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<p>This study investigates the effectiveness of the European Central Bank’s (ECB) conventional and unconventional monetary policies on the German stock market, with a particular focus on crisis versus non-crisis periods from 1999 to 2021. Employing an event study methodology and robustness checks via the identification through heteroscedasticity method, the research analyzes three key transmission channels: asset price, interest rate, and credit. The findings reveal that, in the non-crisis period before the financial crisis started in 2007, conventional monetary policy actions - both expected and unexpected - significantly influence stock market returns, supporting the transmission mechanism. However, during crisis periods such as the financial, sovereign debt, and COVID-19 crises, the conventional channels are often disrupted, and market reactions diverge, sometimes even opposing ECB intentions. Unconventional monetary measures show pronounced effects during crises, though their impact varies across different crisis phases and industry sectors. The study also challenges the market efficiency hypothesis by demonstrating that anticipated policy actions can still move markets. Overall, the results highlight the contingent nature of monetary transmission channels, emphasizing the need for further research into the interplay between conventional and unconventional policies and the factors that disturb transmission during crises. The methodology comparison suggests both event study and heteroscedasticity approaches yield consistent results, advocating for the suitability of both.</p>

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ECB’s monetary policy: does the conventional monetary transmission mechanism still work in crisis situations?

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2026年7月6日

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  • Raphael Klei,
  • Veit Wohlgemuth

摘要

This study investigates the effectiveness of the European Central Bank’s (ECB) conventional and unconventional monetary policies on the German stock market, with a particular focus on crisis versus non-crisis periods from 1999 to 2021. Employing an event study methodology and robustness checks via the identification through heteroscedasticity method, the research analyzes three key transmission channels: asset price, interest rate, and credit. The findings reveal that, in the non-crisis period before the financial crisis started in 2007, conventional monetary policy actions - both expected and unexpected - significantly influence stock market returns, supporting the transmission mechanism. However, during crisis periods such as the financial, sovereign debt, and COVID-19 crises, the conventional channels are often disrupted, and market reactions diverge, sometimes even opposing ECB intentions. Unconventional monetary measures show pronounced effects during crises, though their impact varies across different crisis phases and industry sectors. The study also challenges the market efficiency hypothesis by demonstrating that anticipated policy actions can still move markets. Overall, the results highlight the contingent nature of monetary transmission channels, emphasizing the need for further research into the interplay between conventional and unconventional policies and the factors that disturb transmission during crises. The methodology comparison suggests both event study and heteroscedasticity approaches yield consistent results, advocating for the suitability of both.