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Do financial markets learn from ECB monetary policy?

Author

Listed:
  • Jean-Yves Filbien

    (Université de Lille)

  • Fabien Labondance

    (UFC - Université de Franche-Comté - UBFC - Université Bourgogne Franche-Comté [COMUE])

Abstract

This article examines the magnitude of stock market reactions to European Central Bank (ECB) monetary policy announcements. Since the introduction of the ECB, declining absolute abnormal returns have been compatible with the theory that stock markets learn from ECB monetary policy. In particular, Eurozone financial markets extract information from the ECB announcements and consider this information before making investment decisions. Furthermore, the predictability of ECB monetary policy has been increasing over time.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Jean-Yves Filbien & Fabien Labondance, 2013. "Do financial markets learn from ECB monetary policy?," Post-Print hal-04409584, HAL.
    • Handle: RePEc:hal:journl:hal-04409584
    DOI: 10.1016/j.econlet.2013.04.002
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    Cited by:

    1. is not listed on IDEAS
    2. Weber, Christoph S., 2019. "The effect of central bank transparency on exchange rate volatility," Journal of International Money and Finance, Elsevier, vol. 95(C), pages 165-181.
    3. Ferreira, Eurico & Serra, Ana Paula, 2022. "Price effects of unconventional monetary policy announcements on European securities markets," Journal of International Money and Finance, Elsevier, vol. 122(C).
    4. Amaya, Diego & Filbien, Jean-Yves, 2015. "The similarity of ECB’s communication," Finance Research Letters, Elsevier, vol. 13(C), pages 234-242.
    5. Stylianos X. Koufadakis, 2015. "Asymmetries on Closed End Country Funds Premium and Monetary Policy Announcements: An Approach Trough the Perspective of Foreign Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(3-4), pages 29-65, july-Dece.

    More about this item

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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