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Title
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Financial integration, monetary policy and stock prices: empirical evidence for the new EU member states
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Author
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Abstract
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| We provide empirical evidence on the interaction between monetary policy and stock prices in 4 new EU member states of Central and East- ern Europe by estimating a small open economy macroeconometric model (SVAR) identi…ed by means of short-run restrictions. Our modeling choices re‡ect the increasing integration between the NMS and the Euro Area. Our contributions are twofold. We analyze the monetary transmission mechanism through stock prices in the NMS and we determine the extent to which …nancial markets in the aforementioned countries are sensitive to euro area monetary policy actions. We conclude that stock prices in the NMS are more sensitive to changes in the Euro Area interest rate than to the domestic one. Only in the Czech Republic and Poland we …nd a signi…cant negative e¤ect of contractionary monetary policy on stock prices. Moreover, we …nd that the volatility of stock prices in the NMS is mainly due to shocks related to exchange rate and Euro Area monetary policy shocks. Keywords: |
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Language
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English
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Source (series)
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Research paper / UA, Faculty of Applied Economics ; 2010:24
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Publication
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Antwerpen
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UA
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2010
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Volume/pages
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37 p.
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Full text (open access)
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