Table 8 Europe—averaged abnormal returns (AARs) over each day of the 5-day event window per monetary policy announcement categorisation

Interest rate policy events

− 0.04%

− 0.41%

0.30%

0.06%

− 0.19%

Positive: negative AARs

111:159

114:156

121:149

165:105

132:138

Patell test

8.20E − 01

7.00E − 04

1.95E − 02

8.70E − 01

1.67E − 01

Generalized sign Z test

1.05E − 02

2.84E − 02

1.80E − 01

1.00E − 04

9.99E − 01

Cross sectional test

7.58E − 01

6.10E − 03

6.15E − 02

7.66E − 01

1.63E − 01

Generalized rank Z test

3.10E − 01

9.60E − 03

8.68E − 01

7.10E − 03

5.80E − 01

Skewness corrected test

7.70E − 01

6.60E − 03

4.18E − 02

8.02E − 01

1.51E − 01

CDA test

9.13E − 02

3.02E − 46

1.44E − 29

1.30E − 02

6.93E − 15

Foreign exchange policy events

− 0.59%

0.07%

0.29%

− 0.03%

0.06%

Positive: negative AARs

129:141

128:142

153:117

127:143

129:141

Patell test

6.15E − 08

2.18E − 01

2.50E − 03

4.50E − 01

3.49E − 01

Generalized sign Z test

5.69E − 01

4.90E − 01

1.87E − 02

4.17E − 01

5.69E − 01

Cross sectional test

9.00E − 04

6.96E − 01

1.34E − 01

8.55E − 01

7.34E − 01

Generalized rank Z test

8.62E − 02

9.43E − 01

7.46E − 02

4.59E − 01

7.25E − 01

Skewness corrected test

1.00E − 04

6.85E − 01

1.53E − 01

8.44E − 01

7.29E − 01

CDA test

1.14E − 73

1.40E − 03

3.00E − 29

1.44E − 01

7.80E − 03

Lending operations policy events

0.78%

− 0.64%

0.64%

− 0.78%

− 0.17%

Positive: Negative AARs

64:44:00

40:68

50:58:00

56:52:00

54:54:00

Patell test

8.85E − 08

5.30E − 03

0.00E + 00

1.18E − 10

1.69E − 01

Generalized sign Z test

4.43E − 02

9.10E − 03

4.94E − 01

6.38E − 01

9.31E − 01

Cross sectional test

4.90E − 03

5.75E − 02

6.70E − 02

5.66E − 02

6.04E − 01

Generalized rank Z test

2.20E − 03

4.93E − 02

3.55E − 01

1.13E − 01

6.99E − 01

Skewness corrected test

4.40E − 03

6.49E − 02

3.88E − 02

3.90E − 02

5.91E − 01

CDA test

3.44E − 37

1.32E − 27

1.84E − 27

1.20E − 36

9.00E − 04

Asset purchase policy events

0.11%

− 0.54%

0.38%

0.05%

− 0.13%

Positive: negative AARs

78:102

72:108

83:97

115:65

80:100

Patell test

1.10E − 01

1.00E − 04

1.82E − 02

9.57E − 01

8.06E − 01

Generalized sign Z test

1.17E − 01

1.38E − 02

4.11E − 01

1.00E − 04

2.04E − 01

Cross sectional test

6.00E − 01

2.40E − 02

1.27E − 01

8.71E − 01

5.32E − 01

Generalized rank Z test

4.09E − 01

1.00E − 02

7.66E − 01

8.01E − 02

3.66E − 01

Skewness corrected test

5.95E − 01

2.84E − 02

1.04E − 01

8.90E − 01

5.45E − 01

CDA test

4.00E − 04

1.09E − 45

8.99E − 28

9.88E − 02

1.00E − 04

Other policy events

− 1.63%

− 0.28%

0.93%

− 1.10%

− 1.84%

Positive: negative AARs

02:16

08:10

16:02

02:16

01:17

Patell test

4.00E − 04

7.41E − 01

7.67E − 02

3.01E − 02

3.00E − 04

Generalized sign Z test

1.60E − 03

7.45E − 01

6.00E − 04

1.60E − 03

3.00E − 04

Cross sectional test

0.00E + 00

3.58E − 01

2.00E − 04

0.00E + 00

2.85E − 06

Generalized rank Z test

5.30E − 07

6.01E − 01

3.64E − 06

7.90E − 07

1.00E − 09

Skewness corrected test

1.00E − 04

3.18E − 01

3.48E − 06

7.91E − 07

7.52E − 08

CDA Test

1.11E − 06

4.01E − 01

4.70E − 03

9.00E − 04

4.96E − 08