The impact of ECBs conventional and unconventional monetary policies on European banking indexes returns

Arbeitspapier

This paper investigates how conventional and unconventional monetary policies announcements affect European banking indexes returns through an event-study analysis. We use data of 11 European banking indexes for the periods 1999-2015. We examine the state dependency of such effects and focus on the surprise elements of policy changes derived from the Euribor futures market. Overall, we find a positive relation between the unexpected changes in the ECBs reference rate and European banking indexes returns. We also discover that the effect is stronger during the financial crisis, especially during the sovereign debt crisis. Moreover, we identify a positive relation between the announcements of unconventional policies and the European banking indexes returns , particularly where the banking system was more risky such as Spain, France and Italy but with a low degree of magnitude than expected. Hence, the Euro banks reactions to monetary policies announcements seem to be more relevant through conventional measures with respect to non-conventional ones.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 59

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Crises ; Information and Market Efficiency; Event Studies; Insider Trading ; General Financial Markets: Government Policy and Regulation ; Financial Markets and the Macroeconomy ; Monetary Policy
• Thema: Banking ; Conventional and Unconventional Monetary Policy ; Interest rate ; ECB

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Perdichizzi, Salvatore
• Ereignis: Veröffentlichung
• (wer): Università Cattolica del Sacro Cuore, Dipartimento di Economia e Finanza (DISCE)
• (wo): Milano
• (wann): 2017

Weitere Informationen

• Handle: http://hdl.handle.net/10419/170656
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