Author

Martin Baumgärtner

Publication Details

Institution: Philipps-Universität Marburg, Faculty of Business Administration and Economics Department: Volkswirtschaftliche Abteilung (Department of Economics) Series: MAGKS Papers on Economics Number: 202203 Date: 2022

Abstract

This paper shows that a different communication style of the European Central Bank (ECB) affects stock prices differently. A break in the ECB’s communication from 2016 onwards makes it necessary to adjust the identification of monetary policy surprises in the euro area. By modifying the high-frequency identification of monetary policy shocks in the euro area, I can show that two quantitative easing shocks occur per decision: One during the release and one during the press conference. Although the impact on policy rates is identical, the release window shock seems to have a more pronounced effect on stock prices.