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Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024

Existing high-frequency monetary policy shocks explain surprisingly little variation in stock prices and exchange rates around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non-announcement times. We use a heteroskedasticity-based procedure to...

Persistent link: https://www.econbiz.de/10014576665

Intraday effect of news on emerging European forex markets : an event study analysis

Kočenda, Evžen; Moravcova, Michala - 2016

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an Event Study Methodology to analyze intra-day data from 2011-2015. Our...

Persistent link: https://www.econbiz.de/10011568576

Intraday effect of news on emerging European forex markets : an event study analysis

Kočenda, Evžen; Moravcová, Michala - 2018

We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011-2015. Our...

Persistent link: https://www.econbiz.de/10011902959

Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022

We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation …. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why … financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on …

Persistent link: https://www.econbiz.de/10013210100

Stock market evidence on the international transmission channels of US monetary policy surprises

Maurer, Tim Dominik; Nitschka, Thomas - 2021

This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...

Persistent link: https://www.econbiz.de/10012520011

Inferring Equity Durations Around FOMC Surprises : Estimates and Implications

Chen, Zhanhui - 2020

Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel...

Persistent link: https://www.econbiz.de/10012851441

Bank of Canada communication, media coverage, and financial market reactions

Hayo, Bernd; Neuenkirch, Matthias - 2010

We examine the impact of Bank of Canada communications and media reporting on them on Canadian (short- and medium-term) bond and stock market returns using a GARCH model. Communications are rather uniformly distributed over the sample period (1998–2006); however, media coverage is particularly...

Persistent link: https://www.econbiz.de/10003980577

Public information arrival and investor reaction during a period of institutional change : an episode of early years of a newly independent central bank

Brzeszczyński, Janusz; Kutan, Ali Mustafa - In: Journal of comparative economics : the journal of the … 43 (2015) 3, pp. 727-753

Persistent link: https://www.econbiz.de/10011567620

Intraday effect of news on emerging European forex markets : an event study analysis

Kočenda, Evžen; Moravcová, Michala - In: Economic systems 42 (2018) 4, pp. 597-615

Persistent link: https://www.econbiz.de/10012257289

The Dynamics of Investors’ Reactions to Informal Central Bank Communications

Galloppo, Giuseppe; Caiazza, Stefano; Fiordelisi, Franco; … - 2021

Central bank informal communications became more frequent and acquired more mass media attention after the global financial crisis. Do investors react to the content (e.g., future expansionary or restrictive policy) of informal central bank communications? And especially, do investors have a...

Persistent link: https://www.econbiz.de/10013214650