Asset prices and expected monetary policy: evidence from daily data
This article explores the relationships among Libor, gold prices, the exchange rate, oil prices, fed funds futures prices and stock prices at a daily frequency. This article examines whether expected monetary policy, measured by changes in the prices of fed funds futures contracts, reacts to high frequency changes in asset prices and, in turn, whether asset prices respond to changes in expected monetary policy. The article reveals that there are statistically significant relationships between expected US monetary policy and shocks to Libor and exchange rates. It also reveals that there is no evidence of a systematic relationship between stock prices and expected monetary policy changes. Splitting the data into expansionary and recessionary periods using NBER dating, we find results for the expansionary periods that are very similar to the results for the entire period. For the periods of recession, we find little evidence of significant linkages between markets.
Year of publication: |
2014
|
---|---|
Authors: | Ivrendi, Mehmet ; Pearce, Douglas K. |
Published in: |
Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 46.2014, 9, p. 985-995
|
Publisher: |
Taylor & Francis Journals |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Asset prices and expected monetary policy : evidence from daily data
Ivrendi, Mehmet, (2014)
-
Output fluctuations: transitory or permanent? : the case of Latin America
Güloğlu, Bülent, (2010)
-
Monetary shocks, exchange rates and trade balances : evidence from inflation targeting countries
Ivrendi, Mehmet, (2010)
- More ...