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European monetary policy surprises: the aggregate and sectoral stock market response
Author(s) -
Bredin Don,
Hyde Stuart,
Nitzsche Dirk,
O'Reilly Gerard
Publication year - 2009
Publication title -
international journal of finance and economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.505
H-Index - 39
eISSN - 1099-1158
pISSN - 1076-9307
DOI - 10.1002/ijfe.341
Subject(s) - economics , monetary policy , german , stock (firearms) , monetary economics , equity (law) , stock market , interest rate , futures contract , macroeconomics , financial economics , mechanical engineering , paleontology , archaeology , horse , biology , political science , law , history , engineering
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 the UK and German/Euro area policy rates on the UK and German aggregate and sectoral equity returns in an event study. The decomposition of (un)expected changes in policy rates is based on futures markets. Overall, our results suggest that, the UK monetary policy surprises have a significant negative influence on both aggregate and industry level returns in both countries. The influence of German/Euro area monetary policy shocks appears insignificant for both Germany and the UK. Copyright © 2007 John Wiley & Sons, Ltd.