European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response

Don Bredin, Stuart Hyde and Gerard O'Reilly

No 10/RT/05, Research Technical Papers from Central Bank of Ireland

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 influence of German/Euro area monetary policy shocks appears insignificant for both countries.

Pages: 25 pages
Date: 2005-12
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Citations: View citations in EconPapers (15)

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Related works:
Journal Article: European monetary policy surprises: the aggregate and sectoral stock market response (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:cbi:wpaper:10/rt/05

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