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The low frequency effects of macroeconomic news on government bond yields

Altavilla, Carlo; Giannone, Domenico; Modugno, Michele - 2014

Persistent link: https://www.econbiz.de/10010434072

Do actions speak louder than words? : The response of asset prices to monetary policy actions and statements

Gürkaynak, Refet S.; Sack, Brian; Swanson, Eric T. - 2004

Persistent link: https://www.econbiz.de/10002455560

The high-frequency impact of news on long-term yields and forward rates : is it real?

Beechey, Meredith Jane; Wright, Jonathan H. - 2008

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The information content of stress test announcements

Guerrieri, Luca; Modugno, Michele - 2021

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Level shifts in beta, spurious abnormal returns and the TARP announcement

Phin, Andrew; Prono, Todd; Reeves, Jonathan J.; Saxena, … - 2018

Using high frequency data, we develop an event study method to test for level shifts in beta and measure abnormal returns for events that produce such level shifts. Using this method, we estimate abnormal returns for the Troubled Asset Relief Program (TARP) announcement and find that its...

Persistent link: https://www.econbiz.de/10012016622