Similar Search Results

Central Bank Transparency and Financial Market Expectations : The Case of Emerging Markets

Neuenkirch, Matthias - 2013

In this paper, we study how central bank transparency influences the formation of money market expectations in emerging markets. The sample covers 25 countries for the period from January 1998 to December 2009. We find, first, that transparency reduces the bias (the difference between the money...

Persistent link: https://www.econbiz.de/10013092453

The Privilege of Eligibility : Announcement Effects and Spillovers of the ECB's Corporate Sector Purchase Program

Gnan, Phillipp - 2020

This paper examines the immediate impact that the unexpected announcement of the ECB's Corporate Sector Purchase Program on March 10, 2016 had on corporate bond prices. Employing a differences-in-differences specification augmented to a spatial autoregressive model, the impact of the CSPP...

Persistent link: https://www.econbiz.de/10012844149

Monetary Policy Surprises and Exchange Rate Behavior

Gürkaynak, Refet S. - 2020

Central banks unexpectedly tightening policy rates often observe the exchange value of their currency depreciate, rather than appreciate as predicted by standard models. We document this for Fed and ECB policy days using eventstudies and ask whether an information effect, where the public...

Persistent link: https://www.econbiz.de/10012822502

Global Financial Market Impact of the Announcement of the Ecb's Extended Asset Purchase Programme

Georgiadis, Georgios - 2017

We estimate the impact of the ECB's announcement of the extended asset purchase programme (EAPP) on 22 January 2015 on global equity prices, bond yields and the euro exchange rate. We find that the EAPP announcement benefited global financial markets by boosting equity prices in the euro area...

Persistent link: https://www.econbiz.de/10012971231

Central Bank Transparency and Financial Market Expectations : The Case of Emerging Markets

Neuenkirch, Matthias - 2015

Persistent link: https://www.econbiz.de/10013013746

Can central bank communication help to stabilise inflation expectations?

Jung, Alexander; Kühl, Patrick - 2021

This paper examines whether central bank communication stabilises euro area inflation expectations through the … visitors' attention to its communication. We conduct several econometric tests with daily data to measure the impact of ECB … communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that …

Persistent link: https://www.econbiz.de/10012511097

Estimating Fed's unconventional policy shocks

Jarociński, Marek - 2021

Fed's monetary policy announcements convey a mix of news about different kinds of conventional and unconventional policies and about the economy. Financial market responses to these announcements are very leptokurtic: often tiny, but sometimes large. I estimate the underlying structural shocks...

Persistent link: https://www.econbiz.de/10012607553

Systemic Importance of Central Bank Communication : ECB Policy Announcements and Systemic Risk in the Eurozone

Möller, Rouven - 2020

This paper studies central bank communication of the ECB as a potential factor that explains the contribution to … able to use central bank communication to effectively steer private sector expectations in such a way that it has a robust … to be more sensitive towards the effects of central bank communication. More specifically, larger banks and highly …

Persistent link: https://www.econbiz.de/10012829038

The Fed's response to economic news explains the "Fed information effect”

Bauer, Michael D.; Swanson, Eric T. - 2020

High-frequency changes in interest rates around FOMC announcements are a standard method of measuring monetary policy shocks. However, some recent studies have documented puzzling effects of these shocks on private-sector forecasts of GDP, unemployment, or inflation that are opposite in sign to...

Persistent link: https://www.econbiz.de/10012174827

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