We estimate the effects of anticipated and unanticipated monetary policy changes on jump activity by employing high frequency non-parametric jump detection methods. We find that anticipated changes in the Fed funds have no significant effect on jumps. In contrast, jumps in the second moments of...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

We find substantial positive average stock returns after FOMC announcements accompanied by the release of the Summary of Economic Projections (SEP) and press conference by the Fed Chair. Both SEPs and press conferences contain new information that moves financial markets. We show that several...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

One of the positive effects of the financial crises is the increasing concern of the supervisors regarding the financial system's stability. There is a need to strengthen the links between different financial components of the financial system and the macroeconomic environment. Banking systems...