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Kampl, L. Measuring the Short-Term Effects of the ECB’s Unconventional Monetary Policy on Financial Markets: A Review. Credit and Capital Markets – Kredit und Kapital, 54(1), 37-77. https://doi.org/10.3790/ccm.54.1.37
Kampl, Lisa-Maria "Measuring the Short-Term Effects of the ECB’s Unconventional Monetary Policy on Financial Markets: A Review" Credit and Capital Markets – Kredit und Kapital 54.1, 2021, 37-77. https://doi.org/10.3790/ccm.54.1.37
Kampl, Lisa-Maria (2021): Measuring the Short-Term Effects of the ECB’s Unconventional Monetary Policy on Financial Markets: A Review, in: Credit and Capital Markets – Kredit und Kapital, vol. 54, iss. 1, 37-77, [online] https://doi.org/10.3790/ccm.54.1.37
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Measuring the Short-Term Effects of the ECB’s Unconventional Monetary Policy on Financial Markets: A Review

Kampl, Lisa-Maria

Credit and Capital Markets – Kredit und Kapital, Vol. 54 (2021), Iss. 1 : pp. 37–77

2 Citations (CrossRef)

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Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.54.1.37
Language
English
Pages
41
Keywords

Author Details

Lisa-Maria Kampl, University of Graz, Institute of Finance, Universitaetsstrasse 15 Graz, Austria.

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    Aslam, Faheem | Mohti, Wahbeeah | Ali, Haider | Ferreira, Paulo

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    https://doi.org/10.1016/j.heliyon.2023.e18114 [Citations: 1]

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Abstract

Following the financial crisis in 2008, the ECB implemented various unconventional policy measures to respond to the tensions on the market. These measures had a significant impact and short-term effects on financial markets. This literature review provides a extensive overview of the empirical literature dealing with the short-term effects of this unconventional monetary policy using event studies. Furthermore, a methodological analysis of conducted event studies is carried out. First, we review empirical event studies focusing on the effects on the bond market, the stock market, as well as on international spill-over effects. Secondly, we carry out a methodological analysis of event studies that estimate the announcement effects of the ECB’s unconventional measures. In this context, the analysis provides insight into the process of determining relevant events, the categorization of those, measuring the surprise component, and determining control variables. By comparing the different approaches applied, we give a comprehensive overview of similarities as well as differences in the methodology used.

Table of Contents

Section Title Page Action Price
Lisa-Maria Kampl: Measuring the Short-Term Effects of the ECB’s Unconventional Monetary Policy on Financial Markets: A Review 1
Abstract 1
I. Introduction 1
II. ECB’s Unconventional Monetary Policy 3
III. Empirical Research Strands on the Effects of Unconventional Monetary Policy 6
1. Long-Term Effects 7
2. Short-Term Effects 8
a) VAR Models 9
b) Event Studies 1
Standard Approach 1
Regression-Based Approach 1
IV. Effects on Financial Markets 1
V. Methodological Analysis of Event Studies 2
1. Determination of Relevant Events 2
2. Categorization of Events 2
3. Measurement of Surprise 2
4. Control Variables 2
VI. Conclusion 2
References 2
Appendix 3

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