Monetary policy and stock market valuation

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dc.contributor Bank of Finland
dc.contributor.author Laine, Olli-Matti
dc.date.accessioned 2020-09-18T06:10:04Z
dc.date.available 2020-09-18T06:10:04Z
dc.date.issued 2020
dc.identifier.isbn 978-952-323-348-5
dc.identifier.issn 1456-6184
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/17597
dc.description.abstract This paper estimates the effect of the European Central Banks’s monetary policy on the term structure of expected stock market risk premia. Expected stock market premia are solved using analysts’ dividend forecasts, the Eurostoxx 50 stock index and Eurostoxx 50 dividend futures. Although risk-free rates have decreased after the global financial crisis, the results indicate that the expected average stock market return has remained quite stable at around 9 percent. This implies that the expected average stock market risk premium has increased since the financial crisis. The effect of monetary policy on expected premia is analysed using VAR models and local projection methods. According to the results, monetary policy easing raises the average expected premium. The effect is explained by a rise in long-horizon expected premia.
dc.format.extent 25
dc.language.iso ENG
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject riskipreemiot
dc.subject.other monetary policy
dc.subject.other stock market
dc.subject.other equity premium
dc.title Monetary policy and stock market valuation
dc.type Paper
dc.identifier.urn URN:NBN:fi:bof-202009172345
dc.subject.jel E52
dc.subject.jel G12
dc.series.name Bank of Finland Research Discussion Papers
dc.series.year 2020
dc.series.number 16/2020
dc.series.sortingnumber 0016
dc.date.publication 18.9.2020
dc.subject.yso rahapolitiikka
dc.subject.yso osakemarkkinat
dc.subject.yso osakkeet
dc.subject.yso tuotot
dc.subject.yso riskit
bof-internal.includedInCRIS 1
dc.type.okm D4

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