Economics at your fingertips  

Investigating the relationship between central bank transparency and stock market volatility in a nonparametric framework

Stephanos Papadamou (), Moise Sidiropoulos and Nickolaos Tzeremes ()

Credit and Capital Markets, 2017, vol. 50, issue 1, 63-83

Abstract: This study investigates whether any non-linear relationship exists between central bank transparency and stock market variability in a non-parametric framework for a large number of countries. Our findings imply that a high level of transparency can significantly reduce historical as well as conditional stock market volatility in a non-linear manner. The negative effect of transparency on stock volatility is clearer when we move from low levels towards higher levels of transparency; this effect diminishes as long as we move to higher levels of transparency. This analysis implies that monetary authorities can contribute to equity market stability by adopting more transparent monetary policies in the early stages.

JEL-codes: E52 E5 C14 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations: Track citations by RSS feed

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:

Access Statistics for this article

More articles in Credit and Capital Markets from Credit and Capital Markets
Bibliographic data for series maintained by Credit and Capital Markets ().

Page updated 2020-08-02
Handle: RePEc:kuk:journl:v:50:y:2017:i:1:p:63-83