review 10 (2010) 2, pp. 23-32
. However, one of the major problems in estimating the effect of monetary policy on asset prices is the simultaneous response of … policy actions and the asset prices to each other. To overcome this problem, this study applies the heterokedasticity … that an increase in the policy rate leads to a decline in stock prices, especially for the financial sector firms. …