The euro area stock market channel: Does one size fit all?
This paper analyzes the first part of the stock market channel of monetary policy in the euro area. We find heterogeneous reactions of euro area stock markets to unexpected ECB's interest rate decisions. Splitting all markets into two groups, covering the stock markets reacting significantly to monetary policy shocks and the ones which do not, each sub-group reveals a higher degree of homogeneity. Interestingly, the markets, which react significantly to unexpected interest rate decisions are the markets with the highest stock market capitalization. In general, we find ECB's decisions to be well anticipated by stock markets.
Year of publication: |
2009
|
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Authors: | Sondermann, David ; Bohl, Martin T. ; Siklos, Pierre L. |
Published in: |
Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 6.2009, 4, p. 230-235
|
Publisher: |
Elsevier |
Keywords: | Monetary policy shocks European stock markets Identification through heteroskedasticity Transmission channels of monetary policy Asset pricing Event studies |
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