Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/50446
Authors: 
Kholodilin, Konstantin
Montagnoli, Alberto
Napolitano, Oreste
Siliverstovs, Boriss
Year of Publication: 
2008
Series/Report no.: 
KOF working papers // Konjunkturforschungsstelle, Eidgenössische Technische Hochschule Zürich 213
Abstract: 
This paper analyzes the response of the European stock markets to the monetary policy shocks by the European Central Bank using the heteroskedasticity based approach of Rigobon (2003). We find that monetary policy tightening has a heterogeneous impact on the Euro Area sectors on the day the monetary policy is publicly announced. Furthermore, we provide statistical evidence against the use of the popular event study approach when assessing the impact of monetary policy shocks on the stock market as the maintained assumptions can be rejected for the aggregate stock market and for most of the sectoral stock market indexes.
Subjects: 
Monetary policy
Stock markets
ECB
JEL: 
E44
E47
E52
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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