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

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