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Monetary Policy and Stock Market Boom-Bust Cycles∗

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Monetary Policy and Stock Market Boom-Bust Cycles∗

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Our analysis also contributes to assessing market e¢ ciency in a way that it investigates how the markets price in information about banks and how this process may di§er across di§erent types of banks. To that end, we apply a large panel of 53 EU banks using a stationary vector autoregressive (VAR) sys- tem that allows us to focus on such Örm-level e§ects. A further contribution to the literature is provided by the fact that we also want to analyse whether large banksístock prices could be a§ected by di§erent factors than small banksí stock prices. This could have important implications from the point of view of Önancial stability...

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