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Communication matters : US monetary policy and commodity price volatility
Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2011 - This version: March 4, 2011
Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility … bank communication during the recent financial crisis: the "calming" effect of communication found for the whole sample is … partly offset during that period. -- Central Bank Communication ; Commodities ; Federal Reserve Bank ; Monetary Policy …
Persistent link: https://www.econbiz.de/10008859667
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Repo market effects of the term securities lending facility
Fleming, Michael J.; Hrung, Warren B.; Keane, Frank M. - 2010
The Term Securities Lending Facility (TSLF) was introduced by the Federal Reserve to promote liquidity in the financing markets for Treasury and other collateral. We evaluate one aspect of the program — the extent to which it has narrowed repo spreads between Treasury collateral and less...
Persistent link: https://www.econbiz.de/10003948796
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Communication Matters : U.S. Monetary Policy and Commodity Price Volatility
Hayo, Bernd - 2011
Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility … bank communication during the recent financial crisis: the “calming” effect of communication found for the whole sample is …
Persistent link: https://www.econbiz.de/10013128878
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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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Tweeting on monetary policy and market sentiments : the Central Bank Surprise Index
Masciandaro, Donato; Romelli, Davide; Rubera, Gaia - 2020
This paper explores the relationship between central bank communication and market sentiment,and proposes a new measure …
Persistent link: https://www.econbiz.de/10012210744
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Do financial markets learn from ECB monetary policy?
Filbien, Jean-Yves; Labondance, Fabien - In: Economics Letters 120 (2013) 2, pp. 271-275
This article examines the magnitude of stock market reactions to European Central Bank (ECB) monetary policy announcements. Since the introduction of the ECB, declining absolute abnormal returns have been compatible with the theory that stock markets learn from ECB monetary policy. In...
Persistent link: https://www.econbiz.de/10010678835
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The effects of monetary policy on stock returns: Financing constraints and “informative” and “uninformative” FOMC statements
Tsai, Chun-Li - In: International Review of Economics & Finance 29 (2014) C, pp. 273-290
We use firm-level data to reexamine the issue of possibly different impacts of “informative” and “uninformative” FOMC … monetary shocks based on the informative FOMC statements; there is little evidence to show that stock returns respond to …
Persistent link: https://www.econbiz.de/10011048245
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Can the Fed talk the Hind Legs off the Stock Market? (replaces CentER DP 2011-072)
Eijffinger, Sylvester; Mahieu, Ronald; Raes, Louis - Tilburg University, Center for Economic Research - 2012
' forecasts. In bad times monetary policy communication inducing an upward revision of the path of future policy is good news for … critically on the business cycle. There are strong industry specific effects of monetary policy actions and communication. These …
Persistent link: https://www.econbiz.de/10011090377
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Respuesta del retorno accionario a la politica monetaria: Evidencia para el mercado chileno
Acuña, Andres A.; Pinto, Cristian F. - Volkswirtschaftliche Fakultät, … - 2012
This paper analyzes the response of the stock market returns to monetary policy decisions by the Central Bank of Chile. It adopts the event-study methodology in order to gauge the influence of anticipated and unanticipated changes in the Chilean monetary policy interest rate (TPM), decided in...
Persistent link: https://www.econbiz.de/10011108637
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Communication Matters: U.S. Monetary Policy and Commodity Price Volatility
Hayo, Bernd; Kutan, Ali M.; Neuenkirch, Matthias - Volkswirtschaft Abteilung, Fachbereich … - 2011
Using a GARCH model, we analyze the influence of U.S. monetary policy action and communication on the price volatility … bank communication during the recent financial crisis: the “calming” effect of communication found for the whole sample is …
Persistent link: https://www.econbiz.de/10008854696