The impact of the ECB's conventional and unconventional monetary policies on stock markets
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jmacro.2016.02.004
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Reinder Haitsma & Deren Unalmis & Jakob de Haan, 2015. "The impact of the ECB's conventional and unconventional monetary policies on stock markets," DNB Working Papers 483, Netherlands Central Bank, Research Department.
References listed on IDEAS
- Ben S. Bernanke & Kenneth N. Kuttner, 2005.
"What Explains the Stock Market's Reaction to Federal Reserve Policy?,"
Journal of Finance, American Finance Association, vol. 60(3), pages 1221-1257, June.
- Ben S. Bernanke & Kenneth N. Kuttner, 2003. "What explains the stock market's reaction to Federal Reserve policy?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Ben S. Bernanke & Kenneth N. Kuttner, 2003. "What explains the stock market's reaction to Federal Reserve policy?," Staff Reports 174, Federal Reserve Bank of New York.
- Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," NBER Working Papers 10402, National Bureau of Economic Research, Inc.
- Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What explains the stock market's reaction to Federal Reserve policy?," Finance and Economics Discussion Series 2004-16, Board of Governors of the Federal Reserve System (U.S.).
- Gurkaynak, Refet S. & Sack, Brian T. & Swanson, Eric P., 2007.
"Market-Based Measures of Monetary Policy Expectations,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 201-212, April.
- Brian P. Sack & Eric T. Swanson, 2002. "Market-based measures of monetary policy expectations," Finance and Economics Discussion Series 2002-40, Board of Governors of the Federal Reserve System (U.S.).
- Brian P. Sack & Eric T. Swanson, 2006. "Market-based measures of monetary policy expectations," Working Paper Series 2006-04, Federal Reserve Bank of San Francisco.
- Thorbecke, Willem, 1997.
"On Stock Market Returns and Monetary Policy,"
Journal of Finance, American Finance Association, vol. 52(2), pages 635-654, June.
- Willem Thorbecke, 1995. "On Stock Market Returns and Monetary Policy," Economics Working Paper Archive wp_139, Levy Economics Institute.
- Willem Thorbecke, 1998. "On Stock Market Returns and Monetary Policy," Macroeconomics 9812009, University Library of Munich, Germany.
- Glick, Reuven & Leduc, Sylvain, 2012.
"Central bank announcements of asset purchases and the impact on global financial and commodity markets,"
Journal of International Money and Finance, Elsevier, vol. 31(8), pages 2078-2101.
- Reuven Glick & Sylvain Leduc, 2011. "Central bank announcements of asset purchases and the impact on global financial and commodity markets," Working Paper Series 2011-30, Federal Reserve Bank of San Francisco, revised 2011.
- Ricci, Ornella, 2015. "The impact of monetary policy announcements on the stock price of large European banks during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 245-255.
- John H. Rogers & Chiara Scotti & Jonathan H. Wright, 2014. "Evaluating asset-market effects of unconventional monetary policy: a multi-country review," Economic Policy, CEPR;CES;MSH, vol. 29(80), pages 749-799, October.
- Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2016.
"The effectiveness of the ECB's asset purchase programs of 2009 to 2012,"
Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 45-57.
- Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2015. "The Effectiveness of the ECB’s Asset Purchase Programs of 2009 to 2012," Discussion Papers in Economics 15/24, Division of Economics, School of Business, University of Leicester.
- Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2015. "The Effectiveness of The ECB’s Asset Purchase Programs Of 2009 To 2012," Working Papers 199, Bank of Greece.
- Unalmis, Deren & Unalmis, Ibrahim, 2015. "The Effects of Conventional and Unconventional Monetary Policy Surprises on Asset Markets in the United States," MPRA Paper 62585, University Library of Munich, Germany.
- Rigobon, Roberto & Sack, Brian, 2004.
"The impact of monetary policy on asset prices,"
Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1553-1575, November.
- Roberto Rigobon & Brian P. Sack, 2002. "The Impact of Monetary Policy on Asset Prices," NBER Working Papers 8794, National Bureau of Economic Research, Inc.
