Financial Markets and ECB Monetary Policy Communication – A Second QE Surprise

Martin Baumgaertner ()
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Martin Baumgaertner: THM Business School Giessen
Authors registered in the RePEc Author Service: Martin Baumgärtner

MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: This paper shows that a different communication style of the European Central Bank (ECB) affects stock prices differently. A break in the ECB’s communication from 2016 onwards makes it necessary to adjust the identification of monetary policy surprises in the euro area. By modifying the high-frequency identification of monetary policy shocks in the euro area, I can show that two quantitative easing shocks occur per decision: One during the release and one during the press conference. Although the impact on policy rates is identical, the release window shock seems to have a more pronounced effect on stock prices.

Keywords: Unconventional Monetary Policy; High-Frequency Data; ECB; Communication (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2022
New Economics Papers: this item is included in nep-ban, nep-cba, nep-cwa, nep-eec, nep-his, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:mar:magkse:202203

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