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The impact of ECBs conventional and unconventional monetary policies on European banking indexes returns

Salvatore Perdichizzi

No def059, DISCE - Working Papers del Dipartimento di Economia e Finanza from Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE)

Abstract: This paper investigates how conventional and unconventional monetary policies announcements a ect European banking indexes returns through an event-study analysis. We use data of 11 European banking indexes for the periods 1999-2015. We examine the state dependency of such e ects and focus on the surprise elements of policy changes derived from the Euribor futures market. Overall, we nd a positive relation between the unexpected changes in the ECBs reference rate and European banking indexes returns. We also discover that the e ect is stronger during the nancial crisis, especially during the sovereign debt crisis. Moreover, we identify a positive relation between the announcements of unconventional policies and the European banking indexes returns , particularly where the banking system was more risky such as Spain, France and Italy but with a low degree of magnitude than expected. Hence, the Euro banks reactions to monetary policies announcements seem to be more relevant through conventional measures with respect to non-conventional ones.

Keywords: Banking; Conventional and Unconventional Monetary Policy; Interest rate; ECB. (search for similar items in EconPapers)
JEL-codes: G01 E44 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-dcm, nep-eec, nep-mac and nep-mon
Date: 2017-05
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