- Roberto Rigobon & Brian P. Sack, 2002. "The Impact of Monetary Policy on Asset Prices," Finance and Economics Discussion Series 2002-04, Board of Governors of the Federal Reserve System (U.S.), revised 23 Jan 2002.
- 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.), revised 2002.
- Chuliá, Helena & Martens, Martin & Dijk, Dick van, 2010. "Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 834-839, April.
- Angeloni,Ignazio & Kashyap,Anil K. & Mojon,Benoît (ed.), 2003. "Monetary Policy Transmission in the Euro Area," Cambridge Books, Cambridge University Press, number 9780521828642, December.
- Michael E. Cahill & Stefania D'Amico & Canlin Li & John S. Sears, 2013. "Duration risk versus local supply channel in Treasury yields: evidence from the Federal Reserve's asset purchase announcements," Finance and Economics Discussion Series 2013-35, Board of Governors of the Federal Reserve System (U.S.).
- Kuttner, Kenneth N., 2001.
"Monetary policy surprises and interest rates: Evidence from the Fed funds futures market,"
Journal of Monetary Economics, Elsevier, vol. 47(3), pages 523-544, June.
- Kenneth N. Kuttner, 2000. "Monetary policy surprises and interest rates: evidence from the Fed funds futures markets," Staff Reports 99, Federal Reserve Bank of New York.
- Fatum, Rasmus & Scholnick, Barry, 2008.
"Monetary policy news and exchange rate responses: Do only surprises matter?,"
Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1076-1086, June.
- Rasmus Fatum & Barry Scholnick, "undated". "Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?," EPRU Working Paper Series 05-14, Economic Policy Research Unit (EPRU), University of Copenhagen. Department of Economics, revised Nov 2005.
- D’Amico, Stefania & King, Thomas B., 2013. "Flow and stock effects of large-scale treasury purchases: Evidence on the importance of local supply," Journal of Financial Economics, Elsevier, vol. 108(2), pages 425-448.
- Don Bredin & Stuart Hyde & Dirk Nitzsche & Gerard O'Reilly, 2009.
"European monetary policy surprises: the aggregate and sectoral stock market response,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 156-171.
- Bredin, Don & Hyde, Stuart & O'Reilly, Gerard, 2005. "European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response," Research Technical Papers 10/RT/05, Central Bank of Ireland.
- Kerstin Bernoth & Jürgen von Hagen, 2004. "The Euribor Futures Market: Efficiency and the Impact of ECB Policy Announcements," International Finance, Wiley Blackwell, vol. 7(1), pages 1-24, March.
- Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2013.
"Stock market reaction to fed funds rate surprises: State dependence and the financial crisis,"
Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4025-4037.
- Alexandros Kontonikas & Ronald MacDonald & Aman Saggu, 2012. "Stock market reaction to fed funds rate surprises: state dependence and the financial crisis," Working Papers 2012_11, Business School - Economics, University of Glasgow.
- Kontonikas, Alexandros & MacDonald, Ronald & Saggu, Aman, 2012. "Stock Market Reaction to Fed Funds Rate Surprises: State Dependence and the Financial Crisis," SIRE Discussion Papers 2012-72, Scottish Institute for Research in Economics (SIRE).
- Kholodilin, Konstantin & Montagnoli, Alberto & Napolitano, Oreste & Siliverstovs, Boriss, 2009.
"Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view,"
Economics Letters, Elsevier, vol. 105(3), pages 211-213, December.
- Konstantin A. Kholodilin & Alberto Montagnoli & Boriss Siliverstovs & Oreste Napolitano, 2008. "Assessing the Impact of the ECB's Monetary Policy on the Stock Markets: A Sectoral View," KOF Working papers 08-213, KOF Swiss Economic Institute, ETH Zurich.
- Konstantin A. Kholodilin & Alberto Montagnoli & Oreste Napolitano & Boriss Siliverstovs, 2008. "Assessing the Impact of the ECB's Monetary Policy on the Stock Markets: A Sectoral View," Discussion Papers of DIW Berlin 814, DIW Berlin, German Institute for Economic Research.
- Alexandros Kontonikas & Alexandros Kostakis, 2013.
