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Monetary Policy Surprises and Exchange Rate Behavior
Gürkaynak, Refet S. - 2020
, rather than appreciate as predicted by standard models. We document this for Fed and ECB policy days using eventstudies and …
Persistent link: https://www.econbiz.de/10012822502
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Does money matter in the ECB strategy? : New evidence based on ECB communication
Berger, Helge; de Haan, Jakob; Sturm, Jan-Egbert - 2006
We examine the role of money in the policies of the ECB, using introductory statements of the ECB President at the … somewhat more important in the later half of the sample, only played a minor role most of the time. Our estimates of ECB … interest rate decisions suggest that the ECB's words (monetary-sector based policy intensions) are not an important determinant …
Persistent link: https://www.econbiz.de/10010261407
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The Fed's Response to Economic News Explains the 'Fed Information Effect'
Bauer, Michael - 2020
High-frequency changes in interest rates around FOMC announcements are a standard method of measuring monetary policy shocks. However, some recent studies have documented puzzling effects of these shocks on private-sector forecasts of GDP, unemployment, or inflation that are opposite in sign to...
Persistent link: https://www.econbiz.de/10012839776
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The Monetary Policy of the ECB: A Robin Hood Approach?
Drometer, Marcus; Siemsen, Thomas; Watzka, Sebastian - 2013
decision rule of the ECB, we rank different rules according to their ability to aggregate the national counterfactual paths to …
Persistent link: https://www.econbiz.de/10010292709
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Monetary Policy and the Stock Market: Time-Series Evidence
Neuhierl, Andreas; Weber, Michael - 2016
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10011584898
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Measuring Euro Area Monetary Policy
Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three …
Persistent link: https://www.econbiz.de/10012052805
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Quantitative or Qualitative Forward Guidance: Does it Matter?
Detmers, Gunda-Alexandra; Karagedikli, Özer; Moessner, … - 2018
Every monetary policy decision by the Reserve Bank of New Zealand (RBNZ) is accompanied by a written statement about the state of the economy and the policy outlook, but only every second decision by a published interest rate forecast. We exploit this difference to study the relative influences...
Persistent link: https://www.econbiz.de/10011932064
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Monetary Policy Surprises and Exchange Rate Behavior
Gürkaynak, Refet S.; Kara, A. Hakan; Kisacikoglu, Burcin; … - 2020
, rather than appreciate as predicted by standard models. We document this for Fed and ECB policy days using eventstudies and …
Persistent link: https://www.econbiz.de/10012314844
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Monetary Momentum
Neuhierl, Andreas; Weber, Michael - 2017
We document a large return drift around monetary policy announcements by the Federal Open Market Committee. Stock returns start drifting up 25 days before expansionary monetary policy surprises, whereas they decrease before contractionary surprises. The cumulative return difference across...
Persistent link: https://www.econbiz.de/10011744954
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Quantitative Easing in the Euro Area - An Event Study Approach
Urbschat, Florian; Watzka, Sebastian - 2017
declining degree to which the ECB surprised markets and the increasingly burdensome institutional set-up of the APP. While yield …
Persistent link: https://www.econbiz.de/10011777574