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Does central bank independence affect stock market volatility?

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  • Papadamou, Stephanos
  • Sidiropoulos, Moïse
  • Spyromitros, Eleftherios

Abstract

This paper addresses the issue of impacts of central banks’ independence on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a positive link between stock prices volatility and central bank independence. By applying panel data analysis on a set of 29 countries from 1998 to 2005, sufficient evidence for this positive relationship is provided using two different measures of stock market volatility.

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  • Papadamou, Stephanos & Sidiropoulos, Moïse & Spyromitros, Eleftherios, 2017. "Does central bank independence affect stock market volatility?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 855-864.
    • Handle: RePEc:eee:riibaf:v:42:y:2017:i:c:p:855-864
    DOI: 10.1016/j.ribaf.2017.07.021
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    10. Emna Trabelsi, 2019. "Do independence and transparency matter for bank development? A new lookup on emerging and developing countries," Post-Print hal-02162780, HAL.
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    More about this item

    Keywords

    Central bank independence; Stock market volatility; Panel data;
    All these keywords.

    JEL classification:

    • 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
    • G1 - Financial Economics - - General Financial Markets

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