"On Monetary Policy and Stock Market Anomalies,"
Journal of Business Finance & Accounting, Wiley Blackwell, vol. 40(7-8), pages 1009-1042, September.
- Alexandros Kontonikas & Alexandros Kostakis, 2010. "On monetary policy and stock market anomalies," Working Papers 2010_29, Business School - Economics, University of Glasgow.
- Kontonikas, Alexandros & Kostakis, Alexandros, 2010. "On monetary policy and stock market anomalies," SIRE Discussion Papers 2010-103, Scottish Institute for Research in Economics (SIRE).
- Bernd Hayo & Britta Niehof, 2011. "Identification Through Heteroscedasticity in a Multicountry and Multimarket Framework," MAGKS Papers on Economics 201124, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Carlo Rosa, 2011. "The Validity of the Event‐study Approach: Evidence from the Impact of the Fed's Monetary Policy on US and Foreign Asset Prices," Economica, London School of Economics and Political Science, vol. 78(311), pages 429-439, July.
- Chatziantoniou, Ioannis & Duffy, David & Filis, George, 2013. "Stock market response to monetary and fiscal policy shocks: Multi-country evidence," Economic Modelling, Elsevier, vol. 30(C), pages 754-769.
- Beaupain, Renaud & Durré, Alain, 2016.
"Excess liquidity and the money market in the euro area,"
Journal of Macroeconomics, Elsevier, vol. 47(PA), pages 33-44.
- Renaud Beaupain & Alain Durré, 2016. "Excess liquidity and the money market in the euro area," Post-Print hal-01562984, HAL.
- Wang, Shen & Mayes, David G., 2012. "Monetary policy announcements and stock reactions: An international comparison," The North American Journal of Economics and Finance, Elsevier, vol. 23(2), pages 145-164.
- Gert Peersman & Frank Smets, 2005.
"The Industry Effects of Monetary Policy in the Euro Area,"
Economic Journal, Royal Economic Society, vol. 115(503), pages 319-342, April.
- Peersman, Gert & Smets, Frank, 2002. "The industry effects of monetary policy in the euro area," Working Paper Series 165, European Central Bank.
- Hussain, Syed Mujahid, 2011. "Simultaneous monetary policy announcements and international stock markets response: An intraday analysis," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 752-764, March.
- Jean-Bernard Chatelain & Michael Ehrmann & Andrea Generale & Jorge Martínez-Pagés & Philip Vermeulen & Andreas Worms, 2003.
"Monetary Policy Transmission in the Euro Area: New Evidence From Micro Data on Firms and Banks,"
Journal of the European Economic Association, MIT Press, vol. 1(2-3), pages 731-742, 04/05.
- Jean-Bernard Chatelain & Andrea Generale & Philip Vermeulen & Michael Ehrmann & Jorge Martínez-Pagés & Andreas Worms, 2003. "Monetary policy transmission in the euro area: New evidence from micro data on firms and banks," Post-Print halshs-00119489, HAL.
- Jean-Bernard Chatelain & Andrea Generale & Philip Vermeulen & Michael Ehrmann & Jorge Martínez-Pagés & Andreas Worms, 2003. "Monetary policy transmission in the euro area: New evidence from micro data on firms and banks," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00119489, HAL.
- Martin T. Bohl & Pierre L. Siklos & David Sondermann, 2008. "European Stock Markets and the ECB's Monetary Policy Surprises," International Finance, Wiley Blackwell, vol. 11(2), pages 117-130, August.
- Fiordelisi, Franco & Galloppo, Giuseppe & Ricci, Ornella, 2014. "The effect of monetary policy interventions on interbank markets, equity indices and G-SIFIs during financial crisis," Journal of Financial Stability, Elsevier, vol. 11(C), pages 49-61.
- Ehrmann, Michael & Fratzscher, Marcel, 2004. "Taking stock: monetary policy transmission to equity markets," Working Paper Series 354, European Central Bank.
- Ehrmann, Michael & Backé, Peter, 2003. "Monetary policy transmission in the euro area: any changes after EMU?," Working Paper Series 240, European Central Bank.
