This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

What Color is Alan Greenspan's Tie? How Central Bank Policy Announcements Have Changed Financial Markets

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Aleksandar Murdzhev (Colgate University)
Marc Tomljanovich () (Drew University)
Abstract

The 1990s witnessed dramatic improvements in transparency across a wide spectrum of central banks. Though these changes appeared motivated by political factors, did corresponding financial markets gain economic efficiency by the revealing of additional policy information? We employ time-series techniques to study six developed economies from 1990 to 2003, focusing on the daily impacts of policy announcements on both debt and equity markets. We find that for all six countries, market participants have been better able to anticipate central bank policy decisions since the move to greater transparency, helping to improve market efficiency as well as to reduce the outside lags associated with monetary policy. These results hold strongly for both bond and stock markets, and are robust to alternate modeling specifications.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://college.holycross.edu/eej/Volume32/V32N4P571_593.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Article provided by Eastern Economic Association in its journal Eastern Economic Journal.

Volume (Year): 32 (2006)
Issue (Month): 4 (Fall)
Pages: 571-593
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eej:eeconj:v:32:y:2006:i:4:p:571-593

Contact details of provider:
Postal: c/o Iona College, 715 North Avenue, New Rochelle, New York 10801-1890 USA
Phone: (914) 633-2088
Fax: (914) 633-2549
Email:
Web page: http://www.iona.edu/eea/
More information through EDIRC

Order Information:
Postal: Dr. Mary H. Lesser, Department of Economics, Iona College, New Rochelle, NY 10801-1890
Email:
Web: http://www.iona.edu/eea/publications/subandmem.htm

For technical questions regarding this item, or to correct its listing, contact: (Victor Matheson, College of the Holy Cross).

Related research
Keywords:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Jonathan Coppel & Ellis Connolly, 2003. "What Do Financial Market Data Tell Us About Monetary Policy Transparency?," RBA Research Discussion Papers rdp2003-05, Reserve Bank of Australia. [Downloadable!]
  2. Eijffinger, Sylvester C W & Hoeberichts, Marco, 2002. "Central Bank Accountability and Transparency: Theory and Some Evidence," International Finance, Blackwell Publishing, vol. 5(1), pages 73-96, Spring. [Downloadable!] (restricted)
    Other versions:
  3. William Poole & Robert H & Rasche & Daniel L. Thornton, 2002. "Market anticipations of monetary policy actions," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 65-94. [Downloadable!]
  4. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
    Other versions:
  5. John Y. Campbell & Luis Viceira, 2005. "The Term Structure of the Risk-Return Tradeoff," NBER Working Papers 11119, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. King, Mervyn, 1997. "Changes in UK monetary policy: Rules and discretion in practice," Journal of Monetary Economics, Elsevier, vol. 39(1), pages 81-97, June. [Downloadable!] (restricted)
  7. Goodfriend, Marvin, 1986. "Monetary mystique: Secrecy and central banking," Journal of Monetary Economics, Elsevier, vol. 17(1), pages 63-92, January. [Downloadable!] (restricted)
    Other versions:
  8. Joel T. Krueger & Kenneth N. Kuttner, 1995. "The Fed funds futures rate as a predictor of Federal Reserve policy," Working Paper Series, Macroeconomic Issues 95-4, Federal Reserve Bank of Chicago.
  9. Daniel L. Thornton, 1996. "Does the Fed's new policy of immediate disclosure affect the market?," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 77-88. [Downloadable!]
  10. Jon Faust & Lars E.O. Svensson, 1999. "The equilibrium degree of transparency and control in monetary policy," International Finance Discussion Papers 651, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  11. Tabellini, Guido, 1987. "Secrecy of Monetary Policy and the Variability of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(4), pages 425-36, November. [Downloadable!] (restricted)
    Other versions:
  12. Campbell, John Y & Shiller, Robert J, 1991. "Yield Spreads and Interest Rate Movements: A Bird's Eye View," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 495-514, May. [Downloadable!] (restricted)
    Other versions:
  13. Muller, P. & M. Zelmer, 1999. "Greater Transparency in Monetary Policy: Impact on Financial Markets," Technical Reports 86, Bank of Canada. [Downloadable!]
  14. John B. Carlson & Jean M. McIntire & James B. Thomson, 1995. "Federal funds futures as an indicator of future monetary policy: a primer," Economic Review, Federal Reserve Bank of Cleveland, issue Q I, pages 20-30. [Downloadable!]
  15. Selva Demiralp & Òscar Jordà, 2002. "The announcement effect: evidence from open market desk data," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 29-48. [Downloadable!]
    Other versions:
  16. 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!]
  17. Marc D. Hayford & A. G. Malliaris, 2004. "Monetary Policy and the U.S. Stock Market," Economic Inquiry, Oxford University Press, vol. 42(3), pages 387-401, July. [Downloadable!] (restricted)
  18. Adam S. Posen, 2002. "Does it pay to be transparent? international evidence form central bank forecasts - commentary," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 119-126. [Downloadable!]
  19. Georgios Chortareas & David Stasavage & Gabriel Sterne, . "Does it pay to be transparent? International evidence from central bank forecasts," Bank of England working papers 143, Bank of England. [Downloadable!]
    Other versions:
  20. Petra M. Geraats, 2002. "Central Bank Transparency," Economic Journal, Royal Economic Society, vol. 112(483), pages 532-565, November. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? You can use convenient plug-ins to search directly IDEAS from your browser.

This page was last updated on 2009-12-13.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.