TY - JOUR

T1 - Assessing the Impact of the ECB’s Unconventional Monetary Policy on the European Stock Markets

AU - Ринкон Эрнандес, Карлос Хоакин

AU - Petrova, Anastasiia V.

PY - 2024/9/23

Y1 - 2024/9/23

N2 - This study assesses the effects of the European Central Bank’s (ECB) unconventional monetary policy (UMP) on the prices of selected European stock market indices during the European sovereign debt (2010–2012) and the COVID-19 pandemic (2020–2022) crises interventions. This research employs the instrumental variables (IV) two-stage least squares (2SLS) model approach to evaluate the effects of changes in the size of the ECB’s balance sheet on the pricing of key equity market indices in Europe. The results of this study suggest that the ECB’s asset value expansion had the opposite statistically significant effects on the European stock market indices’ prices between the interventions. That is, an increase in the ECB’s balance sheet size was associated with a decrease in the prices of the indices during the sovereign debt crisis and with a rise during the COVID-19 pandemic. This research pinpoints the price sensitivity of each of the European equity indices to the ECB’s UMP and determines the different outcomes of the ECB’s quantitative easing policy between the interventions.

AB - This study assesses the effects of the European Central Bank’s (ECB) unconventional monetary policy (UMP) on the prices of selected European stock market indices during the European sovereign debt (2010–2012) and the COVID-19 pandemic (2020–2022) crises interventions. This research employs the instrumental variables (IV) two-stage least squares (2SLS) model approach to evaluate the effects of changes in the size of the ECB’s balance sheet on the pricing of key equity market indices in Europe. The results of this study suggest that the ECB’s asset value expansion had the opposite statistically significant effects on the European stock market indices’ prices between the interventions. That is, an increase in the ECB’s balance sheet size was associated with a decrease in the prices of the indices during the sovereign debt crisis and with a rise during the COVID-19 pandemic. This research pinpoints the price sensitivity of each of the European equity indices to the ECB’s UMP and determines the different outcomes of the ECB’s quantitative easing policy between the interventions.

KW - COVID-19 pandemic crisis

KW - ECB’s balance sheet

KW - European stock indices

KW - quantitative easing

KW - sovereign debt crisis

UR - https://www.mendeley.com/catalogue/ec9a7a12-1d0d-32fb-aea9-0255d57c691f/

U2 - 10.3390/jrfm17090425

DO - 10.3390/jrfm17090425

M3 - Article

VL - 17

JO - Journal of Risk and Financial Management

JF - Journal of Risk and Financial Management

SN - 1911-8066

IS - 9

M1 - 425

ER -