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Autor:innen: 
Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
MAGKS Joint Discussion Paper Series in Economics No. 03-2022
Verlag: 
Philipps-University Marburg, School of Business and Economics, Marburg
Zusammenfassung: 
This paper shows that a different communication style of the European Central Bank (ECB) affects stock prices differently. A break in the ECB's communication from 2016 onwards makes it necessary to adjust the identification of monetary policy surprises in the euro area. By modifying the high-frequency identification of monetary policy shocks in the euro area, I can show that two quantitative easing shocks occur per decision: One during the release and one during the press conference. Although the impact on policy rates is identical, the release window shock seems to have a more pronounced effect on stock prices.
Schlagwörter: 
Unconventional Monetary Policy
High-FrequencyData
ECB
Communication
JEL: 
E44
E52
E58
Dokumentart: 
Working Paper

Datei(en):
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