Do actions speak louder than words? The response of asset prices to monetary policy actions and statements
dc.citation.epage | 93 | en_US |
dc.citation.issueNumber | 1 | en_US |
dc.citation.spage | 55 | en_US |
dc.citation.volumeNumber | 1 | en_US |
dc.contributor.author | Gürkaynak, R. S. | en_US |
dc.contributor.author | Sack, B. | en_US |
dc.contributor.author | Swanson, E. T. | en_US |
dc.date.accessioned | 2019-02-13T10:30:49Z | |
dc.date.available | 2019-02-13T10:30:49Z | |
dc.date.issued | 2005 | en_US |
dc.department | Department of Economics | en_US |
dc.description.abstract | We 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.provenance | Submitted 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.provenance | Made 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: 2005 | en |
dc.identifier.doi | 10.2139/ssrn.633281 | en_US |
dc.identifier.eissn | 1815-7556 | |
dc.identifier.issn | 1815-4654 | |
dc.identifier.uri | http://hdl.handle.net/11693/49415 | |
dc.language.iso | English | en_US |
dc.publisher | Federal Reserve Board | en_US |
dc.relation.isversionof | http://dx.doi.org/10.2139/ssrn.633281 | en_US |
dc.source.title | International Journal of Central Banking | en_US |
dc.subject | Measuring monetary policy surprises | en_US |
dc.subject | FOMC statement | en_US |
dc.subject | Factor models | en_US |
dc.subject | Assest prices | en_US |
dc.title | Do actions speak louder than words? The response of asset prices to monetary policy actions and statements | en_US |
dc.type | Article | en_US |
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