The effectiveness of unconventional monetary policy on equity markets in the Eurozone: a cross-country analysis

Within this research, the effects of exogenous innovations to the total assets of the ECB on European equity markets is measured and European financial integration of the stock markets is analysed. The estimation window is chosen for the period ranging between July2007 and December2017. The observations are split into two periods stretching from the summer of 2007 until the summer of 2012,to capture the impact during the time of crisis, and from August 2012 until December 2017, to analyse impacts in an environment of ≤0% interest rates. The analysis is conducted with a SVAR approach for both periods. Overall the results hint towards financial integration across the sampled stock markets, despite showing a negative lagged impact on equity returns following an expansion of the ECB’s total assets