The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: Evidence from over 150 years of data
Theory suggests a strong link between monetary policy rate uncertainty and equity return volatility, since asset pricing models assume the risk-free rate to be a key factor for equity prices. Given this, our paper uses historical monthly data for the United Kingdom over 1833:01 to 2018:07, to show t...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Oviedo University Press
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |