Does central bank independence affect stock market volatility ?

Stephanos Papadamou, Moïse Sidiropoulos () and Eleftherios Spyromitros
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Moïse Sidiropoulos: BETA - Bureau d'Économie Théorique et Appliquée - INRA - Institut National de la Recherche Agronomique - UNISTRA - Université de Strasbourg - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique, Aristotle University of Thessaloniki

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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)
Date: 2017-12
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Citations: View citations in EconPapers (4)

Published in Research in International Business and Finance, 2017, 42, pp.855-864. ⟨10.1016/j.ribaf.2017.07.021⟩

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Related works:
Journal Article: Does central bank independence affect stock market volatility? (2017)
Working Paper: Does Central Bank Independence Affect Stock Market Volatility? (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-03692206

DOI: 10.1016/j.ribaf.2017.07.021

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