Central Bank Communication and Financial Market Comovements in the Euro Area

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F20%3A10398852" target="_blank" >RIV/00216208:11230/20:10398852 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=ziO_nwd88f" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=ziO_nwd88f</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s11079-019-09561-7" target="_blank" >10.1007/s11079-019-09561-7</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Central Bank Communication and Financial Market Comovements in the Euro Area

Popis výsledku v původním jazyce

We examine whether unscheduled communication of members of the European Central Bank&apos;s (ECB) Governing Council affects financial market comovements. To assess comovements, we employ well-defined measures of stock market and government bond yield coexceedances, i.e., the measures of whether markets jointly decrease or increase and by how much. We use the daily data from 2008 to 2014 for the four largest euro area countries, Germany, France, Italy and Spain, in a quantile regression framework and control for persistence in coexceedances and a comprehensive set of relevant factors capturing returns and volatility in various segments of financial markets. We find that central bank communication often contributes to greater coexceedances but only when there are extreme events in the financial markets. The results also suggest that markets perceive the ECB&apos;s communication as a euro area-wide shock, but propagation of this shock depends on the financial (in)stability of individual euro area countries.

Název v anglickém jazyce

Central Bank Communication and Financial Market Comovements in the Euro Area

Popis výsledku anglicky

We examine whether unscheduled communication of members of the European Central Bank&apos;s (ECB) Governing Council affects financial market comovements. To assess comovements, we employ well-defined measures of stock market and government bond yield coexceedances, i.e., the measures of whether markets jointly decrease or increase and by how much. We use the daily data from 2008 to 2014 for the four largest euro area countries, Germany, France, Italy and Spain, in a quantile regression framework and control for persistence in coexceedances and a comprehensive set of relevant factors capturing returns and volatility in various segments of financial markets. We find that central bank communication often contributes to greater coexceedances but only when there are extreme events in the financial markets. The results also suggest that markets perceive the ECB&apos;s communication as a euro area-wide shock, but propagation of this shock depends on the financial (in)stability of individual euro area countries.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

<a href="/cs/project/GA19-15650S" target="_blank" >GA19-15650S: Správa centrálních bank: Transparence a komunikace po krizi</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2020

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Open Economies Review

ISSN

0923-7992

e-ISSN

—

Svazek periodika

31

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

16

Strana od-do

257-272

Kód UT WoS článku

000492240300001

EID výsledku v databázi Scopus

2-s2.0-85076454330