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Do European Central Bank Asset Purchase Programmes Matter for the Euro-area Stock Markets and Brent Crude Market?

Author

Listed:
  • Yih-Bey Lin

    (Chaoyang University of Technology, Taiwan,)

  • Fu-Min Chang

    (Chaoyang University of Technology, Taiwan,)

  • Yu-Hin Leung

    (Chaoyang University of Technology, Taiwan,)

  • Jui-Feng Lin

    (Chaoyang University of Technology, Taiwan,)

  • Nicholas Lee

    (Chaoyang University of Technology, Taiwan.)

Abstract

This paper examines macroeconomic impacts of European Central Bank (ECB) unconventional policy on Euro stock markets and Brent crude market respectively. We use actual and confidential asset purchase programmes (APPs) data to capture the unconventional effect and apply the vector auto-regression (VAR) model. We find that when the percentage change in ECB APPs leads stock market returns in French, England and Italy as controlling either the Germany or French stock market. Controlling both French and Germany stock markets simultaneously, we find that the percentage change in ECB APPs leads stock market returns only in Italy, suggesting that ECB APPs for the segments of European stock markets matter. Finally, we find the causality from the percentage change in APPs to crude oil returns. Similar results are obtained when controlling positive percentage change in APPs. Hence, our results shed valuable lights on conducting conventional monetary policy in times of crisis.

Suggested Citation

  • Yih-Bey Lin & Fu-Min Chang & Yu-Hin Leung & Jui-Feng Lin & Nicholas Lee, 2018. "Do European Central Bank Asset Purchase Programmes Matter for the Euro-area Stock Markets and Brent Crude Market?," International Journal of Energy Economics and Policy, Econjournals, vol. 8(3), pages 115-120.
  • Handle: RePEc:eco:journ2:2018-03-17
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    ECB; Asset purchase programme; Stock market; Crude market; Granger causality;

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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