UK Stock Returns and the Impact of Domestic Monetary Policy Shocks
研究英国货币政策变化对股票回报的影响，通过事件研究分析政策意外变动对整体和行业股票回报的冲击，并利用方差分解揭示未来超额回报的持续负面反应。
Abstract: We investigate the influence of changes in UK monetary policy on UK stock returns and the possible reasons behind such a response. Firstly, we conduct an event study to assess the impact of unexpected changes in monetary policy on aggregate and sectoral stock returns. The decomposition of unexpected changes in the policy rate is based on futures markets data. Secondly, using a variance decomposition in the spirit of Campbell (1991) we attempt to identity the channels behind the response of stock returns to monetary policy surprises. The variance decomposition results indicate that the monetary policy shock leads to a persistent negative response in terms of future excess returns for a number of sectors.