Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/323617 
Erscheinungsjahr: 
2023
Quellenangabe: 
[Journal:] International Review of Financial Analysis [ISSN:] 1873-8079 [Volume:] 89 [Article No.:] 102783 [Publisher:] Elsevier [Place:] Amsterdam [Year:] 2023 [Pages:] 1-12
Verlag: 
Elsevier, Amsterdam
Zusammenfassung: 
This article investigates how uncertainty impacts the effect of monetary policy surprises on stock returns. Using high-frequency US data, we demonstrate that stock markets respond more aggressively to monetary policy surprises during periods of high uncertainty. We also show that uncertainty asymmetrically influences the transmission of positive and negative monetary policy surprises to stock market prices. The amplifying effect of uncertainty is found to be stronger for expansionary shocks than for contractionary shocks. Our robustness analysis confirms that financial uncertainty has a significant role in shaping the influence of monetary policy on the stock market.
Schlagwörter: 
Monetary policy
Uncertainty
Stock returns
High-frequency data
Shock identification
Event study
Stock markets
Central bank communication
Volatility
JEL: 
E44
E52
E58
G12
G14
D53
DOI der veröffentlichten Version: 
Dokumentart: 
Article
Dokumentversion: 
Accepted Manuscript (Postprint)
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