The impact of the ECB's conventional and unconventional monetary policies on stock markets
•We examine how stock markets respond to the policies of the European Central Bank during 1999–2015.•We use market prices to identify surprises in (un)conventional monetary policy.•Especially unconventional monetary policy surprises affect the EURO STOXX 50 index.•We find evidence for the credit cha...
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| Veröffentlicht in: | Journal of macroeconomics 2016-06, Vol.48, p.101-116 |
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| container_title | Journal of macroeconomics |
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| creator | Haitsma, Reinder Unalmis, Deren de Haan, Jakob |
| description | •We examine how stock markets respond to the policies of the European Central Bank during 1999–2015.•We use market prices to identify surprises in (un)conventional monetary policy.•Especially unconventional monetary policy surprises affect the EURO STOXX 50 index.•We find evidence for the credit channel, notably for unconventional monetary policy surprises.•Value and past loser stocks show a larger reaction to monetary policy surprises.•These results are confirmed if identification is based on the Rigobon–Sack heteroscedasticity approach.
Using an event study method, we examine how stock markets respond to the policies of the European Central Bank during 1999–2015. We use market prices of futures (government bonds) to identify surprises in (un)conventional monetary policy. Our results suggest that especially unconventional monetary policy surprises affect the EURO STOXX 50 index. We also find evidence for the credit channel, notably for unconventional monetary policy surprises. Our results also suggest that value and past loser stocks show a larger reaction to monetary policy surprises. These results are confirmed if identification of monetary policy surprises is based on the Rigobon–Sack heteroscedasticity approach. |
| doi_str_mv | 10.1016/j.jmacro.2016.02.004 |
| format | Article |
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Using an event study method, we examine how stock markets respond to the policies of the European Central Bank during 1999–2015. We use market prices of futures (government bonds) to identify surprises in (un)conventional monetary policy. Our results suggest that especially unconventional monetary policy surprises affect the EURO STOXX 50 index. We also find evidence for the credit channel, notably for unconventional monetary policy surprises. Our results also suggest that value and past loser stocks show a larger reaction to monetary policy surprises. These results are confirmed if identification of monetary policy surprises is based on the Rigobon–Sack heteroscedasticity approach.</description><identifier>ISSN: 0164-0704</identifier><identifier>EISSN: 1873-152X</identifier><identifier>DOI: 10.1016/j.jmacro.2016.02.004</identifier><language>eng</language><publisher>Amsterdam: Elsevier Inc</publisher><subject>Event studies approach ; Identification through heteroscedasticity ; Impact analysis ; Indexes ; Monetary policy ; Monetary policy surprises ; Securities markets ; Stock exchanges ; Stock prices ; Studies</subject><ispartof>Journal of macroeconomics, 2016-06, Vol.48, p.101-116</ispartof><rights>2016 Elsevier Inc.</rights><rights>Copyright Elsevier Science Ltd. Jun 2016</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c444t-a4bef144bd01c0f13293abb9534306417ea01d0711086ab53cc7d0b5e5e1a8c53</citedby><cites>FETCH-LOGICAL-c444t-a4bef144bd01c0f13293abb9534306417ea01d0711086ab53cc7d0b5e5e1a8c53</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.jmacro.2016.02.004$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,776,780,3536,27903,27904,45974</link.rule.ids></links><search><creatorcontrib>Haitsma, Reinder</creatorcontrib><creatorcontrib>Unalmis, Deren</creatorcontrib><creatorcontrib>de Haan, Jakob</creatorcontrib><title>The impact of the ECB's conventional and unconventional monetary policies on stock markets</title><title>Journal of macroeconomics</title><description>•We examine how stock markets respond to the policies of the European Central Bank during 1999–2015.•We use market prices to identify surprises in (un)conventional monetary policy.•Especially unconventional monetary policy surprises affect the EURO STOXX 50 index.•We find evidence for the credit channel, notably for unconventional monetary policy surprises.•Value and past loser stocks show a larger reaction to monetary policy surprises.•These results are confirmed if identification is based on the Rigobon–Sack heteroscedasticity approach.
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Using an event study method, we examine how stock markets respond to the policies of the European Central Bank during 1999–2015. We use market prices of futures (government bonds) to identify surprises in (un)conventional monetary policy. Our results suggest that especially unconventional monetary policy surprises affect the EURO STOXX 50 index. We also find evidence for the credit channel, notably for unconventional monetary policy surprises. Our results also suggest that value and past loser stocks show a larger reaction to monetary policy surprises. These results are confirmed if identification of monetary policy surprises is based on the Rigobon–Sack heteroscedasticity approach.</abstract><cop>Amsterdam</cop><pub>Elsevier Inc</pub><doi>10.1016/j.jmacro.2016.02.004</doi><tpages>16</tpages><oa>free_for_read</oa></addata></record> |
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| ispartof | Journal of macroeconomics, 2016-06, Vol.48, p.101-116 |
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| language | eng |
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| source | Elsevier ScienceDirect Journals |
| subjects | Event studies approach Identification through heteroscedasticity Impact analysis Indexes Monetary policy Monetary policy surprises Securities markets Stock exchanges Stock prices Studies |
| title | The impact of the ECB's conventional and unconventional monetary policies on stock markets |
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