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Learning from Prices : Public Communication and Welfare
Amador, Manuel - 2008
We study the effect of releasing public information about productivity or monetary shocks when agents learn from nominal prices. While public releases have the benefit of providing new information, they can have the cost of reducing the informational efficiency of the price system. We show that,...
Persistent link: https://www.econbiz.de/10012770589
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Gradualism in Monetary Policy : A Time-Consistency Problem?
Stein, Jeremy C.; Sunderam, Aditya - 2021
long-run target for the policy rate; and (ii) the central bank is averse to bond-market volatility. In this setting … when the central bank moves more gradually. The same desire to mitigate bond-market volatility can lead the central bank to …
Persistent link: https://www.econbiz.de/10013224344
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Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets
Swanson, Eric T. - 2017
I extend the methods of G ̈urkaynak, Sack, and Swanson (2005) to separately identify the effects of Federal Reserve forward guidance and large-scale asset purchases (LSAPs) during the 2009–15 U.S. zero lower bound (ZLB) period. I find that both forward guidance and LSAPs had substantial and...
Persistent link: https://www.econbiz.de/10012958993
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Inflation Announcements and Social Dynamics
Hachem, Kinda - 2014
We propose a new framework for understanding the effectiveness of central bank announcements when firms have heterogeneous inflation expectations. Expectations are updated through social dynamics and, with heterogeneity, not all firms choose to operate, putting downward pressure on realized...
Persistent link: https://www.econbiz.de/10013053470
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Market Set-Up in Advance of Federal Reserve Policy Decisions
van Dijk, Dick J. C. - 2014
This paper considers the uncertainty associated with upcoming Federal Open Market Committee (FOMC) announcements and the extent to which the market begins to set up for such announcements well before they actually occur. We demonstrate that markets set up well in advance of known announcement...
Persistent link: https://www.econbiz.de/10013060637
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The Power of Forward Guidance Revisited
McKay, Alisdair - 2015
In recent years, central banks have increasingly turned to “forward guidance” as a central tool of monetary policy, especially as interest rates around the world have hit the zero lower bound. Standard monetary models imply that far future forward guidance is extremely powerful: promises...
Persistent link: https://www.econbiz.de/10013029553
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Non-Monetary News in Central Bank Communication
Cieslak, Anna - 2018
We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk...
Persistent link: https://www.econbiz.de/10012911101
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The Transmission of Federal Reserve Tapering News to Emerging Financial Markets
Aizenman, Joshua - 2014
This paper evaluates the impact of tapering “news” announcements by Fed senior policy makers on financial markets in emerging economies. We apply a panel framework using daily data, and find that emerging market asset prices respond most to statements by Fed Chairman Bernanke, and much less...
Persistent link: https://www.econbiz.de/10013056858
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The Boats that Did Not Sail : Asset Price Volatility and Market Efficiency in a Natural Experiment
Koudijs, Peter - 2013
prices responded strongly to boat arrivals, but there was considerable volatility in the absence of news. The evidence …
Persistent link: https://www.econbiz.de/10013086300
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Dm-Dollar Volatility : Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
Andersen, Torben G. - 2008
This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five … announcement effects, and the volatility persistence, or ARCH effects, familiar from lower frequency returns. The different … modeled, constitute an extremely valuable and vastly underutilized resource for better understanding the volatility dynamics …
Persistent link: https://www.econbiz.de/10012774970