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

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.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11367/16105
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