The impact of FOMC statements on the volatility of asset prices
AbstractThis article examines the impact of Federal Open Market Committee (FOMC) statements on asset prices. Statements are found to have a much more pronounced impact on the volatility of asset prices than interest rate surprises. They influence primarily stock returns, intermediate and long-term yields, whereas short-term rates are driven both by statements and by interest rate surprises. We also find that the regime shift of May 1999 has improved the effectiveness of monetary policy, as reflected in an overall reduction in market volatility during the most recent regime. In addition, markets are equally well-prepared for the upcoming rate decision in both regimes, but the process of adjustment depends on whether a statement was issued in the old regime or not. When a statement is issued, price adjustments are very similar across both periods, whereas if no statement is issued then the rate of adjustment towards the new value is more gradual and occurs throughout the entire intermeeting period.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. 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.
Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics.
Volume (Year): 45 (2013)
Issue (Month): 10 (April)
Contact details of provider:
Web page: http://www.tandfonline.com/RAEC20
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.