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Does central bank independence affect stock market volatility?

Stephanos Papadamou (), Moise Sidiropoulos and Eleftherios Spyromitros ()

Research in International Business and Finance, 2017, vol. 42, issue C, 855-864

Abstract: This paper addresses the issue of impacts of central banks’ independence on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a positive link between stock prices volatility and central bank independence. 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: 2017
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Working Paper: Does Central Bank Independence Affect Stock Market Volatility? (2016) Downloads
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