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dc.contributor.authorHayo, Bernden_US
dc.contributor.authorNiehof, Brittaen_US
dc.date.accessioned2012-04-04T13:49:35Z-
dc.date.available2012-04-04T13:49:35Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/56496-
dc.description.abstractThis paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework. Applying our multivariate framework allows deriving consistent estimators of monetary policy effects. The advantage of our extended approach is illustrated by applying it to European financial markets. We analyse monetary policy actions of the European Central Bank (ECB), the Bank of England, the Swiss National Bank, and the Swedish Riksbank on major stock indices. First, in line with the Rigobon and Sack (2004) approach, we find an increase in the variance of European stock and money market returns on days when monetary policy committee meetings are held. Second, monetary policy actions have a significant impact on financial markets. Third, we discover that ECB monetary policy moves have spillover effects on the British and Swiss financial markets, but find no evidence of reverse causality.en_US
dc.language.isoengen_US
dc.publisherUniv., Dep. of Business Administration & Economics Marburgen_US
dc.relation.ispartofseriesJoint discussion paper series in economics 24-2011en_US
dc.subject.jelC36en_US
dc.subject.jelE44en_US
dc.subject.jelE52en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordfinancial marketsen_US
dc.subject.keywordinstrumental variable estimationen_US
dc.subject.keywordidentification through heteroscedasticityen_US
dc.subject.keywordspillover effectsen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwSchocken_US
dc.subject.stwWirkungsanalyseen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwAktienmarkten_US
dc.subject.stwSpillover-Effekten_US
dc.subject.stwEU-Staatenen_US
dc.subject.stwGroßbritannienen_US
dc.subject.stwSchweizen_US
dc.subject.stwSchwedenen_US
dc.titleIdentification through heteroscedasticity in a multicountry and multimarket framework: The effects of European Central Banks on European financial marketsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn661027708en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:MAGKS Joint Discussion Paper Series in Economics, Universität Marburg

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