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The Money Supply Announcements Puzzle: Review and Interpretation

Citations

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Cited by:

  1. Bernanke, Ben S. & Mihov, Ilian, 1998. "The liquidity effect and long-run neutrality," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 149-194, December.
  2. Chiang, Thomas C., 2021. "Spillovers of U.S. market volatility and monetary policy uncertainty to global stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  3. Kameda, Keigo, 2014. "Budget deficits, government debt, and long-term interest rates in Japan," Journal of the Japanese and International Economies, Elsevier, vol. 32(C), pages 105-124.
  4. Rik Hafer & Richard G. Sheehan, 1987. "On the response of interest rates to unexpected weekly money: are policy changes important?," Working Papers 1987-005, Federal Reserve Bank of St. Louis.
  5. Norrbin, Stefan, 2001. "What Have We Learned from Empirical Tests of the Monetary Transmission Effect," Working Paper Series 121, Sveriges Riksbank (Central Bank of Sweden).
  6. Jones, Charles M. & Lamont, Owen & Lumsdaine, Robin L., 1998. "Macroeconomic news and bond market volatility," Journal of Financial Economics, Elsevier, vol. 47(3), pages 315-337, March.
  7. Goto, Shingo, 2000. "The Fed's Effect on Excess Returns and Inflation is Much Bigger Than You Think," University of California at Los Angeles, Anderson Graduate School of Management qt04f1z5hb, Anderson Graduate School of Management, UCLA.
  8. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
  9. Paudyal, Krishna & Saldanha, Liesl, 1997. "Stock returns and volatility in two regime markets: International evidence," International Review of Financial Analysis, Elsevier, vol. 6(3), pages 209-228.
  10. Corsetti, Giancarlo & Lafarguette, Romain & Mehl, Arnaud, 2019. "Fast trading and the virtue of entropy: evidence from the foreign exchange market," Working Paper Series 2300, European Central Bank.
  11. Faust, Jon & Rogers, John H. & Wang, Shing-Yi B. & Wright, Jonathan H., 2007. "The high-frequency response of exchange rates and interest rates to macroeconomic announcements," Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1051-1068, May.
  12. Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2016. "The US Monetary Base and Major World Equity Markets: An Empirical Investigation," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 49-64, August.
  13. Medovikov, Ivan, 2016. "When does the stock market listen to economic news? New evidence from copulas and news wires," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 27-40.
  14. Timothy Q. Cook & Steve Korn, 1991. "The reaction of interest rates to the employment report: the role of policy anticipations," Economic Review, Federal Reserve Bank of Richmond, vol. 77(Sep), pages 3-12.
  15. Lindsay I. Hogan & Peter J. Urban & V. V. Anh, 1985. "A Vector Autoregressive Forecasting Model of The US$/$A Exchange Rate," Australian Journal of Management, Australian School of Business, vol. 10(2), pages 47-65, December.
  16. Rafael R. Rebitzky, 2010. "The Influence Of Fundamentals On Exchange Rates: Findings From Analyses Of News Effects," Journal of Economic Surveys, Wiley Blackwell, vol. 24(4), pages 680-704, September.
  17. Sun, Rongrong, 2020. "Monetary policy announcements and market interest rates’ response: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 113(C).
  18. Ito, Takatoshi & Roley, V. Vance, 1987. "News from the U.S. and Japan : Which moves the yen/dollar exchange rate?," Journal of Monetary Economics, Elsevier, vol. 19(2), pages 255-277, March.
  19. Sanjay Ramchander & Marc Simpson & Mukesh Chaudhry, 2003. "The impact of inflationary news on money market yields and volatilities," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 27(1), pages 85-101, March.
  20. James Ming Chen, 2017. "Systematic Risk in the Macrocosm," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 239-274, Palgrave Macmillan.
  21. Peter Sellin, 2001. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
  22. Jay Prag, 1994. "Money Supply Announcements And Interest Sensitive Stocks," Review of Financial Economics, John Wiley & Sons, vol. 3(2), pages 130-140, March.
  23. Michael Joyce & Vicky Read, 2002. "Asset price reactions to RPI announcements," Applied Financial Economics, Taylor & Francis Journals, vol. 12(4), pages 253-270.
  24. Kearney, Adrienne A., 1996. "The effect of changing monetary policy regimes on stock prices," Journal of Macroeconomics, Elsevier, vol. 18(3), pages 429-447.
  25. Ivan Medovikov, 2014. "When does the stock market listen to economic news? New evidence from copulas and news wires," Papers 1410.8427, arXiv.org.
  26. Phylaktis, Kate & Ravazzolo, Fabiola, 2005. "Stock prices and exchange rate dynamics," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1031-1053, November.
