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Assessing the impact of the ECB’s monetary policy on the stock markets: A sectoral view

Konstantin Arkadievich Kholodilin (), Alberto Montagnoli (), Oreste Napolitano () and Boriss Siliverstovs

No 08-213, KOF Working papers from KOF Swiss Economic Institute, ETH Zurich

Abstract: 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
Date: 2008-12
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Journal Article: Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view (2009) Downloads
Working Paper: Assessing the Impact of the ECB's Monetary Policy on the Stock Markets: A Sectoral View (2008) Downloads
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