Referierte Aufsätze Web of Science
Konstantin A. Kholodilin, Alberto Montagnoli, Oreste Napolitano, Boriss Siliverstovs
105 (2009), 3, S. 211-213
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.
Research Associate in the Macroeconomics Department
Topics: Monetary policy, Financial markets
JEL-Classification: E44;E47;E52Keywords: Monetary policy, Stock markets, ECB DOI: http://dx.doi.org/10.1016/j.econlet.2009.08.006