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...

Full beskrivning

Sparad:
Bibliografiska uppgifter
I publikationen:MAGKS - Joint Discussion Paper Series in Economics
Huvudupphovsman: Baumgärtner, Martin
Materialtyp: Artikel
Språk:engelska
Publicerad: Philipps-Universität Marburg 2022
Ämnen:
Communication
Wirtschaft
Unconventional Monetary Policy
ECB
High-Frequency Data
Economics
Länkar:PDF-fulltext
Taggar: Lägg till en tagg
Inga taggar, Lägg till första taggen!
Beskrivning
Sammanfattning: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 beskrivning:15 Seiten
ISSN:1867-3678
DOI:10.17192/es2024.0712

Liknande verk