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The Impact of the ECB's Conventional and Unconventional Monetary Policies on Stock Markets
Haitsma, Reinder - 2015
Using an event study method, we examine how stock markets respond to the policies of the European Central Bank during 1999-2015. We use market prices of futures (government bonds) to identify surprises in (un)conventional monetary policy. Our results suggest that especially unconventional...
Persistent link: https://www.econbiz.de/10013014193
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Complexity of ECB communication and financial market trading
Hayo, Bernd; Henseler, Kai; Rapp, Marc Steffen - 2019
We examine howthe verbal complexity of ECB communications affectsfi-nancial market trading based on high-frequency data fromEuropean stock index futures trading. Studying the 34 events between May 2009 and June 2017, during which the ECB Governing Council press conferences covered unconventional...
Persistent link: https://www.econbiz.de/10012039675
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Effects of the ECB's communication on government bond spreads
Camarero Garcia, Sebastian; Neugebauer, Frederik; … - 2023
This paper investigates the financial market effects of the ECB's communication on the Pandemic Emergency Purchase Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as press releases, ECB blog contributions, speeches and...
Persistent link: https://www.econbiz.de/10014330976
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ECB Language and Stock Returns – A Textual Analysis of ECB Press Conferences
Möller, Rouven - 2020
We examine how the language used by central bank officials in public press conferences influences stock returns in the euro area. In line with the concept of Odyssean Forward Guidance, we find that using constraining language to express policy commitment increases the effectiveness of Forward...
Persistent link: https://www.econbiz.de/10012829731
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ECB announcements and stock market volatility
Neugebauer, Frederik - 2019
This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day …. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday … data for 8 different stock market indices. Second, a range measure approximates volatility using daily prices from 11 …
Persistent link: https://www.econbiz.de/10012286218
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Global Financial Market Impact of the Announcement of the Ecb's Extended Asset Purchase Programme
Georgiadis, Georgios - 2017
We estimate the impact of the ECB's announcement of the extended asset purchase programme (EAPP) on 22 January 2015 on global equity prices, bond yields and the euro exchange rate. We find that the EAPP announcement benefited global financial markets by boosting equity prices in the euro area...
Persistent link: https://www.econbiz.de/10012971231
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Scarcity effects of QE : a transaction-level analysis in the Bund market
Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017
This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...
Persistent link: https://www.econbiz.de/10011632212
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Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility
Ehrmann, Michael - 2017
. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility …
Persistent link: https://www.econbiz.de/10012962430
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Quantitative easing in the euro area : an event study approach
Urbschat, Florian; Watzka, Sebastian - 2017
We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....
Persistent link: https://www.econbiz.de/10011743065
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Quantitative easing in the Euro Area
Urbschat, Florian; Watzka, Sebastian - 2017
We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....
Persistent link: https://www.econbiz.de/10011641961