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European Central Bank and Federal Reserve USA: monetary policy effects on the returns volatility of the Italian Stock Market Index Mibtel

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  • Francesco, Guidi

Abstract

What is the effect of either European Central Bank and Federal Reserve monetary policies on the Italian Index Mibtel? This paper aims to evaluate the impact of monetary policy announcements of the most important Central Banks on the volatility of returns which have been considered at both sectorial and sub-sectorial levels during the period 1999-2008. Using EGARCH models, this work shows that expansive monetary policies may influence stock market indexes much more than restrictive monetary policies. The difference among the two central bank monetary policies is that the ECB influences indexes much more than Fed monetary policy.

Suggested Citation

  • Francesco, Guidi, 2008. "European Central Bank and Federal Reserve USA: monetary policy effects on the returns volatility of the Italian Stock Market Index Mibtel," MPRA Paper 10759, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:10759
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    File URL: https://mpra.ub.uni-muenchen.de/10759/1/MPRA_paper_10759.pdf
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    References listed on IDEAS

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    6. Shiu‐Sheng Chen, 2007. "Does Monetary Policy Have Asymmetric Effects on Stock Returns?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2‐3), pages 667-688, March.
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    8. Marc D. Hayford & A. G. Malliaris, 2005. "Monetary Policy And The U.S. Stock Market," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 15, pages 233-247, World Scientific Publishing Co. Pte. Ltd..
    9. He, Ling T., 2006. "Variations in effects of monetary policy on stock market returns in the past four decades," Review of Financial Economics, Elsevier, vol. 15(4), pages 331-349.
    10. Don Bredin & Stuart Hyde & Dirk Nitzsche & Gerard O'reilly, 2007. "UK Stock Returns and the Impact of Domestic Monetary Policy Shocks," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(5‐6), pages 872-888, June.
    11. Ioannidis, Christos & Kontonikas, Alexandros, 2008. "The impact of monetary policy on stock prices," Journal of Policy Modeling, Elsevier, vol. 30(1), pages 33-53.
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    Cited by:

    1. Ming Zhang & Fan He, 2009. "China's Sovereign Wealth Fund: Weakness and Challenges," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 17(1), pages 101-116, January.

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    More about this item

    Keywords

    Monetary Policies; Stock Returns; Volatility; EGARCH; European Central Bank; Federal Reserve USA;
    All these keywords.

    JEL classification:

    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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