Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73541
Authors: 
Fernández-Amador, Octavio
Gächter, Martin
Larch, Martin
Peter, Georg
Year of Publication: 
2011
Series/Report no.: 
Working Papers in Economics and Statistics 2011-06
Abstract: 
The recent financial crisis has been characterized by unprecedented monetary policy interventions of central banks with the intention to stabilize financial markets and the real economy. This paper sheds light on the actual impact of monetary policy on stock liquidity and thereby addresses its role as a determinant of commonality in liquidity. To capture effects both at the micro and macro level of stock markets, we apply panel estimations and vector autoregressive models. Our results suggest that an expansionary monetary policy of the European Central Bank leads to an increase of stock market liquidity in the German, French and Italian markets. These findings are robust for seven proxies of liquidity and two measures of monetary policy.
Subjects: 
Stock liquidity
monetary policy
euro zone
JEL: 
E44
E51
E52
G12
Document Type: 
Working Paper

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