The Impact of the ECB’s Conventional and Unconventional Monetary Policies on Stock Markets
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Title: |
The Impact of the ECB’s Conventional and Unconventional Monetary Policies on Stock Markets |
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Number: |
16/05 |
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Author(s): |
Reinder Haitsma, Deren Ünalmış, Jakob de Haan | |
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Language: |
English |
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Date: |
February 2016 |
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Abstract: |
Using an event study method, we examine how stock markets respond to the policies of the European Central Bank during 1999-2015. We use market prices of futures (government bonds) to identify surprises in (un)conventional monetary policy. Our results suggest that especially unconventional monetary policy surprises affect the EURO STOXX 50 index. We also find evidence for the credit channel, notably for unconventional monetary policy surprises. Our results also suggest that value and past loser stocks show a larger reaction to monetary policy surprises. These results are confirmed if identification of monetary policy surprises is based on the Rigobon-Sack heteroscedasticity approach. |
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Keywords: |
Monetary policy surprises, Stock prices, Event studies approach, Identification through heteroscedasticity |
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JEL Codes: |
E43; E44; E52 |
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