Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/254239 
Year of Publication: 
2022
Series/Report no.: 
MAGKS Joint Discussion Paper Series in Economics No. 03-2022
Publisher: 
Philipps-University Marburg, School of Business and Economics, Marburg
Abstract: 
This paper shows that a different communication style of the European Central Bank (ECB) affects stock prices differently. A break in the ECB's communication from 2016 onwards makes it necessary to adjust the identification of monetary policy surprises in the euro area. By modifying the high-frequency identification of monetary policy shocks in the euro area, I can show that two quantitative easing shocks occur per decision: One during the release and one during the press conference. Although the impact on policy rates is identical, the release window shock seems to have a more pronounced effect on stock prices.
Subjects: 
Unconventional Monetary Policy
High-FrequencyData
ECB
Communication
JEL: 
E44
E52
E58
Document Type: 
Working Paper

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