Financial Markets and ECB Monetary Policy Communication – A Second QE Surprise

Financial Markets and ECB Monetary Policy Communication – A Second QE Surprise

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-frequen...

Fuld beskrivelse

Gespeichert in:
Bibliografiske detaljer
Udgivet i:MAGKS - Joint Discussion Paper Series in Economics
Hovedforfatter: Baumgärtner, Martin
Format: Artikel
Sprog:engelsk
Udgivet: Philipps-Universität Marburg 2022
Fag:
Communication
Wirtschaft
Unconventional Monetary Policy
ECB
High-Frequency Data
Economics
Online adgang:PDF-Volltext
Tags: Tilføj Tag
Ingen Tags, Vær først til at tagge denne postø!
Beskrivelse
Summary: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.
Fysisk beskrivelse:15 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0712

Lignende værker