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Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric?

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  • Oreste Napolitano

Abstract

This paper explore, using Markov switching models, the dynamic relationship between stock market returns and the monetary policy innovation in 11 EUM countries and, for five of them, at each single industry portfolios. It also investigates the possibility of asymmetric effects of the ECB decision when stock markets are not fully integrated. The findings indicate that there is statistically significant relationship between policy innovations and stock markets returns. The findings from country size and industry portfolios indicate that monetary policy has larger asymmetric effect on the industry portfolios of big countries (Italy, France and Germany) compared to the same sectors of small countries (Netherlands and Belgium).

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Bibliographic Info

Article provided by FrancoAngeli Editore in its journal STUDI ECONOMICI.

Volume (Year): LXIV (2009)
Issue (Month): 97 ()
Pages: 145-180

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Handle: RePEc:fan:steste:v:html10.3280/ste2009-097005

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Cited by:
  1. Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Do Stock Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model," Working Papers 201224, University of Pretoria, Department of Economics.

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