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Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market

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Author Info
Bomfim, Antulio N.
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File URL: http://www.sciencedirect.com/science/article/B6VCY-477FRWX-4/2/7394f98194b9f6a7df0c051a41e92e17
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 27 (2003)
Issue (Month): 1 (January)
Pages: 133-151
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Handle: RePEc:eee:jbfina:v:27:y:2003:i:1:p:133-151

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  1. Donald L. Kohn & Brian P. Sack, 2003. "Central bank talk: does it matter and why?," Finance and Economics Discussion Series 2003-55, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  2. Gropp, Reint Eberhard & Kadareija, Arjan, 2007. "Stale information, shocks and volatility," ZEW Discussion Papers 07-012, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    Other versions:
  3. Bredin, Don & Hyde, Stuart & O'Reilly, Gerard, 2005. "European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response," Research Technical Papers 10/RT/05, Central Bank & Financial Services Authority of Ireland (CBFSAI). [Downloadable!]
    Other versions:
  4. Konstantin Kholodilin & Alberto Montagnoli & Oreste Napolitano & Boriss Siliverstovs, 2008. "Assessing the impact of the ECB’s monetary policy on the stock markets: A sectoral view," KOF Working papers 08-213, KOF Swiss Economic Institute, ETH Zurich. [Downloadable!]
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  5. Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2006. "Market-based measures of monetary policy expectations," Working Paper Series 2006-04, Federal Reserve Bank of San Francisco. [Downloadable!]
    Other versions:
  6. Andrew Swiston, 2007. "Where Have the Monetary Surprises Gone? The Effects of FOMC Statements," IMF Working Papers 07/185, International Monetary Fund. [Downloadable!]
  7. Giorgio Valente, 2005. "US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore," Working Papers 092005, Hong Kong Institute for Monetary Research. [Downloadable!]
  8. Silvio Colarossi & Andrea Zaghini, 2007. "Gradualism, Transparency and Improved Operational Framework: A Look at the Overnight Volatility Transmission," CFS Working Paper Series 2007/16, Center for Financial Studies. [Downloadable!]
  9. Daniel L. Thornton, 2009. "The identification of the response of interest rates to monetary policy actions using market-based measures of monetary policy shocks," Working Papers 2009-037, Federal Reserve Bank of St. Louis. [Downloadable!]
  10. Angelos Kanas, 2005. "Pure contagion effects in international banking: The case of BCCI’s failure," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 101-123, May. [Downloadable!]
  11. Bjørn-Roger Wilhelmsen & Andrea Zaghini, 2005. "Monetary policy predictability in the euro area: An international comparison," Working Paper 2005/7, Norges Bank. [Downloadable!]
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