The Symmetry of ECB Monetary Policy Impact Under Scrutiny: An Assessment

Serati, Massimiliano; Venegoni, Andrea

doi:10.2139/ssrn.2912385

Cited by 2 publications

(2 citation statements)

References 26 publications

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“…The normal return is defined as the expected return without conditioning on the event taking place. In algebraic terms: As the time-span considered is quite extended and, in it, exogenous shocks have hit the eurozone, altering the dynamics of the economic cycle and of the financial markets (as shown in Serati and Venegoni, 2017), the average returns of the equity indices were susceptible to changes. Thus, we divide the sample into five different segments, corresponding to as many estimation windows (all of equal length), each of them used to calculate the abnormal returns of the events included in their relative time-segment.…”

Section: The Modelmentioning

confidence: 99%

Market reactions to ECB policy innovations: A cross-country analysis

Pacicco

Vena

Venegoni

2019

Journal of International Money and Finance

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Financial markets vest an important role both in conveying monetary policy innovations to the real economy and in shaping business cycle's fluctuations. Hence, it becomes crucial to assess whether the ECB is able to wield homogeneous reactions in the main Eurozone stock markets and to quell their turbulences. The empirical analysis shows that conventional policy rate shifts affect unevenly the equity indices of the countries analysed, generating asymmetries between their business cycles. Moreover, the ECB stance proved unable to weather the storm and trigger an economic recovery. This calls for a refinement of ECB conduct and justifies the extensive employment of unconventional measures to revive the economy.

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Section: The Modelmentioning

confidence: 99%

Market reactions to ECB policy innovations: A cross-country analysis

Pacicco

Vena

Venegoni

2019

Journal of International Money and Finance

View full text Add to dashboard Cite

show abstract

“…As the time-span considered is quite extended and, in it, exogenous shocks have hit the eurozone, altering the dynamics of the economic cycle and of the financial markets (as shown in Serati and Venegoni, 2017), the average returns of the equity indices were susceptible to changes. Thus, we divide the sample into five different segments, corresponding to as many estimation windows (all of equal length), each of them used to calculate the abnormal returns of the events included in their relative time-segment.…”

Section: The Modelmentioning

confidence: 99%