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Monetary policy surprises, central bank information shocks, and economic activity in a small open economy
Laséen, Stefan - 2020
In this paper I study the effects of monetary policy on economic activity and asset prices in Sweden, separately identifying the effects of a conventional policy change from effects of new information about economic fundamentals. Recent research has shown that high-frequency changes in policy...
Persistent link: https://www.econbiz.de/10012309007
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Asset Price Reactions to News at the Zero Lower Bound
Zhou, John - 2015
This paper analyzes the reaction of interest rates and the stock market to macroeconomic news announcements (MNAs) at the zero lower bound (ZLB). I start by using a shadow rate term structure model to formulate three predictions for the sensitivity of interest rates to MNAs. First,...
Persistent link: https://www.econbiz.de/10013033476
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Monetary policy surprises and exchange rate behavior
Gürkaynak, Refet S.; Kara, Ali Hakan; Kısacıkoğlu, … - 2020
condition on multiple asset prices in the event study and model implications for these. We find that there is heterogeneity in …
Persistent link: https://www.econbiz.de/10012285739
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Monetary policy surprises and exchange rate behavior
Gürkaynak, Refet S.; Kara, Ali Hakan; Kısacıkoğlu, … - 2020
condition on multiple asset prices in the eventstudy and model implications for these. We find that there is heterogeneity in …
Persistent link: https://www.econbiz.de/10012287994
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Properties of the Monetary Conditions Index
Grande, Giuseppe - 2010
In recent years increasing use has been made in monetary policy analysis of the so-called Monetary Conditions Index (MCI). The index is defined as a linear combination of changes in a short-term real interest rate and in the real effective exchange rate, whose coefficients are equal to the...
Persistent link: https://www.econbiz.de/10013141924
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Central Bank Information Shocks, Value Gains, and Value Crashes
Adra, Samer; Menassa, Elie - 2021
Monetary policy shocks that convey new macroeconomic information are significant predictors of both the absolute and risk-adjusted returns from value investing. Positive Fed information shocks lead to higher subsequent value returns. Crashes in the returns of value investing are most likely to...
Persistent link: https://www.econbiz.de/10013231644
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Missing events in event studies : identifying the effects of partially-measured news surprises
Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Wright, … - 2018
Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...
Persistent link: https://www.econbiz.de/10011900777
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Not so fast : high-frequency financial data for macroeconomic event studies
Ozdagli, Ali - 2013
and other asset prices (stocks and Treasuries) on FOMC announcement dates, a relationship widely studied in high … significantly more strongly to monetary policy shocks on FOMC announcement dates that overlap with other macroeconomic announcements …
Persistent link: https://www.econbiz.de/10010236186
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Social value of public information: testing the limits to transparency
Ehrmann, Michael; Fratzscher, Marcel - 2007
FOMC decisions as well as the future policy path. Second, the effectiveness of communication is found to depend on the … Svensson (2006). First, the paper finds that the precision of communication is a key determinant of the predictability of both … communication to be flexible and adjust to market conditions in order for central banks to achieve their ultimate objectives. …
Persistent link: https://www.econbiz.de/10011604867
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The quest for prosperity without inflation
Orphanides, Athanasios - 1999
In recent years, activist monetary policy rules responding to inflation and the level of economic activity have been advanced as a means of achieving effective output stabilization without inflation. Advocates of such policies suggest that their flexibility may yield substantial stabilization...
Persistent link: https://www.econbiz.de/10011584494