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From Free Markets to Fed Markets : How Unconventional Monetary Policy Impacts Equity Markets

Putniņš, Tālis J. - 2020

In response to the COVID-19 pandemic, the US Federal Reserve almost doubled its balance sheet by adding $3 trillion of assets (13% of GDP) in the space of three months, constituting the most aggressive unconventional monetary policy on record. We show that these actions had a substantial effect...

Persistent link: https://www.econbiz.de/10012831878

Explaining Monetary Policy in Press Conferences

Ehrmann, Michael; Fratzscher, Marcel - 2021

The question how best to communicate monetary policy decisions remains a highly topical issue among central banks. Focusing on the experience of the European Central Bank, this paper studies how explanations of monetary policy decisions at press conferences are perceived by financial markets....

Persistent link: https://www.econbiz.de/10013317047

Geography or Skills : What Explains Fed Watchers' Forecast Accuracy of Us Monetary Policy?

Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - 2021

financial market volatility after FOMC meetings. Finally, Fed communication may exert an influence on forecast accuracy …The paper shows that there is a substantial degree of heterogeneity in forecast accuracy among Fed watchers. Based on a … novel database for 268 professional forecasters since 1999, the average forecast error of FOMC decisions varies 5 to 10 …

Persistent link: https://www.econbiz.de/10013317363

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

ECB announcements and stock market volatility

Neugebauer, Frederik - 2019

This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday data for 8 different stock market indices. Second, a range...

Persistent link: https://www.econbiz.de/10012286218

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

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...

Persistent link: https://www.econbiz.de/10012009157

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

Persistent link: https://www.econbiz.de/10012029090

Stock market's assessment of monetary policy transmission : the cash flow effect

Gürkaynak, Refet S.; Karasoy-Can, Hatice Gökçe; Lee, … - 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/10012113833

Measuring euro area monetary policy

Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019

Persistent link: https://www.econbiz.de/10012015831