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Central Bank Communication and Correlation between Financial Markets : Canada and the United States

Beck, Melanie-Kristin - 2012

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 … communications by the Bank of Canada and the Federal Reserve significantly affect the conditional co-movement of financial markets (i …) within Canada and (ii) between Canada and the United States. We find that central bank communication significantly increases …

Persistent link: https://www.econbiz.de/10013112889

Central bank communication and correlation between financial markets : Canada and the United States

Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - 2012 - This version: 5 January 2012

We study the correlation between pairs of bond and stock markets in Canada and the United States between January 1998 … communication by the Bank of Canada and the Federal Reserve significantly affect the co-movement of financial markets. We find that … stock markets as well as between Canadian and US financial markets. -- Bank of Canada ; Central Bank Communication …

Persistent link: https://www.econbiz.de/10009409360

Central Bank Announcements and Realized Volatility of Stock Markets in G7 Countries

Lyocsa, Stefan - 2018

We investigate the impact of monetary policy announcements on stock market volatility in the U.S., Canada, Japan, the U …

Persistent link: https://www.econbiz.de/10012910263

Asymmetric Response of International Stock Markets to Fed Policy

Wang, Dennis - 2014

This paper examines the asymmetric response of international stock markets to Federal Reserve policy. We find that a hypothetical unanticipated rise in the federal funds rate target has a negative effect on international stock returns in the bull market. This is consistent with the discount...

Persistent link: https://www.econbiz.de/10013053464

Inflation, equity market volatility, and bond prices : evidence from G7 countries

Chen, Yu-Fen; Chiang, Thomas C.; Lin, Fu-Lai - In: Risks : open access journal 11 (2023) 11, pp. 1-22

This study examines the impacts of the US inflation rate on the bond prices of G7 countries across different maturities using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model, a GED-GARCH (1,1) procedure, is adopted to deal with...

Persistent link: https://www.econbiz.de/10014436363

Dynamic linkages between the monetary policy variables and stock market in the presence of structural breaks : evidence from India

Moizz, Abdul; Akhtar, S. M. Jawed - In: Asian journal of economics and banking : AJEB 8 (2024) 3, pp. 391-411

Purpose - The study aims to determine the long and short-term causal relationships between the variables associated with the adjustment of monetary policy and the stock market in India in the presence of structural breaks. Design/methodology/approach - The study employed the autoregressive...

Persistent link: https://www.econbiz.de/10015163511

Federal Reserve Private Information and the Stock Market

Lakdawala, Aeimit; Schaffer, Matthew - 2019

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...

Persistent link: https://www.econbiz.de/10014121896

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2017

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...

Persistent link: https://www.econbiz.de/10012953959

Monetary Policy through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2017

We study the importance of production networks for the transmission of macroeconomic shocks using the stock market reaction to monetary policy shocks as a laboratory. We decompose the overall effect of monetary policy shocks into a direct effect and a network effect and attribute 50 to 85...

Persistent link: https://www.econbiz.de/10012956564

Monetary Policy Through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2019

Persistent link: https://www.econbiz.de/10012903810