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Monetary policy announcements, information schocks, and exchange rate dynamics
Gründler, Daniel; Mayer, Eric; Scharler, Johann - 2021
We study nominal exchange rate dynamics in the aftermath of U.S. monetary policy announcements. Using high-frequency interest rate and stock price movements around FOMC announcements, we distinguish between pure monetary policy shocks and information shocks, which are associated with new...
Persistent link: https://www.econbiz.de/10012591177
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The Effect of Macroeconomic Announcements on Credit Markets : An Autometric General-to-Specific Analysis of the Greenspan Era
Forest, James J. - 2018
I show that a congruent, parsimonious, encompassing model discovered using David Hendry's econometric modelling approach and Autometrics can overcome the many inadequacies of the typical static models of US Treasury returns regressed on macroeconomic announcements. The typical specification...
Persistent link: https://www.econbiz.de/10012928522
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Fed Tails : FOMC Announcements and Stock Market Uncertainty
Beckmeyer, Heiner; Branger, Nicole; Gruenthaler, Thomas - 2021
Uncertainty and monetary policy decisions in the U.S. interact with one another. Contrary to the common notion that FOMC announcements resolve a non-trivial amount of economic uncertainty, we find that the announcement commands a sizable left-tail premium, which builds up a few days in advance....
Persistent link: https://www.econbiz.de/10013228844
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Monetary Policy Surprises, Investment Opportunities, and Asset Prices
Detzel, Andrew L. - 2019
Recent evidence shows that monetary policy announcements convey significant information about expected market returns and are therefore good candidates for innovations in intertemporal-asset pricing state variables. I propose an asset pricing model with the market return and a mimicking...
Persistent link: https://www.econbiz.de/10012904527
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The FOMC risk shift
Kroencke, Tim-Alexander; Schmeling, Maik; Schrimpf, Andreas - 2021 - This version: January 25, 2021
We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call "risk shifts", are uncorrelated, and therefore complementary, to risk-free rate surprises. We show that (i) risk shifts capture the lion's share of...
Persistent link: https://www.econbiz.de/10012424574
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Portfolio Balance Effects and the Federal Reserve's Large-Scale Asset Purchases
Emmerling, Thomas - 2018
consistent with conventual theory whereas bond effects appear to be an anomaly. Such findings represent novel insight for …
Persistent link: https://www.econbiz.de/10012938004
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Inferring Equity Durations Around FOMC Surprises : Estimates and Implications
Chen, Zhanhui - 2020
Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel...
Persistent link: https://www.econbiz.de/10012851441
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Stock Return Skewness and the Cross Section of Monetary Policy Announcement Premiums
Chue, Timothy K.; Li, Gang; Chen, Sipeng - 2023
We find that the FOMC-announcement-day return premium earned by a firm is positively related to the increase in its ex ante, option-implied skewness prior to the announcement. This finding is consistent with: (1) the existence of an announcement-day Fed put that is partially anticipated by the...
Persistent link: https://www.econbiz.de/10014350063
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Bank of England interest rate announcements and the foreign exchange market
Melvin, Michael; Saborowski, Christian; Sager, Michael; … - 2009
. Daily data reveal significant differences in volatility on the last of three meeting days when the interest rate … macroeconomic news effects on the foreign exchange market. We find evidence for non-linear regime switching between a high-volatility …, informed-trading state and a low-volatility, liquidity-trading state. MPC surprise announcements are shown significantly to …
Persistent link: https://www.econbiz.de/10003831967
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The Impact of Domestic and International Monetary Policy News on U.S. and German Bank Stocks
Kim, Suk-Joong - 2013
) lowers (raises) returns and raises volatility in the majority of cases. On the other hand, ECB news generally increases bank … stock volatility in the U.S. but has little impact within its own domestic banking industry. Whilst our results for the U …
Persistent link: https://www.econbiz.de/10013075033