Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view
This paper shows that the ECB's monetary policy has a heterogeneous impact on the sectoral stock market indexes in the Euro Area. We show that the heteroskedasticity based approach of Rigobon (2003) should be preferred to the event study approach.
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- Ehrmann, Michael & Fratzscher, Marcel, 2004. "Taking stock: monetary policy transmission to equity markets," Working Paper Series 0354, European Central Bank.
- Rigobon, Roberto & Sack, Brian, 2004.
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- Roberto Rigobon & Brian P. Sack, 2002. "The impact of monetary policy on asset prices," Finance and Economics Discussion Series 2002-4, Board of Governors of the Federal Reserve System (U.S.).
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- Ehrmann, Michael & Fratzscher, Marcel, 2004. "Taking stock: monetary policy transmission to equity markets," Working Paper Series 354, European Central Bank.
- Bomfim, Antulio N., 2003. "Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 133-151, January.
- Patelis, Alex D, 1997. " Stock Return Predictability and the Role of Monetary Policy," Journal of Finance, American Finance Association, vol. 52(5), pages 1951-1972, December. Full references (including those not matched with items on IDEAS)