The impact of quantitative easing on sectoral stock prices in the euro area

Rai, Aditi; Goglione, Annalisa; Krauskopf, Rahel Sophia

The impact of quantitative easing on sectoral stock prices in the euro area

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Rai, A, Goglione, A, Krauskopf, R. The impact of quantitative easing on sectoral stock prices in the euro area. 2020. handle: http://hdl.handle.net/10230/46430

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Abstract

The Global Financial Crisis prompted central banks to adopt unconventional monetary policies such as the asset purchase programmes. In our thesis, we analyse whether securities purchases carried out by the ECB have had an impact on stock prices and whether these effects vary across sectors. We decompose the central bank announcement surprises into two opposing effects, a pure monetary policy shock and an information shock. We find that the pure monetary policy shock has indeed significant effects on stock prices across all sectors, suggesting that controlling for the information shock is important when analysing the effects of central bank announcements.