- Kaoru Hosono & Shogo Isobe, "undated". "The Financial Market Impact of Unconventional Monetary Policies in the U.S., the U.K., the Eurozone, and Japan," Discussion papers ron259, Policy Research Institute, Ministry of Finance Japan.
- Warner, Elizabeth J & Georges, Christophre, 2001. "The Credit Channel of Monetary Policy Transmission: Evidence from Stock Returns," Economic Inquiry, Western Economic Association International, vol. 39(1), pages 74-85, January.
- Michael Ehrmann & Leonardo Gambacorta & Jorge Martinez-PagÈs & Patrick Sevestre & Andreas Worms, 2003. "The Effects of Monetary Policy in the Euro Area," Oxford Review of Economic Policy, Oxford University Press, vol. 19(1), pages 58-72.
- Sondermann, David & Bohl, Martin T. & Siklos, Pierre L., 2009. "The euro area stock market channel: Does one size fit all?," Finance Research Letters, Elsevier, vol. 6(4), pages 230-235, December.
- Philippine Cour-Thimann & Bernhard Winkler, 2012.
"The ECB’s non-standard monetary policy measures: the role of institutional factors and financial structure,"
Oxford Review of Economic Policy, Oxford University Press, vol. 28(4), pages 765-803, WINTER.
- Cour-Thimann, Philippine & Winkler, Bernhard, 2013. "The ECB's non-standard monetary policy measures: the role of institutional factors and financial structure," Working Paper Series 1528, European Central Bank.
- John H. Rogers & Chiara Scotti & Jonathan H. Wright, 2014. "Evaluating Asset-Market Effects of Unconventional Monetary Policy: A Cross-Country Comparison," International Finance Discussion Papers 1101, Board of Governors of the Federal Reserve System (U.S.).
- Jonathan H. Wright, 2012. "What does Monetary Policy do to Long‐term Interest Rates at the Zero Lower Bound?," Economic Journal, Royal Economic Society, vol. 122(564), pages 447-466, November.
- 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.
- Michael A. S. Joyce & Ana Lasaosa & Ibrahim Stevens & Matthew Tong, 2011. "The Financial Market Impact of Quantitative Easing in the United Kingdom," International Journal of Central Banking, International Journal of Central Banking, vol. 7(3), pages 113-161, September.
- Frederic Lambert & Kenichi Ueda, 2014. "The Effects of Unconventional Monetary Policies on Bank Soundness," IMF Working Papers 14/152, International Monetary Fund.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Fausch, Jürg & Sigonius, Markus, 2018. "The impact of ECB monetary policy surprises on the German stock market," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 46-63.
- Chi Hyun Kim & Lars Other, 2019. "The Short-Run Effect of Monetary Policy Shocks on Credit Risk: An Analysis of the Euro Area," Discussion Papers of DIW Berlin 1781, DIW Berlin, German Institute for Economic Research.
- Fiorelli, Cristiana & Meliciani, Valentina, 2019. "Economic growth in the era of unconventional monetary instruments: A FAVAR approach," Journal of Macroeconomics, Elsevier, vol. 62(C).
- Pacicco, Fausto & Vena, Luigi & Venegoni, Andrea, 2019.
"Market reactions to ECB policy innovations: A cross-country analysis,"
Journal of International Money and Finance, Elsevier, vol. 91(C), pages 126-137.
- Fausto Pacicco & Luigi Vena & Andrea Venegoni, 2017. "Market Reactions to ECB Policy Innovations: A Cross-Country Analysis," LIUC Papers in Economics 2017-4, Cattaneo University (LIUC).
- Hipòlit Torró, 2019.
"The Response of European Energy Prices to ECB Monetary Policy,"
International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 1-9.
- Hipòlit Torró, 2018. "The Response of European Energy Prices to ECB Monetary Policy," Working Papers 2018.09, Fondazione Eni Enrico Mattei.
- Torró, Hipòlit, 2018. "The Response of European Energy Prices to ECB Monetary Policy," ETA: Economic Theory and Applications 269537, Fondazione Eni Enrico Mattei (FEEM).
- Adam Elbourne & Kan Ji & Sem Duijndam, 2018. "The effects of unconventional monetary policy in the euro area," CPB Discussion Paper 371, CPB Netherlands Bureau for Economic Policy Analysis.
