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The reception of public signals in financial markets : what if central bank communication becomes stale?
Ehrmann, Michael; Sondermann, David - 2009
How do financial markets price new information? This paper analyzes price setting at the intersection of private and … public information, by testing whether and how the reaction of financial markets to public signals depends on the relative … importance of private information in agents’ information sets at a given point in time. It studies the reaction of UK short …
Persistent link: https://www.econbiz.de/10003963731
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Can more public information raise uncertainty? : the international evidence on forward guidance
Ehrmann, Michael; Gaballo, Gaetano; Hoffmann, Peter; … - 2019
signals, we show that the release of more precise public information about future rates lowers the informativeness of market …. However, when the increase in precision of public information is sufficiently large, uncertainty is unambiguously reduced. …
Persistent link: https://www.econbiz.de/10011997441
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Taking stock
Ehrmann, Michael; Fratzscher, Marcel - 2004
This paper analyses the effects of US monetary policy on stock markets. We find that, on average, a tightening of 50 basis points reduces returns by about 3%. Moreover, returns react more strongly when no change had been expected, when there is a directional change in the monetary policy stance...
Persistent link: https://www.econbiz.de/10009639408
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Global crises and equity market contagion
Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel - 2011
Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...
Persistent link: https://www.econbiz.de/10009380410
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Information acquisition ahead of monetary policy announcements
Ehrmann, Michael; Hubert, Paul - 2023
How do financial markets acquire information about upcoming monetary policy decisions, beyond their reaction to central … bank signals? This paper hypothesises that sharing information among investors can improve expectations, especially in the …
Persistent link: https://www.econbiz.de/10013547894
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Central bank communication by ??? : the economics of public policy leaks
Ehrmann, Michael; Gnan, Phillipp; Rieder, Kilian - 2023
Leaks of confidential information emanating from public institutions have been the focus of a long-standing line of …
Persistent link: https://www.econbiz.de/10014380707
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Central bank communication on financial stability
Born, Benjamin; Ehrmann, Michael; Fratzscher, Marcel - 2011
perceived by markets to contain relevant information, and they underline the importance of differentiating between communication …
Persistent link: https://www.econbiz.de/10009640771
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Stock return comovement when investors are distracted : more, and more homogeneous
Ehrmann, Michael; Jansen, David-Jan - 2020
This paper tests whether fluctuations in investors' attention affect stock return comovement with national and global markets, and which stocks are most affected. We measure fluctuations in investor attention using 59 high-profile soccer matches played during stock market trading hours at the...
Persistent link: https://www.econbiz.de/10012216666
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Central bank communication on financial stability
Born, Benjamin; Ehrmann, Michael; Fratzscher, Marcel - 2011
perceived by markets to contain relevant information, and they underline the importance of differentiating between communication …
Persistent link: https://www.econbiz.de/10009006629