Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view

Citation

Kholodilin K, Montagnoli A, Napolitano O & Siliverstovs B (2009) Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view. Economics Letters, 105 (3), pp. 211-213. https://doi.org/10.1016/j.econlet.2009.08.006

Abstract
This paper shows that the ECB's monetary policy has a heterogeneous impact on the sectoral stock market indexes in the Euro Area. We show that the heteroskedasticity based approach of Rigobon (2003) should be preferred to the event study approach.

Keywords
Monetary policy; Stock markets; ECB

Journal
Economics Letters: Volume 105, Issue 3