期刊名称：DIW Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung, Berlin
出版年度：2008
卷号：2008
出版社：Deutsches Institut für Wirtschaftsforschung, Berlin
摘要：This paper analyzes the response of the European stock markets to the monetary
policy shocks by the European Central Bank using the heteroskedasticity based
approach of Rigobon (2003). We find that monetary policy tightening has a
heterogeneous impact on the Euro Area sectors on the day the monetary policy is
publicly announced. Furthermore, we provide statistical evidence against the use
of the popular event study approach when assessing the impact of monetary policy
shocks on the stock market as the maintained assumptions can be rejected for the
aggregate stock market and for most of the sectoral stock market indexes.
