DNB Working Paper

More documents

Recommendations

Info

The impact of the ECB’s conventional and unconventional monetary policies on stock markets Reinder Haitsma, Deren Unalmis and Jakob de Haan * * Views expressed are those of the authors and do not necessarily reflect official positions of De Nederlandsche Bank. <strong>Working</strong> <strong>Paper</strong> No. 483 September 2015 De Nederlandsche Bank NV P.O. Box 98 1000 AB AMSTERDAM The Netherlands
The impact of the ECB’s conventional and unconventional monetary policies on stock markets * Reinder Haitsma a , Deren Unalmis b and Jakob de Haan a,c, d a University of Groningen, The Netherlands b Central Bank of the Republic of Turkey c De Nederlandsche Bank, Amsterdam, The Netherlands d CESifo, Munich, Germany Version 7 September 2015 Abstract Using an event study method, we examine how stock markets respond to the policies of the European Central Bank during 1999-2015. We use market prices of futures (government bonds) to identify surprises in (un)conventional monetary policy. Our results suggest that especially unconventional monetary policy surprises affect the EURO STOXX 50 index. We also find evidence for the credit channel, notably for unconventional monetary policy surprises. Our results also suggest that value and past loser stocks show a larger reaction to monetary policy surprises. These results are confirmed if identification of monetary policy surprises is based on the Rigobon-Sack heteroscedasticity approach. Keywords: monetary policy surprises, stock prices, event studies approach, identification through heteroscedasticity. JEL classifications: E43, E44, E52. * The views expressed do not necessarily reflect the official views of the Central Bank of the Republic of Turkey or De Nederlandsche Bank.
Page 1: DNB Working Paper The impact of the
Page 5 and 6: to determine policy expectations (R
Page 7 and 8: easing and stock prices. For instan
Page 9 and 10: Therefore, most related papers base
Page 11 and 12: dependence on debt. Finally, the de
Page 13 and 14: egression results, we report Wald t
Page 15 and 16: The parameters for monetary policy
Page 17 and 18: i s z (6) t t t t t t t t s i
Page 19 and 20: 10-year government bonds at the day
Page 21 and 22: Table A1 - Continued Mean Standard
Page 23 and 24: Table A2. Correlation table for the
Page 25 and 26: Hosono, K., and S. Isobe (2014), `T
Page 27 and 28: Tables Table 1 Regression output fo
Page 29 and 30: Table 2 - Continued Conventional Su
Page 33 and 34: Table 4 Regression output for the v
Page 35 and 36: Table 5 Estimation output with iden

DNB Working Paper

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?