The Impact of ECB Monetary Policy on Stock and Bond Market Liquidity. The Case of Germany

Business & Finance, Finance & Investing, Finance
Cover of the book The Impact of ECB Monetary Policy on Stock and Bond Market Liquidity. The Case of Germany by Terence Kappeln, GRIN Verlag
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Terence Kappeln ISBN: 9783668126770
Publisher: GRIN Verlag Publication: January 18, 2016
Imprint: GRIN Verlag Language: English
Author: Terence Kappeln
ISBN: 9783668126770
Publisher: GRIN Verlag
Publication: January 18, 2016
Imprint: GRIN Verlag
Language: English

Bachelor Thesis from the year 2015 in the subject Economics - Finance, grade: 1,0, Vienna University of Economics and Business (Finance and Accounting), language: English, abstract: During the financial crisis and the following Eurozone crisis, liquidity in financial markets basically froze and became a problem for the real economy. Therefore, market liquidity became one of the major concerns of the ECB, which applied non-standard measures, e.g. irregular asset purchasing programmes. This paper sheds light on the impact of monetary policy on liquidity levels of the DAX 30 equity index and German 10-year government bonds. For the following analysis, the monetary policy impacts are estimated using the base money growth rate and EONIA rate, whereas the relative bid-ask spread is employed for measuring liquidity levels. The research method includes literature-based research about common market liquidity theories, a short timeline of important ECB monetary policy decisions, descriptive statistics on liquidity levels and monetary policy variables and a VAR analysis, including variables spreads, returns, volatilities, industrial production and inflation. The results indicate that a decrease (increase) in stock market liquidity or an increase (decrease) in bondmarket volatility lead to a decrease (increase) of EONIA. Furthermore, decreases (increases) in stock return or industrial production result in a decrease (increase) of EONIA. However, base money growth is positively correlated only to changes in bond market volatility. Overall, the results suggest that the monetary policy decisions by the ECB are influenced by changing market conditions without the ability to forecast liquidity levels.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Bachelor Thesis from the year 2015 in the subject Economics - Finance, grade: 1,0, Vienna University of Economics and Business (Finance and Accounting), language: English, abstract: During the financial crisis and the following Eurozone crisis, liquidity in financial markets basically froze and became a problem for the real economy. Therefore, market liquidity became one of the major concerns of the ECB, which applied non-standard measures, e.g. irregular asset purchasing programmes. This paper sheds light on the impact of monetary policy on liquidity levels of the DAX 30 equity index and German 10-year government bonds. For the following analysis, the monetary policy impacts are estimated using the base money growth rate and EONIA rate, whereas the relative bid-ask spread is employed for measuring liquidity levels. The research method includes literature-based research about common market liquidity theories, a short timeline of important ECB monetary policy decisions, descriptive statistics on liquidity levels and monetary policy variables and a VAR analysis, including variables spreads, returns, volatilities, industrial production and inflation. The results indicate that a decrease (increase) in stock market liquidity or an increase (decrease) in bondmarket volatility lead to a decrease (increase) of EONIA. Furthermore, decreases (increases) in stock return or industrial production result in a decrease (increase) of EONIA. However, base money growth is positively correlated only to changes in bond market volatility. Overall, the results suggest that the monetary policy decisions by the ECB are influenced by changing market conditions without the ability to forecast liquidity levels.

More books from GRIN Verlag

Cover of the book Konzeption und Durchführung eines prozess- und kennzahlenorientierten Business Excellence Benchmarking der strategischen Informationstechnologie by Terence Kappeln
Cover of the book Vulnerabilität des Tourismus by Terence Kappeln
Cover of the book Der Begriff der Person - Die Willensstruktur als hinreichendes Personenmerkmal bei Harry G. Frankfurt by Terence Kappeln
Cover of the book Von der Motivationstheorie zur Motivationspraxis by Terence Kappeln
Cover of the book Marketingcontrolling. Instrumente und Organisation im Überblick. by Terence Kappeln
Cover of the book Das Verhältnis der Irrtumsanfechtung zur Mängelrüge nach Schweizer Recht by Terence Kappeln
Cover of the book Sorgerecht und Europäische Menschenrechtskonvention by Terence Kappeln
Cover of the book Olaf der Heilige - Beleuchtung einer Kultfigur by Terence Kappeln
Cover of the book Kunsterziehung im Nationalsozialismus und danach by Terence Kappeln
Cover of the book Die Relevanz der Befragung als Forschungsmethode in der empirischen Sozialforschung mit didaktischem Ansatz by Terence Kappeln
Cover of the book Theorien über die Assoziation von Ideen. Einflussgrößen und Einsatz für Marketingzwecke by Terence Kappeln
Cover of the book Mensch und Tier. Eine Verhältnisbestimmung by Terence Kappeln
Cover of the book Medienrecht - die Finanzierung des oeffentlich rechtlichen Rundfunks by Terence Kappeln
Cover of the book Die Zerstörung der französischen Flotte in Mers-el-Kebir am 3. Juli 1940 by Terence Kappeln
Cover of the book Überprüfung einer möglichen Geschäftsfelderweiterung eines Elektroversorgungsunternehmens by Terence Kappeln
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy