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A tale of four tails : inflation, the policy rate, longer-term rates, and stock prices

Anene, Dominic; D'Amico, Stefania - 2017

We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...

Persistent link: https://www.econbiz.de/10011774934

Central bank communication and correlation between financial markets : Canada and the United States

Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - 2012 - This version: 5 January 2012

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2006 in the framework of Diagonal-BEKK models. Our research question is whether monetary policy action and communication by the Bank of Canada and the Federal...

Persistent link: https://www.econbiz.de/10009409360

Monetary policy through production networks : evidence from the stock market

Ozdagli, Ali; Weber, Michael - 2017 - This version: May 2017

Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...

Persistent link: https://www.econbiz.de/10011657891

Monetary policy through production networks : evidence from the stock market

Ozdagli, Ali; Weber, Michael - 2017 - This version: October, 2017

Monetary policy shocks have a large impact on stock prices during narrow time windows centered around press releases by the FOMC. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and a network effect. We attribute 50 to 85 percent of...

Persistent link: https://www.econbiz.de/10011770624

U.S. Monetary Policy and Stock Prices : Should the Fed Attempt to Control Stock Prices?

Tatom, John - 2009

This article rejects the linkages in proposals that the Federal Reserve Bank (Fed) target equity prices. The real federal funds rate (RFF) and stock prices (SP) are uncorrelated; causality tests show a positive effect of SP on RFF and a negative effect of SP on RFF. These results occur as part of...

Persistent link: https://www.econbiz.de/10013153036

Quantitative Easing and US Stock Prices

Villanueva, Miguel - 2015

Conventional wisdom is that unconventional monetary policy a.k.a. Quantitative Easing (QE) pursued by the Federal Reserve has helped sustain and even boost U.S. stock market prices in the aftermath of the Global Financial Crisis. By design, QE has supported long-term Treasury bond prices and put...

Persistent link: https://www.econbiz.de/10013016054

Central Bank Communication and Correlation between Financial Markets : Canada and the United States

Beck, Melanie-Kristin - 2012

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 and December 2009 in the framework of diagonal-BEKK models. Our research question is whether monetary policy actions and communications by the Bank of Canada and the Federal...

Persistent link: https://www.econbiz.de/10013112889

Monetary policy, COVID-19 immunization, and risk in the US stock markets

Baek, Seungho; Lee, Kwan Yong - In: Cogent economics & finance 10 (2022) 1, pp. 1-12

We examine how monetary policy of the Federal Reserve System, COVID-19 mortality cases, and vaccinations are associated with the US stock market volatility during the pandemic period. Using the wavelet coherence analysis, we first find that there is a positive relationship between the volatility...

Persistent link: https://www.econbiz.de/10014500407

Non-Monetary News in Central Bank Communication

Cieslak, Anna - 2019

We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk...

Persistent link: https://www.econbiz.de/10012896694

Did the Bank of Japan’s Purchases of Exchange-Traded Funds Affect Stock Prices? A Synthetic Control Approach

Aono, Kohei; Gunji, Hiroshi; Nakata, Hayato - 2021

This study investigates the effect of the Bank of Japan’s large-scale exchange-traded fund purchasing program since … group and estimate the time-series data of the synthetic stock price index of Japan. The results show that the index in … Japan had increased gradually relative to the synthetic Japanese index from 2013. This result suggests that the Bank of …

Persistent link: https://www.econbiz.de/10013241426