Title: Monetary policy and stock prices in small open economies: empirical evidence for the new EU member states
Authors: Pirovano, Mara # ×
Issue Date: 2012
Publisher: Physica-Verlag
Series Title: Economic Systems vol:36 pages:372-390
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.
ISSN: 0939-3625
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center of International Economics, Leuven
× corresponding author
# (joint) last author

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