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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 factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012029090
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Monetary momentum
Neuhierl, Andreas; Weber, Michael - 2017 - This version: August 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/10011721601
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Central bank policies and financial markets : lessons from the Euro crisis
Mody, Ashoka; Nedeljkovic, Milan - 2018 - This version: November 20, 2018
The European Central Bank (ECB) took many measures to combat the eurozone's rolling financial crisis. For providing desperately scarce dollars to eurozone banks, the ECB relied on the U.S. Federal Reserve. Using a novel econometric framework, we identify financial markets' response to the...
Persistent link: https://www.econbiz.de/10011942687
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The Fed's response to economic news explains the "Fed information effect”
Bauer, Michael D.; Swanson, Eric T. - 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/10012174827
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Quantitative or qualitative forward guidance : does it matter?
Detmers, Gunda-Alexandra; Karagedikli, Özer; Moessner, … - 2018
that only include written statements. We interpret our results as implying that central bank communication is important …, but that the exact form of that communication is less critical. Our results are also consistent with market participants …
Persistent link: https://www.econbiz.de/10011926064
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Central bank communication with the general public
Dräger, Lena - 2023
This paper surveys the literature on the role and effects of central bank communication with the general public … "communication revolution" in central bank communication. The challenges for central bank communication with the public are outlined … evaluate the effects of direct communication, distinguishing between challenges to getting the attention of the public and …
Persistent link: https://www.econbiz.de/10014384011
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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/10011566444
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Market-based monetary policy uncertainty
Bauer, Michael D.; Lakdawala, Aeimit; Mueller, Philippe - 2019
This paper investigates the role of monetary policy uncertainty for the transmission of FOMC actions to financial markets using a novel model-free measure of uncertainty based on derivative prices. We document a systematic pattern in monetary policy uncertainty over the course of the FOMC...
Persistent link: https://www.econbiz.de/10012001886
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Causal effects of the Fed's large-scale asset purchases on firms' capital structure
Nocera, Andrea; Pesaran, M. Hashem - 2022
This paper investigates the short- and long-term impacts of the Federal Reserve's large-scale asset purchases (LSAPs) on the capital structure of U.S. non-financial firms. To isolate the effects of LSAPs from the impact of concurrent macroeconomic conditions, we exploit cross-industry variations...
Persistent link: https://www.econbiz.de/10013176956
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Quantitative easing in the euro area : an event study approach
Urbschat, Florian; Watzka, Sebastian - 2017
We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....
Persistent link: https://www.econbiz.de/10011743065