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Has the inclusion of forward-looking statements in monetary policy communications made the Bank of Canada more transparent?
Fay, Christine; Gravelle, Toni - 2010
To investigate the extent to which the transparency of the Bank of Canada's monetary policy has improved, the authors examine empirically - over the period 30 October 2000 to 31 May 2007 - the reaction of Canadian financial markets to official Bank communications, and in particular their...
Persistent link: https://www.econbiz.de/10010289714
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Heterogeneous life-cycle profiles, income risk and consumption inequality
Primiceri, Giorgio E.; van Rens, Thijs - 2007
transitory shocks? The implications for consumption and welfare depend crucially on the answer to this question. We use CEX … repeated cross-section data on consumption and income to decompose idiosyncratic changes in income into predictable life … evolution of consumption and income inequality well and delivers two main results. First, we find that permanent changes in …
Persistent link: https://www.econbiz.de/10010276396
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The information content of money in forecasting Euro area inflation
Berger, Helge; Stavrev, Emil - 2008
This paper contributes to the debate on the role of money in monetary policy by analyzing the information content of money in forecasting euro-area inflation. We compare the predictive performance within and among various classes of structural and empirical models in a consistent framework using...
Persistent link: https://www.econbiz.de/10010299146
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Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data
Steiner, Christian; Groß, Anne; Entorf, Horst - 2009
point of view, the main innovation lies in disentangling 'good' macroeconomics news from 'bad' news, and, simultaneously …
Persistent link: https://www.econbiz.de/10010298727
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The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report
Hautsch, Nikolaus; Hess, Dieter - 2002
This paper delineates the simultaneous impact of non-anticipated information on mean and variance of the intraday return process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the consistent...
Persistent link: https://www.econbiz.de/10010324062
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Information shocks, jumps, and price discovery: Evidence from the US Treasury market
Jiang, George J.; Lo, Ingrid; Verdelhan, Adrien - 2008
We examine large price changes, known as jumps, in the U.S. Treasury market. Using recently developed statistical tools, we identify price jumps in the 2-, 3-, 5-, 10-year notes and 30-year bond during the period of 2005-2006. Our results show that jumps mostly occur during prescheduled...
Persistent link: https://www.econbiz.de/10010279914
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The implied-realized volatility relation with jumps in underlying asset prices
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005
volatility when forecasting subsequently realized return volatility, and it appears to be an unbiased forecast. Furthermore …
Persistent link: https://www.econbiz.de/10010290416
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Stock prices and economic fluctuations: a Markov switching structural vector autoregressive analysis
Lanne, Markku; Luetkepohl, Helmut - 2008
The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector autoregressions and investigate different identification schemes for bi-variate...
Persistent link: https://www.econbiz.de/10010264444
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Asset price shocks, real expenditures, and financial structure: a multi-country analysis
Chirinko, Robert S.; de Haan, Leo; Sterken, Elmer - 2008
This paper examines the responses of private consumption, residential investment, and business investment in 11 EU … structure. We are thus able to document the importance of a wealth/balance sheet channel for private consumption and residential …
Persistent link: https://www.econbiz.de/10010274043
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Stock Market Dispersion, Sectoral Shocks, and the German Business Cycle
Döpke, Jörg; Pierdzioch, Christian - 2000
This paper elaborates on the relative importance of sectoral shocks for real economic activity in Germany. Implications of multisectoral real business cycle models are examined by resorting to testing techniques based on stock market returns. The empirical evidence is obtained by calculating...
Persistent link: https://www.econbiz.de/10010260560