文章基本信息

标题：Monetary policy, stock market and sectoral comovement
本地全文：下载
作者：Pierre Guérin ; Danilo Leiva-Leon
期刊名称：Documentos de Trabajo / Banco de España
印刷版ISSN：0213-2710
电子版ISSN：1579-8666
出版年度：2017
卷号：1
出版社：Banco de España
摘要：This paper evaluates the role that sectoral comovement plays in the propagation ofmonetary policy shocks on the stock market. In doing so, we introduce a factor-augmentedvector autoregressive model with heterogeneous regime-switching factor loadings, denotedas MS2-FAVAR, that allows us to jointly assess (i) potential changes in the degree ofcomovement between each sector-specifi c stock return and the aggregate stock marketas well as (ii) the propagation of monetary policy shocks taking into account such changesin comovement. We fi nd that the efects of monetary policy shocks on stock returns aresubstantially amplied when industries experience a stronger degree of comovement,suggesting that a more interconnected stock market is more prone to the propagation ofmonetary policy shocks. The MS2-FAVAR model is also well-suited to perform a networkanalysis to characterize linkages in large datasets.
关键词：stock market; monetary policy; markov-switching; factor model; network analysis.