Does Central Bank Independence Affect Stock Market Volatility?

Stephanos Papadamou, Moise Sidiropoulos and Eleftherios Spyromitros

Working Papers of BETA from Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg

Abstract: This paper addresses the issue of impacts of central banks’ conservativeness/independence on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a positive link between stock prices volatility and central bank conservativeness. By applying panel data analysis on a set of 29 countries from 1998 to 2005, sufficient evidence for this positive relationship is provided using two different measures of stock market volatility.

Keywords: Central bank independence; stock market volatility; panel data. (search for similar items in EconPapers)
JEL-codes: E52 E58 G1 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Citations: View citations in EconPapers (9)

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Related works:
Journal Article: Does central bank independence affect stock market volatility? (2017)
Working Paper: Does central bank independence affect stock market volatility ? (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:ulp:sbbeta:2016-14

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