European monetary policy surprises: the aggregate and sectoral stock market response
Article first published online: 5 SEP 2007
Copyright © 2007 John Wiley & Sons, Ltd.
International Journal of Finance & Economics
Volume 14, Issue 2, pages 156–171, April 2009
How to Cite
Bredin, D., Hyde, S., Nitzsche, D. and O'Reilly, G. (2009), European monetary policy surprises: the aggregate and sectoral stock market response. Int. J. Fin. Econ., 14: 156–171. doi: 10.1002/ijfe.341
- Issue published online: 3 MAR 2009
- Article first published online: 5 SEP 2007
- Monetary policy;
- stock market;
- interest rates
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.