DNB paper looks at eurozone’s interest rates
Paper looks at effects of ECB monetary policy shocks on bank equity prices from 1999 to 2020
A paper published by the Netherlands Bank examines whether monetary policy surprises have a different impact on equities in banks according to whether interest rates are positive or negative.
In Monetary policy effects in times of negative interest rates, Joost Bats, Massimo Giuliodori and Aerdt Houben look at data from January 1999 to January 2020. The data are taken from the “euro area monetary policy event-study database” compiled by Carlos Altavilla et al in 2019.
The paper uses the
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