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Price effects of unconventional monetary policy announcements on European securities markets

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  • Ferreira, Eurico
  • Serra, Ana Paula

Abstract

This paper assesses the effects of the unconventional monetary policies taken by the European Central Bank, the Bank of England and the Federal Reserve on European securities markets. Using the event study methodology, we evaluate the price reaction of market indices around the announcement dates from 2008 to 2018. Our results show that the impact is mixed on European government bonds, but positive and significant on stocks, with some evidence of international spillovers. We also find that coordinated policy actions exert a stronger influence than individual measures. Furthermore, the announcements generate surprise effects, albeit with a different magnitude and direction.

Suggested Citation

  • Ferreira, Eurico & Serra, Ana Paula, 2022. "Price effects of unconventional monetary policy announcements on European securities markets," Journal of International Money and Finance, Elsevier, vol. 122(C).
    • Handle: RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002096
    DOI: 10.1016/j.jimonfin.2021.102558
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    2. Gnabo, Jean-Yves & Soudant, Joey, 2022. "Monetary policy and portfolio rebalancing: Evidence from European equity mutual funds," Journal of Financial Stability, Elsevier, vol. 63(C).
    3. Sleibi, Yacoub & Casalin, Fabrizio & Fazio, Giorgio, 2023. "Unconventional monetary policies and credit co-movement in the Eurozone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 85(C).

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    More about this item

    Keywords

    Unconventional monetary policies; Event study tests; Surprises; Bond markets; Stock markets;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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