Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric?

Author/s Oreste Napolitano
Publishing Year 2009 Issue 2009/97 Language English
Pages 36 P. 145-180 File size 514 KB
DOI 10.3280/STE2009-097005
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This paper explore, using Markov switching models, the dynamic relationship between stock market returns and the monetary policy innovation in 11 EUM countries and, for five of them, at each single industry portfolios. It also investigates the possibility of asymmetric effects of the ECB decision when stock markets are not fully integrated. The findings indicate that there is statistically significant relationship between policy innovations and stock markets returns. The findings from country size and industry portfolios indicate that monetary policy has larger asymmetric effect on the industry portfolios of big countries (Italy, France and Germany) compared to the same sectors of small countries (Netherlands and Belgium).

Jel codes: E52, E44, G10

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Oreste Napolitano, Is the impact of the ECB Monetary Policy on EMU stock market returns asymmetric? in "STUDI ECONOMICI " 97/2009, pp 145-180, DOI: 10.3280/STE2009-097005