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dc.contributor.authorHayo, Bernden
dc.contributor.authorNiehof, Brittaen
dc.date.accessioned2012-04-04T13:49:35Z-
dc.date.available2012-04-04T13:49:35Z-
dc.date.issued2011-
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
dc.language.isoengen
dc.publisher|aPhilipps-University Marburg, Faculty of Business Administration and Economics |cMarburgen
dc.relation.ispartofseries|aMAGKS Joint Discussion Paper Series in Economics |x24-2011en
dc.subject.jelC36en
dc.subject.jelE44en
dc.subject.jelE52en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordfinancial marketsen
dc.subject.keywordinstrumental variable estimationen
dc.subject.keywordidentification through heteroscedasticityen
dc.subject.keywordspillover effectsen
dc.subject.stwGeldpolitiken
dc.subject.stwSchocken
dc.subject.stwWirkungsanalyseen
dc.subject.stwBörsenkursen
dc.subject.stwAktienmarkten
dc.subject.stwSpillover-Effekten
dc.subject.stwEU-Staatenen
dc.subject.stwGroßbritannienen
dc.subject.stwSchweizen
dc.subject.stwSchwedenen
dc.titleIdentification through heteroscedasticity in a multicountry and multimarket framework: The effects of European Central Banks on European financial markets-
dc.typeWorking Paperen
dc.identifier.ppn661027708en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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