Konstantin Kholodilin () (DIW Berlin, Germany) Alberto Montagnoli () (University of Stirling, Stirling, UK) Oreste Napolitano () (Parthenope University of Naples, Napoli, Italy) Boriss Siliverstovs () (KOF Swiss Economic Institute, ETH Zurich, Switzerland)
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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.
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Paper provided by KOF Swiss Economic Institute, ETH Zurich in its series KOF Working papers with number
08-213.
Find related papers by JEL classification: E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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