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Eurozone stock market reaction to monetary policy interventions and other covariates

Petrakis Nikolaos, Lemonakis Christos, Floros, Christos, Zopounidis Konstantinos

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URIhttp://purl.tuc.gr/dl/dias/66C7A84C-0274-4C77-A782-30B99FA0FEF3-
Identifierhttps://doi.org/10.3390/jrfm15020056-
Identifierhttps://www.mdpi.com/1911-8074/15/2/56-
Languageen-
Extent19 pagesen
TitleEurozone stock market reaction to monetary policy interventions and other covariatesen
CreatorPetrakis Nikolaosen
CreatorLemonakis Christosen
CreatorΛεμονακης Χρηστοςel
CreatorFloros, Christosen
CreatorZopounidis Konstantinosen
CreatorΖοπουνιδης Κωνσταντινοςel
PublisherMDPIen
Content SummaryThe joint effect of the global economic and sovereign debt crisis forced the European Central Bank (ECB) to apply conventional and non-standard expansionary monetary policy interventions in order to stabilize eurozone economies. We conducted a panel regression econometric analysis to study the influence of euro area monetary authority policy interventions, along with two main macroeconomic variables and a sentiment indicator, on market equity returns of eurozone countries for the period January 2007 to December 2017. Our findings suggest that conventional and non-standard monetary policy innovations had a positive lagged impact on equity returns of euro area monetary markets. More specifically, interest rate cuts evenly influenced market indices while non-conventional actions mainly affected core eurozone countries that were less affected by the crisis. We also document a strong negative relationship between inflation rates and market returns. In addition, the sentiment indicator produces positive effects on returns because it contains information that is not incorporated into other macro variables.en
Type of ItemPeer-Reviewed Journal Publicationen
Type of ItemΔημοσίευση σε Περιοδικό με Κριτέςel
Licensehttp://creativecommons.org/licenses/by/4.0/en
Date of Item2023-08-29-
Date of Publication2022-
SubjectMonetary policyen
SubjectCentral Banken
SubjectFinancial crisisen
SubjectPanel dataen
Bibliographic CitationN. Petrakis, C. Lemonakis, C. Floros, and C. Zopounidis, “Eurozone stock market reaction to monetary policy interventions and other covariates,” J. Risk Financial Manag., vol. 15, no. 2, Jan. 2022, doi: 10.3390/jrfm15020056.en

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