【主讲】Yoichi Otsubo Research Associate (卢森堡大学)
【主题】Market Perceptions of US and European Policy Actions Around the Subprime Crisis
【时间】2012年12月24日 (周一) 15：30-17：00
【地点】上海财经大学经济学院楼710室
【语言】英文
【摘要】This paper explores the impacts of key policy actions by US and European authorities on stock returns of systemically important banks in Europe and US around the subprime crisis. We find that the US policy announcements had a stronger impact on the European and US banking industry than the European policy announcements. In particular, the announcements of monetary policies and financial sector policies by the US authorities were accompanied by higher abnormal returns compared to related announcements of European authorities while the announcements of the US liability guarantees had the most favorable impact on the banking stock returns during the crisis. The lead role of US policies compared to European policies was strengthened after the collapse of Lehman brothers. We also find that the policy announcements, regardless of which side of the Atlantic the news arrived from, has increased the return volatility during the crisis. Our results lend additional support to the literature documenting event-induced volatility increases.
