European Stock Markets and the ECB's Monetary Policy Surprises
Zusammenfassung
This paper contributes to the literature measuring the response of stock markets to monetary policy actions. We analyse the reaction of European stock market returns to unexpected interest rate decisions by the European Central Bank (ECB). Endogeneity between interest rate changes and stock returns is taken into account using the identification through the heteroscedasticity approach. Relying on different methods to extract monetary policy shocks, we find a negative and significant relation between unexpected ECB decisions and European stock market performance. Moreover, monetary policy decisions of the ECB are well anticipated by the market, implying that the central bank successfully communicates its monetary policy.
Zitieren als
Bohl, M., Siklos, P., & Sondermann, D. (2008). European Stock Markets and the ECB's Monetary Policy Surprises. International Finance, 11(2), 117–130.Details
Publikationstyp
Forschungsartikel (Zeitschrift)
Begutachtet
Ja
Publikationsstatus
Veröffentlicht
Jahr
2008
Fachzeitschrift
International Finance
Band
11
Ausgabe
2
Erste Seite
117
Letzte Seite
130
Sprache
Englisch
ISSN
1468-2362
DOI