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Article Dans Une Revue Research in International Business and Finance Année : 2017

Does central bank independence affect stock market volatility ?

Résumé

This paper addresses the issue of impacts of central banks’ independence on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a positive link between stock prices volatility and central bank independence. By applying panel data analysis on a set of 29 countries from 1998 to 2005, sufficient evidence for this positive relationship is provided using two different measures of stock market volatility.

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hal-03692206 , version 1 (09-06-2022)

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Stephanos Papadamou, Moïse Sidiropoulos, Eleftherios Spyromitros. Does central bank independence affect stock market volatility ?. Research in International Business and Finance, 2017, 42, pp.855-864. ⟨10.1016/j.ribaf.2017.07.021⟩. ⟨hal-03692206⟩
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