ECB monetary policy and small open economies? stock markets: Estimating actions and communication spillovers

Uros Duric ()
Additional contact information
Uros Duric: Technical University Darmstadt

No 6408453, Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences

Abstract: Despite being at the core of central bankers? and investors? interest, the question of the European Central Bank?s influence on global stock markets has not yet been fully answered. This paper aims to fill this gap by examining the influence of ECB monetary policy on 46 small open economies? stock markets around the world. Using the data from the Swiss Economic Institute?s Monetary Policy Communicator (MPC), a differentiation is made between ECB actions and future policy communication effects. Contractionary ECB monetary policy proves to exert a negative impact on stock markets worldwide, with the results being statistically significant for 41 out of 46 countries. A positive 50 b.p. shock to the ECB interest rate leads to a 2.9% fall in stock markets on average when looking at the two-months window after the shock. A corresponding shock to the MPC index results in a 4.2% fall. Results imply that the inclusion of communication variable is crucial for estimating the full effects of ECB monetary policy.

Keywords: Monetary policy; stock markets; international spillovers; central bank communication; interest rates. (search for similar items in EconPapers)
JEL-codes: E52 F42 G15 (search for similar items in EconPapers)
Pages: 1 page
Date: 2018-06
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: Add references at CitEc
Citations:

Published in Proceedings of the Proceedings of the 35th International Academic Conference, Barcelona, Jun 2018, pages 57-57

Downloads: (external link)
https://iises.net/proceedings/35th-international-a ... =64&iid=015&rid=8453 First version, 2018

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sek:iacpro:6408453

Access Statistics for this paper

More papers in Proceedings of International Academic Conferences from International Institute of Social and Economic Sciences
Bibliographic data for series maintained by Klara Cermakova ().