Assessing the impact of the ECB’s monetary policy on the stock markets: A sectoral view
Konstantin Kholodilin (),
Alberto Montagnoli (),
Oreste Napolitano () and
No 08-213, KOF Working papers from KOF Swiss Economic Institute, ETH Zurich
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.
Keywords: Monetary policy; Stock markets; ECB (search for similar items in EconPapers)
JEL-codes: E44 E47 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
Journal Article: Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view (2009)
Working Paper: Assessing the Impact of the ECB's Monetary Policy on the Stock Markets: A Sectoral View (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:kof:wpskof:08-213
Access Statistics for this paper
More papers in KOF Working papers from KOF Swiss Economic Institute, ETH Zurich Contact information at EDIRC.
Series data maintained by ().