Does central bank transparency affect stock market volatility?

被引：33

作者：

Papadamou, Stephanos ^{[1
]}

Sidiropoulos, Moise ^{[2
]}

Spyromitros, Eleftherios ^{[3
]}

机构：

[1] Univ Thessaly, Dept Econ, Volos 38333, Greece

[2] Aristotle Univ Thessaloniki, Dept Econ, Thessaloniki 54124, Greece

[3] Democritus Univ Thrace, Dept Econ, Komotini 69100, Greece

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2014年 / 31卷

关键词：

Central bank transparency; Stock market volatility; Panel data; MONETARY-POLICY; EXCHANGE-RATE; MACROECONOMIC ANNOUNCEMENTS; COMMUNICATION; CONTAGION; RETURNS; IMPACT; RISK; NEWS;

D O I：

10.1016/j.intfin.2014.05.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper addresses the issue of impacts of central banks' transparency on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a negative link between stock prices volatility and central bank transparency. By applying panel data analysis on a set of 40 countries from 1998 to 2005, sufficient evidence for this negative relationship is provided, using three different measures of stock market volatility. Therefore, moving towards monetary policy transparency is recommended as stock market volatility can be reduced considerably, implying significant benefits for financial stability. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：362 / 377

页数：16

共 50 条

[21] Managing financial market expectations: The role of central bank transparency and central bank communication
Neuenkirch, Matthias
[J]. EUROPEAN JOURNAL OF POLITICAL ECONOMY, 2012, 28 (01) : 1 - 13
[22] THE INFLUENCE OF CENTRAL BANK TRANSPARENCY ON LABOR MARKET REGULATION
Hefeker, Carsten
Neugart, Michael
[J]. MANCHESTER SCHOOL, 2014, 82 (01): : 17 - 32
[23] Central bank transparency and market efficiency: An econometric analysis
Rafferty M.
Tomljanovich M.
[J]. Journal of Economics and Finance, 2002, 26 (2) : 150 - 161
[24] Oil market volatility and stock market volatility
Basta, Milan
Molnar, Peter
[J]. FINANCE RESEARCH LETTERS, 2018, 26 : 204 - 214
[25] Does stock market liquidity affect dividends?
Michaely, Roni
Qian, Meijun
[J]. PACIFIC-BASIN FINANCE JOURNAL, 2022, 74
[26] Does the US president affect the stock market?
Montone, Maurizio
[J]. JOURNAL OF FINANCIAL MARKETS, 2022, 61
[27] Does Central Bank Transparency Deter the Exchange Rate Volatility? New Evidence from Asian Emerging Markets
Aftab, Muhammad
Mehmood, Ahsan
[J]. JOURNAL OF CENTRAL BANKING THEORY AND PRACTICE, 2023, 12 (02) : 133 - 163
[28] Central Bank Independence and Democracy: Does Transparency Matter?
Ezzat, Asmaa Mohamed
Fayed, Mona Esam
[J]. CONTEMPORARY ECONOMICS, 2020, 14 (02) : 90 - 111
[29] Does market attention affect Bitcoin returns and volatility?
Figa-Talamanca, Gianna
Patacca, Marco
[J]. DECISIONS IN ECONOMICS AND FINANCE, 2019, 42 (01) : 135 - 155
[30] Does market attention affect Bitcoin returns and volatility?
Gianna Figá-Talamanca
Marco Patacca
[J]. Decisions in Economics and Finance, 2019, 42 : 135 - 155

← 1 2 3 4 5 →