We develop a simple approach to identify economic news and monetary shocks at a high frequency. The approach is used to examine financial market developments in the United States following the Federal Reserve’s May 22, 2013 taper talk suggesting that it would begin winding down its...

The sensitivity of secondary sovereign loan market returns to three classes of economic news is estimated in the arbitrage pricing theory framework. Returns are characterized by a limited response to unexpected changes in procyclical U.S. aggregates. Shocks to country-specific balance of payment...

The COVID-19 pandemic led many emerging market central banks to adopt, for the first time, unconventional policies in the form of asset purchase programs. In this study, we analyze the effects of these announcements on domestic financial markets using both event studies and local projections...

Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window....

This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The...

Publication of minutes of monthly monetary policy meetings between the Chancellor of the Exchequer and the Governor of the Bank of England was a conspicuous feature of the United Kingdom’s inflation targeting framework from 1994 through April 1997. It was intended to reinforce credibility by...

We examine the impact of renminbi revaluation on foreign firm valuations, considering two surprise announcements of changes in China’s exchange rate policy in 2005 and 2010 and employing data on some 6,000 firms in 44 economies. Stock returns rise with renminbi revaluation expectations. This...