Heterogeneous Effects of ECB Monetary Policy on Financial Markets

: A Study of Spillovers and Mutual Funds Behavior

Résumé

This thesis investigates how European Central Bank (ECB) monetary policy influences financial markets and market participants, with a special focus on European equity mutual funds. Drawing on both conventional and unconventional measures since 2000, it highlights how rate changes, large-scale asset purchases, forward guidance, and ECB communication impact asset prices and mutual fund manager behavior. Given the broad consequences of monetary policy decisions, understanding how financial actors respond to ECB policies is crucial for market stability and effective monetary policy implementation.
Chapter 1 provides a general overview of financial markets responses to ECB monetary policies, employing a large-scale time-varying parameter vector-autoregression model to uncover heterogeneous spillover effects on asset prices, driven by both asset characteristics and specific monetary policy actions. Chapter 2 exploits a large dataset of mutual fund portfolio holdings, revealing that managers respond to non-standard measures by reallocating toward safer, larger stocks and reinforcing familiar investment styles. Finally, Chapter 3 uses granular monthly portfolio holdings at the stock level to examine the tone of ECB press conferences. With this highly detailed database, it demonstrates that dovish signals lead to stronger portfolio rebalancing than hawkish ones, emphasizing the additional influence of ECB communication beyond standard monetary policy tools.
These findings point out the critical role of ECB actions and communication in shaping market dynamics and systemic stability. By connecting macro-financial analysis with granular investor-level data, this thesis provides a nuanced perspective on how the ECB’s evolving toolkit shapes modern finance. It underscores the importance of each action and clear communication in preserving market stability, while reminding investors of the need to remain consistently attuned to the ECB’s actions, expectations, and concerns.

la date de réponse	17 févr. 2025
langue originale	Anglais
L'institution diplômante	Universite de Namur
Sponsors	FSR-FNRS
Superviseur	Jean-Yves Gnabo (Promoteur), Sophie Béreau (Copromoteur), Corentin Burnay (Président), Oscar Bernal Diaz (Jury), Arnaud Dufays (Jury) & Jean-Baptiste Hasse (Jury)