Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/170656
Authors: 
Perdichizzi, Salvatore
Year of Publication: 
2017
Series/Report no.: 
Working Paper, Dipartimento di Economia e Finanza (DISCE), Università Cattolica del Sacro Cuore 59
Abstract: 
This paper investigates how conventional and unconventional monetary policies announcements affect European banking indexes returns through an event-study analysis. We use data of 11 European banking indexes for the periods 1999-2015. We examine the state dependency of such effects and focus on the surprise elements of policy changes derived from the Euribor futures market. Overall, we find a positive relation between the unexpected changes in the ECBs reference rate and European banking indexes returns. We also discover that the effect is stronger during the financial crisis, especially during the sovereign debt crisis. Moreover, we identify a positive relation between the announcements of unconventional policies and the European banking indexes returns , particularly where the banking system was more risky such as Spain, France and Italy but with a low degree of magnitude than expected. Hence, the Euro banks reactions to monetary policies announcements seem to be more relevant through conventional measures with respect to non-conventional ones.
Subjects: 
Banking
Conventional and Unconventional Monetary Policy
Interest rate
ECB
JEL: 
G01
G14
G18
E44
E52
Document Type: 
Working Paper

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