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Measuring Euro Area Monetary Policy
Altavilla, Carlo - 2019
speeches. To carry out the analysis, we construct the Euro Area Monetary Policy Event-Study Database (EA-MPD). This database …, is a contribution on its own right and we expect it to be the standard in monetary policy research for the euro area …
Persistent link: https://www.econbiz.de/10012867012
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Monetary Policy Surprises and Exchange Rate Behavior
Gürkaynak, Refet S. - 2020
that the central bank is signaling by its policy may explain the abnormality. It turns out that many informational …
Persistent link: https://www.econbiz.de/10012822502
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Stock Market's Assessment of Monetary Policy Transmission : The Cash Flow Effect
Gürkaynak, Refet S. - 2019
We show that firm liability structure and associated cash flow matter for firm behavior, and that financial market participants price stocks accordingly. Looking at firm level stock price changes around monetary policy announcements, we find that firms that have more cash flow exposure see their...
Persistent link: https://www.econbiz.de/10012860569
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A Reassessment of Monetary Policy Surprises and High-Frequency Identification
Bauer, Michael D.; Swanson, Eric T. - 2022
High-frequency changes in interest rates around FOMC announcements are an important tool for identifying the effects of monetary policy on asset prices and the macroeconomy. However, some recent studies have questioned both the exogeneity and the relevance of these monetary policy surprises as...
Persistent link: https://www.econbiz.de/10013293850
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Measuring Euro Area Monetary Policy
Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019
speeches. To carry out the analysis, we construct the Euro Area Monetary Policy Event-Study Database (EA-MPD). This database …, is a contribution on its own right and we expect it to be the standard in monetary policy research for the euro area. …
Persistent link: https://www.econbiz.de/10012052805
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Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises
Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Wright, … - 2018
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10011931979
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Money Is the Root of Asset Bubbles
Awaya, Yu; Iwasaki, Kohei; Watanabe, Makoto - 2024
This paper examines how monetary expansion causes asset bubbles. When there is no monetary expansion, a bubbly asset is not created due to a hold-up problem. Monetary expansion increases buyers' money holdings, and then, dealers are willing to buy a worthless asset from sellers, in hopes of...
Persistent link: https://www.econbiz.de/10014534470
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Monetary Policy Surprises and Exchange Rate Behavior
Gürkaynak, Refet S.; Kara, A. Hakan; Kisacikoglu, Burcin; … - 2020
that the central bank is signaling by its policy may explain the abnormality. It turns out that many informational …
Persistent link: https://www.econbiz.de/10012314844
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Measuring Market Expectations
Baumeister, Christiane - 2021
Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market's rational assessment of future price and policy...
Persistent link: https://www.econbiz.de/10012658011
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Monetary Policy with Diverse Private Expectations
Kurz, Mordecai; Motolese, Maurizio; Piccillo, Giulia; … - 2015
volatility of variables to be non monotone in policy parameters. (iii) When beliefs are diverse a central bank must also consider …. Efficient central bank policy must therefore be moderate. (iv) Optimism about the future typically lowers aggregate output and … persistence of central bank's deviations from a fixed rule will contribute to stability. (vi) Belief dispersion is measured by …
Persistent link: https://www.econbiz.de/10010500419