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Effects of the ECB's communication on government bond spreads
Camarero Garcia, Sebastian; Neugebauer, Frederik; … - 2023
This paper investigates the financial market effects of the ECB's communication on the Pandemic Emergency Purchase … Programme (PEPP). Using data for 10 euro area countries, we first analyse the impact of different communication channels such as … whether spreads react differently to communication by specific ECB Executive Board members. Markets turn out to be sensitive …
Persistent link: https://www.econbiz.de/10014330976
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A tale of four tails : inflation, the policy rate, longer-term rates, and stock prices
Anene, Dominic; D'Amico, Stefania - 2017
We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...
Persistent link: https://www.econbiz.de/10011774934
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Investor Sentiment and the Stock Market’s Reaction to Monetary Policy
Kurov, Alexander - 2011
This paper shows that monetary policy decisions have a significant effect on investor sentiment. The effect of monetary news on sentiment depends on market conditions (bull versus bear market). We also find that monetary policy actions in bear market periods have a larger effect on stocks that...
Persistent link: https://www.econbiz.de/10013134559
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Can the Fed Talk the Hind Legs Off the Stock Market?
Eijffinger, Sylvester C. W. - 2012
more by central bank communication. Our evidence suggests that central bank communication by the FOMC has an impact on …This paper analyzes the impact of US central bank communication on individual stock returns. We find a strong … conditional effect of communication on stocks. The response of equities to central bank talk depends critically on the business …
Persistent link: https://www.econbiz.de/10013114599
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What Determines the Stock Market's Reaction to Monetary Policy Statements?
Kurov, Alexander - 2012
statements. We also show state dependence in the average stock returns on days of scheduled FOMC meetings and in the impact of …
Persistent link: https://www.econbiz.de/10013105517
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Eurozone Stock Market Reactions to Unexpected ECB Monetary Policy Announcements
Filbien, Jean-Yves - 2013
To examine the Eurozone stock market reactions to European Central Bank (ECB) monetary policy announcement surprises, we study the effect of unexpected changes in the ECB's main refinancing rate on aggregate and sectorial Eurozone equity returns. We also analyse the results according to varying...
Persistent link: https://www.econbiz.de/10013093483
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When Does the Fed Care About Stock Prices?
Kurov, Alexander - 2019
We use a predictable change in the intraday volatility of index futures to identify the effect of stock returns on monetary policy. This identification approach relies on a weaker set of assumptions than required under identification through heteroskedasticity based on lower frequency data. Our...
Persistent link: https://www.econbiz.de/10012898434
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The Time Horizon of Price Responses to Quantitative Easing
Mamaysky, Harry - 2018
Studies of how quantitative easing (QE) impacts asset prices typically look for effects in one- or two-day windows around QE announcements. This methodology underestimates the impact of QE on asset classes whose responses happen outside of this short time frame. We document that QE announcements...
Persistent link: https://www.econbiz.de/10012938455
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Asset Pricing and FOMC Press Conferences
Bodilsen, Simon - 2020
A press conference (PC) organized by the Federal Open Market Committee (FOMC) followed half of the scheduled …
Persistent link: https://www.econbiz.de/10012850676
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Stock Market's Assessment of Monetary Policy Transmission : The Cash Flow Effect
Gürkaynak, Refet S. - 2019
We show that firm liability structure and associated cash flow matter for firm behavior, and that financial market participants price stocks accordingly. Looking at firm level stock price changes around monetary policy announcements, we find that firms that have more cash flow exposure see their...
Persistent link: https://www.econbiz.de/10012860569