Do actions speak louder than words? The response of asset prices to monetary policy actions and statements

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dc.citation.epage93en_US
dc.citation.issueNumber1en_US
dc.citation.spage55en_US
dc.citation.volumeNumber1en_US
dc.contributor.authorGürkaynak, R. S.en_US
dc.contributor.authorSack, B.en_US
dc.contributor.authorSwanson, E. T.en_US
dc.date.accessioned2019-02-13T10:30:49Z
dc.date.available2019-02-13T10:30:49Z
dc.date.issued2005en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractWe investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor-changes in the federal funds rate target - and find that they are not. Instead, we find that two factors are required. These factors have a structural interpretation as a "current federal funds rate target" factor and a "future path of policy" factor, with the latter closely associated with Federal Open Market Committee statements. We measure the effects of these two factors on bond yields and stock prices using a new intraday data set going back to 1990. According to our estimates, both monetary policy actions and statements have important but differing effects on asset prices, with statements having a much greater impact on longer-term Treasury yields.en_US
dc.description.provenanceSubmitted by Zeynep Aykut (zeynepay@bilkent.edu.tr) on 2019-02-13T10:30:49Z No. of bitstreams: 1 Do_actions_speak_louder_than_words_the_response_of_asset_prices_to_monetary_policy_actions_and_statements.pdf: 342108 bytes, checksum: 62ba896c047069d93d91f5bff07f38e5 (MD5)en
dc.description.provenanceMade available in DSpace on 2019-02-13T10:30:49Z (GMT). No. of bitstreams: 1 Do_actions_speak_louder_than_words_the_response_of_asset_prices_to_monetary_policy_actions_and_statements.pdf: 342108 bytes, checksum: 62ba896c047069d93d91f5bff07f38e5 (MD5) Previous issue date: 2005en
dc.identifier.doi10.2139/ssrn.633281en_US
dc.identifier.eissn1815-7556
dc.identifier.issn1815-4654
dc.identifier.urihttp://hdl.handle.net/11693/49415
dc.language.isoEnglishen_US
dc.publisherFederal Reserve Boarden_US
dc.relation.isversionofhttp://dx.doi.org/10.2139/ssrn.633281en_US
dc.source.titleInternational Journal of Central Bankingen_US
dc.subjectMeasuring monetary policy surprisesen_US
dc.subjectFOMC statementen_US
dc.subjectFactor modelsen_US
dc.subjectAssest pricesen_US
dc.titleDo actions speak louder than words? The response of asset prices to monetary policy actions and statementsen_US
dc.typeArticleen_US

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