Price effects of unconventional monetary policy announcements on European securities markets

• Type: Article in International Scientific Journal
• Date: 2022

Authors

Ferreira, E (Author) Other; Serra, AP (Author) FEP

Journal

Title: Journal of International Money and Finance

Vol. 122

ISSN: 0261-5606

Publisher: Elsevier

Indexing

ISI Web of Knowledge - 6 Citations

Scopus - 9 Citations

Other information

Authenticus ID: 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.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 26