Assessing the Impact of the ECB’s Monetary Policy on the Stock Markets: A Sectoral View
Kholodilin, Konstantin A.
- Working Paper
Rights / licenseIn Copyright - Non-Commercial Use Permitted
This paper analyzes the response of the European stock markets to the monetary policy shocks by the European Central Bank using the heteroskedasticity based approach of Rigobon (2003). We find that monetary policy tightening has a heterogeneous impact on the Euro Area sectors on the day the monetary policy is publicly announced. Furthermore, we provide statistical evidence against the use of the popular event study approach when assessing the impact of monetary policy shocks on the stock market as the maintained assumptions can be rejected for the aggregate stock market and for most of the sectoral stock market indexes. Show more
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Journal / seriesKOF Working Papers
PublisherKOF Swiss Economic Institute, ETH Zurich
SubjectEuropäische Zentralbank; MONETARY POLICY; ECB; STOCK EXCHANGES; BÖRSEN; GELDPOLITIK; Monetary policy; Stock markets
Organisational unit02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
NotesSee also: http://e-citations.ethbib.ethz.ch/view/pub:34442.
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