In this paper we quantitatively analyse monetary policy statements of the Reserve Bank of India (RBI) from 1998 to 2017, across the regimes of five governors. We first ask whether the content and focus of the statements have changed with the adoption of inflation-targeting as a framework for...

Economists often say that certain types of assets, e.g., Treasury bonds, are very 'liquid'. Do they mean that these assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory), or that they can be easily sold in a secondary market,...

We use firm-level data to reexamine the issue of possibly different impacts of “informative” and “uninformative” FOMC statements on stock returns in the period from 1999 to 2007. Our paper finds that stock returns respond significantly to surprise monetary shocks based on the informative...

We study the response of stock prices to monetary policy, distinguishing effects of exogenous shocks from "Delphic" shocks that reveal the Federal Reserve's macroeconomic forecasts. To decompose monetary policy surprises into these separate components we construct a measure of Federal Reserve...

This paper documents a negative relationship between pre-FOMC announcement returns and post-FOMC announcement returns, independent of the state of the economy and sample period. We propose and test a reversal strategy consisting in buying (selling) E-Mini S&P 500 just before the announcement, if...

We discover a novel monetary policy shock that has a widespread impact on aggregate financial conditions and market confidence. Our shock can be summarized by the response of long-horizon yields to Federal Open Market Committee (FOMC) announcements; not only is it orthogonal to changes in the...

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...

This paper scrutinizes the impact of monetary policy in emerging markets. We developed DSGE model Business Cycle Model incorporate to stock market modeling to prove the hypothesized the effectiveness of monetary policy on stock market liquidity in emerging economies such as Indonesia

The monetary policy shocks have been widely regarded to have effects on the financial markets. Before the 2008 financial crisis, the Federal Reserve adjusted the federal funds target rate to implement the monetary policy. This paper uses event studies to examine the relationship between the...

Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...