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ECB, BoE and Fed Monetary-Policy announcements: price and volume effects on European securities markets

Authors 
Ana Paula Serra
Eurico Ferreira
Publication Year 
2019
JEL Code 
E52 - Monetary Policy (Targets, Instruments, and Effects)
E58 - Central Banks and Their Policies
G12 - Asset Pricing
G14 - Information and Market Efficiency; Event Studies
Abstract 
As a response to the recent global financial crisis, the main central banks implemented several programs of unconventional monetary policies. This paper assesses the announcement effects of the policy measures taken by the European Central Bank, the Bank of England and the Federal Reserve on European securities markets. We measure the impact of these announcements on government bond and stock prices and trading volumes. Using the event study methodology, we evaluate the reaction of some of the major European market indices around the announcement dates of unconventional monetary policies, over the period between 2008 and 2016. Our results show that the overall impact of the announcements of unconventional monetary policy measures is significant for European stock markets. Further, results suggest that the impact was more significant with the announcement of “Forward Guidance” and “Asset Purchases” policy measures, respectively, on stock prices and trading volumes. If events are categorized using a narrow definition of “Forward Guidance”, the effects for this category are positive but not always statistically significant.
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