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Words that shake traders : the stock market's reaction to central bank communication in real time
Rosa, Carlo - In: Journal of empirical finance 18 (2011) 5, pp. 915-934
Persistent link: https://www.econbiz.de/10009492524
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Who pays the liquidity cost? : central bank announcements and adverse selection
Ryu, Doojin; Webb, Robert I.; Yu, Jinyoung - In: The journal of futures markets 43 (2023) 7, pp. 904-924
Persistent link: https://www.econbiz.de/10014293266
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Starting from a blank page? : semantic similarity in central bank communication and market volatility
Ehrmann, Michael; Talmi, Jonathan - 2017
. It shows that similar press releases generate less market volatility, but that more substantial textual changes after a … sequence of very similar statements lead to much larger volatility. …
Persistent link: https://www.econbiz.de/10011637411
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Central bank information shocks and exchange rates
Franz, Thorsten - 2020 - This version: February 2020
The dynamic effects of ECB announcements, disentangled into pure monetary policy and central bank information shocks, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency data. Contractionary monetary policy shocks result...
Persistent link: https://www.econbiz.de/10012180641
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Central bank actions and words : the intraday effects of FOMC policy communications on individual equity volatility and returns
Jubinski, Daniel; Tomljanovich, Marc - In: The financial review : the official publication of the … 52 (2017) 4, pp. 701-724
Persistent link: https://www.econbiz.de/10011771291
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Does central bank transparency deter the exchange rate volatility? : new evidence from Asian emerging markets
Shamsi, Muhammad Aftab; Mehmood, Ahsan - In: Journal of central banking theory and practice 12 (2023) 2, pp. 133-163
Exchange rate volatility has emerged as a significant chal-lenge for Asian emerging markets since the adoption of the … liberalization process. This study examines the influence of central banktransparency on exchange rate volatility using a sample of … has a stabilizing effect onexchange rate volatility, and this effect remains even after controlling for various internal …
Persistent link: https://www.econbiz.de/10014316656
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Monetary policy predictability in the euro area : an international comparison
Wilhelmsen, Bjørn-Roger; Zaghini, Andrea - In: Applied economics 43 (2011) 19/21, pp. 2533-2544
Persistent link: https://www.econbiz.de/10009379696
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Starting from a blank page? : semantic similarity in central bank communication and market volatility
Ehrmann, Michael; Talmi, Jonathan - 2016
releases with larger differences in wording lead to higher volatility in financial markets, suggesting that their content is … volatility, once their wording is updated, volatility increases substantially. …
Persistent link: https://www.econbiz.de/10011517131
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Monetary policy and stock returns under the MPC and inflation targeting
Chortareas, Georgios E.; Noikokyris, Emmanouil - In: International review of financial analysis 31 (2014), pp. 109-116
Persistent link: https://www.econbiz.de/10010461531
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Monetary policy predictability in the Euro area : an international comparison
Wilhelmsen, Bjørn-Roger; Zaghini, Andrea - 2005
Persistent link: https://www.econbiz.de/10003106397