Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5091376 | Journal of Banking & Finance | 2007 | 15 Pages |
Abstract
In this paper, we ask whether the Bundesbank, prior to the European Central Bank taking responsibility for monetary policy in 1999, reacted systematically to stock price movements. In contrast to the results for the US, our empirical findings show a generally weak relationship between German stock returns and short-term interest rates at the daily and the monthly frequency. The results are extremely robust to alternative model specifications. The evidence is inconsistent with the hypothesis of a systematic reaction of the Bundesbank to German stock prices. However, we do find that, as in the US, the Bundesbank may have reacted to the stock market crash of 1987 by loosening monetary policy.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Martin T. Bohl, Pierre L. Siklos, Thomas Werner,