Publication
Title
Monetary policy and stock prices in small open economies : empirical evidence for the new EU member states
Author
Abstract
This study presents evidence on the effect of domestic and Euro Area monetary policy on stock prices in four new EU member states of Central Europe and the main determinants of stock price volatility, estimating structural vector autoregressive models identified with short-run restrictions. We find that stock prices in the considered new EU member states are more sensitive to changes in the Euro Area interest rate than to the domestic one. Moreover, the bulk of stock price volatility in these countries is due to shocks related to exchange rate and Euro Area monetary policy. Overall, we find that local stock markets are more sensitive to external shocks than to domestic ones. (C) 2012 Elsevier B.V. All rights reserved.
Language
English
Source (journal)
Economic systems. - Heidelberg
Publication
Heidelberg : 2012
ISSN
0939-3625
Volume/pages
36:3(2012), p. 372-390
ISI
000314745800004
Full text (Publisher's DOI)
Full text (publisher's version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 30.04.2013
Last edited 14.06.2017
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