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Dollar Shortage, Central Bank Actions, and the Cross Currency Basis

Bottazzi, Jean-Marc - 2012

narrowing of the cross-currency basis, consistent with the theory developed in the paper …

Persistent link: https://www.econbiz.de/10013098803

Interest Rate Momentum and Monetary Policy Cycles

Hartley, Jonathan - 2020

This paper explores time series momentum in fixed income securities. Almost all countries in our large sample of 28 advanced and emerging markets have statistically significant positive time series momentum strategy returns. Shorter maturity fixed income securities have greater momentum returns...

Persistent link: https://www.econbiz.de/10012840944

Trading Behaviour and Monetary Policy News

Smales, Lee A. - 2017

This paper examines the patterns of trading behaviour, in the period surrounding monetary policy announcements. Utilizing a high-frequency data-set, with broker identifiers enabling classification of trades executed through institutional and retail brokers, I investigate all trades submitted on...

Persistent link: https://www.econbiz.de/10012971303

Monetary Shocks and Stock Returns : Identification Through the Impossible Trinity

Ozdagli, Ali - 2013

.S. stock prices. To overcome this bias, we propose a new identification method based on the "Impossible Trinity" theory which …

Persistent link: https://www.econbiz.de/10013075805

Monetary shocks and stock returns : identification through the impossible trinity

Ozdagli, Ali; Yu, Yifan - 2012

This paper attempts to identify how monetary policy shocks affect stock prices by using Mundell and Fleming's theory of … the "Impossible Trinity". According to this theory, it is impossible to simultaneously have a fixed exchange rate, free … this theory because the HK dollar has been pegged to the U.S. dollar since 1983 and Hong Kong does not impose any capital …

Persistent link: https://www.econbiz.de/10009681235

Central Bank Communication and Social Media : From Silence to Twitter

Romelli, Davide; Masciandaro, Donato; Peia, Oana - 2022

This paper discusses the evolution of central bank communication, focusing on recent efforts by central banks to engage with a wider audience via social media. We document the social media presence of major central banks and discuss how analyzing Twitter content by and about monetary policy...

Persistent link: https://www.econbiz.de/10014238784

The Impact of U.S. Central Bank Communication on European and Pacific Equity Markets

Hayo, Bernd - 2010

We examine the effects of U.S. federal funds target rate changes and all types of FOMC communication on European and Pacific equity market returns using a GARCH model. We show that both types of news have a significant impact, but that the effects are not symmetric: although several...

Persistent link: https://www.econbiz.de/10013152513

The impact of U.S. central bank communication on European and Pacific equity markets

Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2009

We examine the effects of federal funds target rate changes and all types of FOMC communication on European and Pacific equity market returns using a GARCH model. We show that both types of news have a significant statistical and economic impact, but that the effects are not symmetric: target...

Persistent link: https://www.econbiz.de/10003852262

The Response of Global Equity Indexes to U.S. Monetary Policy Announcements

Wongswan, Jon - 2005

This paper documents the impact of U.S. monetary policy announcement surprises on equity indexes in sixteen countries, covering both developed and emerging economies. Using high-frequency intraday data, I find a large and significant response of Asian, European, and Latin American equity indexes...

Persistent link: https://www.econbiz.de/10014061499

Simultaneous Monetary Policy Announcements and International Stock Markets Response : An Intraday Analysis

Hussain, Syed Mujahid - 2010

This paper investigates the return and volatility responses of major European and the US equity indices to monetary policy surprises using extensive intraday data on 5-minute price quotes along with a comprehensive dataset on monetary policy decisions and macroeconomic news. Our results show...

Persistent link: https://www.econbiz.de/10013146584