Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/27337 
Year of Publication: 
2008
Series/Report no.: 
DIW Discussion Papers No. 814
Publisher: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
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
Document Type: 
Working Paper

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