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Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view

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  • Kholodilin, Konstantin
  • Montagnoli, Alberto
  • Napolitano, Oreste
  • Siliverstovs, Boriss

Abstract

This paper shows that the ECB's monetary policy has a heterogeneous impact on the sectoral stock market indexes in the Euro Area. We show that the heteroskedasticity based approach of Rigobon (2003) should be preferred to the event study approach.

Suggested Citation

  • Kholodilin, Konstantin & Montagnoli, Alberto & Napolitano, Oreste & Siliverstovs, Boriss, 2009. "Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view," Economics Letters, Elsevier, vol. 105(3), pages 211-213, December.
    • Handle: RePEc:eee:ecolet:v:105:y:2009:i:3:p:211-213
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    References listed on IDEAS

    as
    1. Rigobon, Roberto & Sack, Brian, 2004. "The impact of monetary policy on asset prices," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1553-1575, November.
    2. Ehrmann, Michael & Fratzscher, Marcel, 2004. "Taking stock: monetary policy transmission to equity markets," Working Paper Series 354, European Central Bank.
    3. Patelis, Alex D, 1997. "Stock Return Predictability and the Role of Monetary Policy," Journal of Finance, American Finance Association, vol. 52(5), pages 1951-1972, December.
    4. Conover, C. Mitchell & Jensen, Gerald R. & Johnson, Robert R., 1999. "Monetary environments and international stock returns," Journal of Banking & Finance, Elsevier, vol. 23(9), pages 1357-1381, September.
    5. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, November.
    6. Bomfim, Antulio N., 2003. "Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 133-151, January.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Monetary policy Stock markets ECB;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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