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The reception of public signals in financial markets : what if central bank communication becomes stale?
Ehrmann, Michael; Sondermann, David - 2009
-term interest rates to the Bank of England's inflation report and to macroeconomic announcements. Due to the quarterly frequency at … predicts that, the more time has elapsed since the latest release of an inflation report, market volatility should increase … evidence is fully supportive of these hypotheses. -- Public signals ; inflation reports ; monetary policy ; interest rates …
Persistent link: https://www.econbiz.de/10003963731
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The Reception of Public Signals in Financial Markets – What if Central Bank Communication Becomes Stale?
Ehrmann, Michael - 2011
-term interest rates to the Bank of England's inflation report and to macroeconomic announcements. Due to the quarterly frequency at … predicts that, the more time has elapsed since the latest release of an inflation report, market volatility should increase …
Persistent link: https://www.econbiz.de/10013131218
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The Reception of Public Signals in Financial Markets : What if Central Bank Communication Becomes Stale?
Ehrmann, Michael - 2009
-term interest rates to the Bank of England's inflation report and to macroeconomic announcements. Due to the quarterly frequency at … predicts that, the more time has elapsed since the latest release of an inflation report, market volatility should increase …
Persistent link: https://www.econbiz.de/10013157672
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Non-Monetary News in Central Bank Communication
Cieslak, Anna - 2019
We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk...
Persistent link: https://www.econbiz.de/10012896694
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Monetary Policy Slope and the Stock Market
Neuhierl, Andreas - 2018
We construct a slope factor from changes in federal funds futures of different horizons. A positive slope signals faster monetary policy tightening and predicts negative excess returns at the weekly frequency. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10012935261
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Oil Shock Transmission to Stock Market Returns : Wavelet-Multivariate Markov Switching GARCH Approach
Jammazi, Rania - 2011
Since oil prices are typically governed by nonlinear and chaotic behavior, it's become rather difficult to capture the dominant properties of their fluctuations. In recent years, unprecedented interest emerged on the decomposition methods in order to capture drifts or spikes relatively to this...
Persistent link: https://www.econbiz.de/10013132614
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013115149
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Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
Bollerslev, Tim - 2012
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013109053
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Price Discovery in Government Bond Markets
Valseth, Siri - 2012
This paper investigates the process of price discovery in government bond markets. By using a new data set including interdealer trades, customer trades, trade types and dealer identities, the paper explores the role of dealers in the price formation process and seeks to identify their sources...
Persistent link: https://www.econbiz.de/10013112534
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Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2021
This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...
Persistent link: https://www.econbiz.de/10012655372