Price effects of unconventional monetary policy announcements on European securities markets

• Tipo: Artigo em Revista Científica Internacional
• Data: 2022

Autores

Ferreira, E (Autor) Outra; Serra, AP (Autor) FEP

Revista

Título: Journal of International Money and Finance

Vol. 122

ISSN: 0261-5606

Editora: Elsevier

Indexação

ISI Web of Knowledge - 6 Citações

Scopus - 9 Citações

Outras Informações

ID Authenticus: P-00V-V66

DOI: 10.1016/j.jimonfin.2021.102558

Abstract (EN): This paper assesses the effects of the unconventional monetary policies taken by the European Central Bank, the Bank of England and the Federal Reserve on European securities markets. Using the event study methodology, we evaluate the price reaction of market indices around the announcement dates from 2008 to 2018. Our results show that the impact is mixed on European government bonds, but positive and significant on stocks, with some evidence of international spillovers. We also find that coordinated policy actions exert a stronger influence than individual measures. Furthermore, the announcements generate surprise effects, albeit with a different magnitude and direction.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 26