Top Highlights

• According to [2], capital flow volatility and the cross-border correlation of asset price movements and credit growth have increased in recent years, in connection with unconventional monetary policies put in place and with the intensifying search for a yield in a low interest rate environment.
• Kurihara [3] examines the impact of the ECB monetary policy announcements on stock prices and exchange rates in the Euro area; his findings indicate that most macroeconomic news shocks do not have any desirable impact on stock prices and exchange rates except the case of unemployment news on exchange rates.
• Farka [4] reports a significant effect of policy shocks on the level and volatility of US stock returns. Andersson [5] examines bond and stock market volatility reactions in the euro area and the US following their respective economies’ monetary policy decisions. He found a strong upsurge in intraday volatility at the time of the release of the mon...
• To investigate linear relations, we use a generalization of the Granger–Geweke causality test, which assumes linearity and employs vector auto-regressive techniques to detect the impact of past values of a variable X t on future values of another variable Y t. In fact, it has been shown [14] that, for multivariate Gaussian variables, Granger-causal...
• This paper uncovers four main findings. First, both central banks’ interest rate decisions induce an upsurge in intraday volatility; however, the reaction of the markets appears to be more pronounced following ECB decisions than following BoE decisions

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