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Are Sticky Prices Costly? Evidence from the Stock Market
Gorodnichenko, Yuriy - 2017
We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for …
Persistent link: https://www.econbiz.de/10012974569
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Communicating with many tongues : FOMC speeches and US financial market reaction
Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2008
This paper studies the effects of FOMC communication on U.S. financial markets’ returns and volatility using a GARCH … and volatility is larger if the communication channel is more formal. However, since speeches happen much more often than …
Persistent link: https://www.econbiz.de/10003864447
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FOMC communication and emerging equity markets
Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2009
equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market … reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets …
Persistent link: https://www.econbiz.de/10003852244
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Monetary policy uncertainty and stock market volatility
Ma, Chaoqun; Hsiao(Xiao), Shisong; Zhang, Ting; Deng, Liurui - 2022
The paper investigates the effect of monetary policy uncertainty on stock market volatility. Higher monetary … uncertainty leads to lower stock market volatility both in sample and out of sample. Monetary policy uncertainty matters more for … the volatility of big firms, profitable firms and past winner firms. The channel of future cash flow volatility helps …
Persistent link: https://www.econbiz.de/10013307935
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Risk, monetary policy and asset prices in a global world
Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023
We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the...
Persistent link: https://www.econbiz.de/10014483035
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Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
Delle Monache, Davide - 2020
In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012842441
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012156426
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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/10012622575
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Beyond the Yield Curve : Understanding the Effect of FOMC Announcements on the Stock Market
Boehm, Christoph; Kroner, Niklas - 2021
A large literature uses high-frequency changes in interest rates around FOMC announcements to study monetary policy. These yield changes have puzzlingly low explanatory power for the stock market - even in a narrow 30-minute window. We propose a new approach to test whether the unexplained...
Persistent link: https://www.econbiz.de/10013236450
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On the macroeconomic effects of reinvestments in asset purchase programmes
Gerke, Rafael; Kienzler, Daniel; Scheer, Alexander - 2022
A feature of recent monetary policy asset purchase programmes is the reinvestment policy: the central bank announces to keep the overall volume of assets on its balance sheet constant for some time. In this paper, we systematically assess the macroeconomic effects of such reinvestment policies....
Persistent link: https://www.econbiz.de/10013460153