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European monetary policy surprises : the aggregate and sectoral stock market response
Author(s)
Date Issued
2005-12
Date Available
2010-04-26T16:35:48Z
Abstract
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.
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.
Type of Material
Working Paper
Publisher
University College Dublin. School of Business. Centre for Financial Markets
Series
Centre for Financial Markets working paper series
WP/05/31
Central Bank & Financial Services Authority of Ireland research technical paper
10/RT/05
Subject – LCSH
Stock exchanges
Monetary policy--Germany
Monetary policy--Great Britain
Language
English
Status of Item
Not peer reviewed
This item is made available under a Creative Commons License
File(s)
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Name
WP-05-31.pdf
Size
201.81 KB
Format
Adobe PDF
Checksum (MD5)
9671c1afdb49fecfd1daf720edc166ab
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