Market Reactions to ECB Policy Innovations: A Cross-Country Analysis

17 Pages Posted: 4 Mar 2017

See all articles by Fausto Pacicco

Fausto Pacicco

LIUC - Università Cattaneo

Luigi Vena

LIUC - Università Cattaneo

Andrea Venegoni

LIUC Università Cattaneo

Date Written: December 15, 2016

Abstract

Financial markets behaviour has increasingly become a reason of concern for the regulators worldwide. Hence, it becomes crucial for Central Bankers to be able to exert a certain degree of control on them. Through a dynamic assessment of the main Eurozone equity markets reaction to policy rate shifts, conducted applying an event study methodology, we aim to assess whether the ECB, with its conventional monetary policy manoeuvres, is able to wield a homogeneous effect across the main Eurozone equity markets. The empirical analysis shows that generally policy rate shifts affect unevenly the Eurozone financial indexes, and, hence, are bound to generate asymmetries that reflect on the real economy. This calls for a refinement of ECB conduct and for a thorough revision of the whole European economic policy strategy.

Keywords: Monetary Policy Transmission, European Monetary Union, Financial Markets, Event Study

JEL Classification: E42, E52, E58, F42, F45, G14

Suggested Citation

Pacicco, Fausto and Vena, Luigi and Venegoni, Andrea, Market Reactions to ECB Policy Innovations: A Cross-Country Analysis (December 15, 2016). Available at SSRN: https://ssrn.com/abstract=2926975 or http://dx.doi.org/10.2139/ssrn.2926975

Fausto Pacicco

LIUC - Università Cattaneo ( email )

Corso Matteotti
Castellanza (VA)
Italy

Luigi Vena

LIUC - Università Cattaneo ( email )

Corso Matteotti
Castellanza (VA)
Italy

Andrea Venegoni (Contact Author)

LIUC Università Cattaneo ( email )

Corso Matteotti
Castellanza (VA)
Italy

Register to save articles to
your library

Register

Paper statistics

Downloads
35
Abstract Views
513
PlumX Metrics