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Does central bank independence affect stock market volatility ?

Author

Listed:
  • Stephanos Papadamou

    (UTH - University of Thessaly [Volos])

  • Moïse Sidiropoulos

    (BETA - Bureau d'Économie Théorique et Appliquée - INRA - Institut National de la Recherche Agronomique - UNISTRA - Université de Strasbourg - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique, Aristotle University of Thessaloniki)

  • Eleftherios Spyromitros

    (BETA - Bureau d'Économie Théorique et Appliquée - INRA - Institut National de la Recherche Agronomique - UNISTRA - Université de Strasbourg - UL - Université de Lorraine - CNRS - Centre National de la Recherche Scientifique, DUTH - Democritus University of Thrace)

Abstract
This paper addresses the issue of impacts of central banks' independence on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a positive link between stock prices volatility and central bank independence. By applying panel data analysis on a set of 29 countries from 1998 to 2005, sufficient evidence for this positive relationship is provided using two different measures of stock market volatility.

Suggested Citation

  • Stephanos Papadamou & Moïse Sidiropoulos & Eleftherios Spyromitros, 2017. "Does central bank independence affect stock market volatility ?," Post-Print hal-03692206, HAL.
    • Handle: RePEc:hal:journl:hal-03692206
    DOI: 10.1016/j.ribaf.2017.07.021
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    6. Alin Marius Andries & Anca Maria Podpiera & Nicu Sprincean, 2022. "Central Bank Independence and Systemic Risk," International Journal of Central Banking, International Journal of Central Banking, vol. 18(1), pages 81-130, March.
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    9. D. Masciandaro, 2019. "What Bird Is That? Central Banking And Monetary Policy In The Last Forty Years," BAFFI CAREFIN Working Papers 19127, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    10. Emna Trabelsi, 2019. "Do independence and transparency matter for bank development? A new lookup on emerging and developing countries," Post-Print hal-02162780, HAL.
    11. Cep Jandi Anwar & Indra Suhendra, 2023. "Measuring Response of Stock Market to Central Bank Independence Shock," SAGE Open, , vol. 13(1), pages 21582440231, February.
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    13. Masciandaro, Donato, 2022. "Independence, conservatism, and beyond: Monetary policy, central bank governance and central banker preferences (1981–2021)," Journal of International Money and Finance, Elsevier, vol. 122(C).
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    More about this item

    Keywords

    Central bank independence; Stock market volatility; Panel data;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G1 - Financial Economics - - General Financial Markets

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