- Shahida Perveen, Mustaghis-ur-Rahman, 2018. "Impact of Fiscal and Monetary Policies on Stock Market Performance: An Empirical Study of Pakistan Stock Exchange," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 3(2), pages 2-23, October.
- Helmut Lütkepohl & Aleksei Netšunajev, 2018.
"The Relation between Monetary Policy and the Stock Market in Europe,"
Econometrics, MDPI, Open Access Journal, vol. 6(3), pages 1-1, August.
- Helmut Lütkepohl & Aleksei Netsunajev, 2018. "The Relation between Monetary Policy and the Stock Market in Europe," Discussion Papers of DIW Berlin 1729, DIW Berlin, German Institute for Economic Research.
- Mnasri, Ayman & Nechi, Salem, 2016. "Impact of terrorist attacks on stock market volatility in emerging markets," Emerging Markets Review, Elsevier, vol. 28(C), pages 184-202.
- Nakabayashi, Masaki, 2017. "Contained crisis and socialized risk," Research in International Business and Finance, Elsevier, vol. 40(C), pages 231-241.
- Frederik Neugebauer, 2020. "ECB Announcements and Stock Market Volatility," WHU Working Paper Series - Economics Group 20-02, WHU - Otto Beisheim School of Management.
- Girardi, Daniele & Bowles, Samuel, 2018.
"Institution shocks and economic outcomes: Allende's election, Pinochet's coup and the Santiago stock market,"
Journal of Development Economics, Elsevier, vol. 134(C), pages 16-27.
- Daniele Girardi & Samuel Bowles, 2017. "Institutional shocks and economic outcomes : Allende's election, Pinochet's coup and the Santiago stock market," UMASS Amherst Economics Working Papers 2017-19, University of Massachusetts Amherst, Department of Economics.
- Neugebauer, Frederik, 2019. "ECB Announcements and Stock Market Volatility," VfS Annual Conference 2019 (Leipzig): 30 Years after the Fall of the Berlin Wall - Democracy and Market Economy 203554, Verein für Socialpolitik / German Economic Association.
- De Rezende, Rafael B. & Ristiniemi, Annukka, 2018.
"A shadow rate without a lower bound constraint,"
Working Paper Series
355, Sveriges Riksbank (Central Bank of Sweden).
- B De Rezende, Rafael & Ristiniemi, Annukka, 2020. "A shadow rate without a lower bound constraint," Bank of England working papers 864, Bank of England.
- Ralf Fendel & Frederik Neugebauer, 2018. "Country-Specific Euro Area Government Bond Yield Reactions to ECB’s Non-Standard Monetary Policy Announcements," WHU Working Paper Series - Economics Group 18-02, WHU - Otto Beisheim School of Management.
- Jäger, Jannik & Grigoriadis, Theocharis, 2017. "The effectiveness of the ECB’s unconventional monetary policy: Comparative evidence from crisis and non-crisis Euro-area countries," Journal of International Money and Finance, Elsevier, vol. 78(C), pages 21-43.
- Tom Hudepohl & Ryan van Lamoen & Nander de Vette, 2019. "Quantitative easing and exuberance in stock markets: Evidence from the euro area," DNB Working Papers 660, Netherlands Central Bank, Research Department.
- Adam Elbourne & Kan Ji, 2019. "Do zero and sign restricted SVARs identify unconventional monetary policy shocks in the euro area?," CPB Discussion Paper 391, CPB Netherlands Bureau for Economic Policy Analysis.
- Adam Elbourne & Kan Ji, 2019. "Do zero and sign restricted SVARs identify unconventional monetary policy shocks in the euro area?," CPB Discussion Paper 391.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
- Wang, Ling, 2019. "Measuring the effects of unconventional monetary policy on MBS spreads: A comparative study," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 235-251.
More about this item
Keywords
Monetary policy surprises; Stock prices; Event studies approach; Identification through heteroscedasticity;JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmacro:v:48:y:2016:i:c:p:101-116. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Haili He). General contact details of provider: http://www.elsevier.com/locate/inca/622617 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.