European monetary policy surprises : the aggregate and sectoral stock market response

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Title: European monetary policy surprises : the aggregate and sectoral stock market response
Authors: Bredin, Donal
Hyde, Stuart
O'Reilly, Gerard
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Date: Dec-2005
Online since: 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.
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Series/Report no.: 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
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Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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