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The impact of monetary policy surprises on asset return volatility: the case of Germany

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  • Ernst Konrad

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  • Ernst Konrad, 2009. "The impact of monetary policy surprises on asset return volatility: the case of Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(2), pages 111-135, June.
    • Handle: RePEc:kap:fmktpm:v:23:y:2009:i:2:p:111-135
    DOI: 10.1007/s11408-009-0102-5
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    8. Michael Ehrmann & Marcel Fratzscher, 2009. "Global Financial Transmission of Monetary Policy Shocks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 739-759, December.
    9. Kuttner, Kenneth N., 2001. "Monetary policy surprises and interest rates: Evidence from the Fed funds futures market," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
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    11. Shiu-Sheng Chen, 2007. "Does Monetary Policy Have Asymmetric Effects on Stock Returns?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 667-688, March.
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    Cited by:

    1. Gagan Deep Sharma & Mandeep Mahendru & Mrinalini Srivastava, 2019. "Can Central Banking Policies Make a Difference in Financial Market Performance in Emerging Economies? The Case of India," Economies, MDPI, vol. 7(2), pages 1-19, May.
    2. Georgios Chortareas & Menelaos Karanasos & Emmanouil Noikokyris, 2019. "Quantitative Easing And The Uk Stock Market: Does The Bank Of England Information Dissemination Strategy Matter?," Economic Inquiry, Western Economic Association International, vol. 57(1), pages 569-583, January.
    3. Andrew Phiri, 2018. "Has the South African Reserve Bank responded to equity returns since the sub-prime crisis? An asymmetric convergence approach," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 10(3), pages 205-225.
    4. Plakandaras, Vasilios & Gupta, Rangan & Balcilar, Mehmet & Ji, Qiang, 2022. "Evolving United States stock market volatility: The role of conventional and unconventional monetary policies," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
    5. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2012. "The impact of monetary policy decisions on stock returns: Evidence from Thailand," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 487-507.
    6. Mohammed Bouaddi & Abderrahim Taamouti, 2012. "Portfolio risk management in a data-rich environment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(4), pages 469-494, December.
    7. Picault, Matthieu & Raffestin, Louis, 2020. "The other side of forward guidance: Are central banks constrained by financial markets?," Finance Research Letters, Elsevier, vol. 36(C).
    8. ERER, Elif & ERER, Deniz, 2017. "Long Memory In Turkish Stock Market And Effects Of Central Banks’ Announcements," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 21(3), pages 6-18.
    9. Vithessonthi, Chaiporn & Techarongrojwong, Yaowaluk, 2013. "Do monetary policy announcements affect stock prices in emerging market countries? The case of Thailand," Journal of Multinational Financial Management, Elsevier, vol. 23(5), pages 446-469.
    10. A. Gregoriou & A. Kontonikas & R. MacDonald & A. Montagnoli, 2009. "Monetary policy shocks and stock returns: evidence from the British market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(4), pages 401-410, December.
    11. Lee, King Fuei, 2023. "Effects of Monetary Policy Frameworks on Stock Market Volatilities: An Empirical Study of Global Economies," MPRA Paper 119755, University Library of Munich, Germany.
    12. Sashikanta Khuntia & Gourishankar S. Hiremath, 2019. "Monetary Policy Announcements and Stock Returns: Some Further Evidence from India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(4), pages 801-827, December.
    13. Papadamou, Stephanos & Sidiropoulos, Moïse & Spyromitros, Eleftherios, 2014. "Does central bank transparency affect stock market volatility?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 362-377.
    14. Caporale, Guglielmo Maria & Kyriacou, Kyriacos & Spagnolo, Nicola, 2023. "Aggregate insider trading and stock market volatility in the UK," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    15. Thampanya, Natthinee & Wu, Junjie & Nasir, Muhammad Ali & Liu, Jia, 2020. "Fundamental and behavioural determinants of stock return volatility in ASEAN-5 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    16. Phiri, Andrew, 2017. "Has the South African Reserve Bank responded to equity prices since the sub-prime crisis? An asymmetric convergence approach," MPRA Paper 76542, University Library of Munich, Germany.
    17. Matthew W Clance & Riza Demirer & Rangan Gupta & Clement Kweku Kyei, 2020. "Predicting firm-level volatility in the United States: the role of monetary policy uncertainty," Economics and Business Letters, Oviedo University Press, vol. 9(3), pages 167-177.
    18. Hassan Heidari & Arash Refah Kahriz & Yousef Mohammadzadeh, 2019. "Stock market behavior of pharmaceutical industry in Iran and macroeconomic factors," Economic Change and Restructuring, Springer, vol. 52(3), pages 255-277, August.
    19. Kamil Saba & Janusz Kudła, 2014. "The impact of NBP’s interest rate changes on the changes and volatility of WIG20," Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 37.

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    More about this item

    Keywords

    Monetary policy surprises; Asset return volatility; GARCH-M; E52; E58; G15; C32;
    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
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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