Title
Monetary policy and stock prices in small open economies : empirical evidence for the new EU member states Monetary policy and stock prices in small open economies : empirical evidence for the new EU member states
Author
Faculty/Department
Faculty of Applied Economics
Publication type
article
Publication
Heidelberg ,
Subject
Economics
Source (journal)
Economic systems. - Heidelberg
Volume/pages
36(2012) :3 , p. 372-390
ISSN
0939-3625
ISI
000314745800004
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
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.
E-info
https://repository.uantwerpen.be/docman/iruaauth/edc98d/cf83801.pdf
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