Arbeitspapier
Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view
This paper analyzes the response of the European stock markets to the monetary policy shocks by the European Central Bank using the heteroskedasticity based approach of Rigobon (2003). We find that monetary policy tightening has a heterogeneous impact on the Euro Area sectors on the day the monetary policy is publicly announced. Furthermore, we provide statistical evidence against the use of the popular event study approach when assessing the impact of monetary policy shocks on the stock market as the maintained assumptions can be rejected for the aggregate stock market and for most of the sectoral stock market indexes.
- Language
-
Englisch
- Bibliographic citation
-
Series: KOF Working Papers ; No. 213
- Classification
-
Wirtschaft
Financial Markets and the Macroeconomy
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Monetary Policy
- Subject
-
Monetary policy
Stock markets
ECB
Geldpolitik
Schock
Börsenkurs
Branche
Europäische Wirtschafts- und Währungsunion
EU-Staaten
- Event
-
Geistige Schöpfung
- (who)
-
Kholodilin, Konstantin
Montagnoli, Alberto
Napolitano, Oreste
Siliverstovs, Boriss
- Event
-
Veröffentlichung
- (who)
-
ETH Zurich, KOF Swiss Economic Institute
- (where)
-
Zurich
- (when)
-
2008
- DOI
-
doi:10.3929/ethz-a-005717936
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kholodilin, Konstantin
- Montagnoli, Alberto
- Napolitano, Oreste
- Siliverstovs, Boriss
- ETH Zurich, KOF Swiss Economic Institute
Time of origin
- 2008
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