Now showing 1 - 3 of 3
  • Publication
    UK Stock returns & the impact of domestic monetary policy shocks
    (University College Dublin. School of Business. Centre for Financial Markets, 2005-10-21) ; ;
    We investigate the influence of changes in UK monetary policy on UK stock returns and the possible reasons behind such a response. Firstly, we conduct an event study to assess the impact of unexpected changes in monetary policy on aggregate and sectoral stock returns. The decomposition of unexpected changes in the policy rate is based on futures markets data. Secondly, using a variance decomposition in the spirit of Campbell (1991) we attempt to identity the channels behind the response of stock returns to monetary policy surprises. The variance decomposition results indicate that the monetary policy shock leads to a persistent negative response in terms of future excess returns for a number of sectors.
      733
  • Publication
    Monetary policy surprises and international bond markets
    (University College Dublin. School of Business. Centre for Financial Markets, 2006-10-04) ; ;
    We examine the impact and possible pillovers effects of unanticipated monetary policy on international bond returns. First, we decompose international bond returns into news regarding future returns, real interest rates and future inflation in the spirit of Campbell and Ammer (1993) for Germany, the UK and the US. We next assess how excess bond returns in these three countries are affected by surprise changes in monetary policy in each country. Our measure of the unanticipated element of monetary policy is based on futures markets rather than the more traditional vector autoregression. Our results indicate that excess bond returns primarily react to domestic as compared to foreign monetary policy surprises. We also find there is a strong divergence between the effects of domestic monetary on excess bond returns in Germany relative to the UK with a surprise monetary tightening in former(latter) leading to a rise(fall)in the excess holding period return and this appears to be driven by news regarding lower(higher) inflation expectations and could be potentially rationalised by differences in the credibility of the monetary policy authority in each country.
      767
  • Publication
    European monetary policy surprises : the aggregate and sectoral stock market response
    (University College Dublin. School of Business. Centre for Financial Markets, 2005-12) ; ;
    In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in UK and German/euro area policy rates on UK and German aggregate and sectoral stock returns in an event study. The decomposition of the (un)expected changes in policy rates are based on futures markets. Overall, our results suggest that, UK monetary policy surprises have a significant negative influence on both aggregate and industry level stock returns in both the UK and Germany. The in uence of German/Euro area monetary policy shocks appears insignificant for both countries.
      1048