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.
Assessing the impact of the ECB's monetary policy on the stock markets: A sectoral view
Napolitano Oreste
;Montagnoli Alberto;
2009-01-01
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.File in questo prodotto:
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