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European monetary policy surprises : the aggregate and sectoral stock market response

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  • Donal Bredin
  • Stuart Hyde
  • Gerard O'Reilly

Abstract

In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in UK and German/euro area policy rates on UK and German aggregate and sectoral stock returns in an event study. The decomposition of the (un)expected changes in policy rates are based on futures markets. Overall, our results suggest that, UK monetary policy surprises have a significant negative influence on both aggregate and industry level stock returns in both the UK and Germany. The in uence of German/Euro area monetary policy shocks appears insignificant for both countries.

Suggested Citation

  • Donal Bredin & Stuart Hyde & Gerard O'Reilly, 2005. "European monetary policy surprises : the aggregate and sectoral stock market response," Centre for Financial Markets Working Papers 10197/1932, Research Repository, University College Dublin.
    • Handle: RePEc:rru:cfmwps:10197/1932
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    File URL: http://hdl.handle.net/10197/1932
    File Function: First version, 2005
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