  27. Goodfriend, Marvin, 1986. "Monetary mystique: Secrecy and central banking," Journal of Monetary Economics, Elsevier, vol. 17(1), pages 63-92, January.
  28. Takatoshi Ito & V. Vance Roley, 1988. "Intraday Yen/Dollar Exchange Rate Movements: News or Noise?," NBER Working Papers 2703, National Bureau of Economic Research, Inc.
  29. Erol, Umit & Balkan, Erol M., 1996. "How financial markets process money information: A re-examination of evidence using band spectrum regression," Journal of Macroeconomics, Elsevier, vol. 18(4), pages 639-656.
  30. Gamber, Edward N. & Hakes, David R., 1995. "Do shifts in federal reserve policy regimes explain interest rate anomalies?," Journal of Macroeconomics, Elsevier, vol. 17(2), pages 227-240.
  31. Wael Bousselmi & Patrick Sentis & Marc Willinger, 2018. "Impact of the Brexit vote announcement on long-run market performance," CEE-M Working Papers hal-01954920, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
  32. Daniel L. Thornton, 2019. "Resolving the unbiasedness and forward premium puzzles," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 5-27, February.
  33. Michael J. Fleming & Eli M. Remolona, 1997. "What moves the bond market?," Economic Policy Review, Federal Reserve Bank of New York, vol. 3(Dec), pages 31-50.
  34. Gerald P. Dwyer & Rik Hafer, 1989. "Interest rates and economic announcements," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 34-46.
  35. Richard A. Ajayi & Mbodja Mougouė, 1996. "On The Dynamic Relation Between Stock Prices And Exchange Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(2), pages 193-207, June.
  36. Birz, Gene, 2017. "Stale economic news, media and the stock market," Journal of Economic Psychology, Elsevier, vol. 61(C), pages 87-102.
  37. Hodgson, Allan & Kremmer, Michael L. & Lee, Shane, 1998. "Endogenous and exogenous determinants of interest rates," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 249-263, September.
  38. Ram Chandra Bhattarai & Nayan Krishna Joshi, 2009. "Dynamic Relationship among the Stock Market and the Macroeconomic Factors," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 10(2), pages 451-469, July.
  39. Kitchen, John, 1996. "Domestic and international financial market responses to Federal deficit announcements," Journal of International Money and Finance, Elsevier, vol. 15(2), pages 239-254, April.
  40. Tang, Xiaobo & Yao, Xingyuan, 2018. "Do financial structures affect exchange rate and stock price interaction? Evidence from emerging markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 64-76.
  41. Michael T. Belongia & Rik Hafer & Richard G. Sheehan, 1986. "A note on the temporal stability of the interest rate-weekly money relationship," Working Papers 1986-002, Federal Reserve Bank of St. Louis.
  42. Bahram Adrangi & Hannah Baade & Kambiz Raffiee, 2019. "Dynamic Responses of the Economy to Monetary Shocks in the United Kingdom," Review of Economics & Finance, Better Advances Press, Canada, vol. 15, pages 31-45, February.
  43. Bedri Tas, 2004. "Private information of the Fed, predictability of stock returns and expected monetary policy," Money Macro and Finance (MMF) Research Group Conference 2003 100, Money Macro and Finance Research Group.
  44. V. Vance Roley, 1986. "The Response of Interest Rates to Money Announcements under Alternative Operating Prosedures and Reserve Requirement Systems," NBER Working Papers 1812, National Bureau of Economic Research, Inc.
  45. Mohammad Najand, 1991. "A Test Of The Risk Premium Hypothesis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(3), pages 207-216, September.
  46. de Mendonça, Helder Ferreira & Díaz, Raime Rolando Rodríguez, 2023. "Can ignorance about the interest rate and macroeconomic surprises affect the stock market return? Evidence from a large emerging economy," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
  47. Jensen, Gerald R. & Mercer, Jeffrey M. & Johnson, Robert R., 1996. "Business conditions, monetary policy, and expected security returns," Journal of Financial Economics, Elsevier, vol. 40(2), pages 213-237, February.
  48. Kitchen, John, 1988. "Agricultural Futures Prices And New Information," Staff Reports 278066, United States Department of Agriculture, Economic Research Service.
  49. Tanner, Glenn, 1997. "A note on economic news and intraday exchange rates," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 573-585, April.
  50. Kenneth J. Singleton, 1986. "Asset Prices in a Time Series Model with Disparately Informed, Competative Traders," NBER Working Papers 1897, National Bureau of Economic Research, Inc.
  51. O. David Gulley & Jahangir Sultan, 2003. "The link between monetary policy and stock and bond markets: evidence from the federal funds futures contract," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 199-209.
  52. Rik Hafer, 1985. "Further evidence on stock price response to changes in weekly money and the discount rate," Working Papers 1985-015, Federal Reserve Bank of St. Louis.
  53. Mark J. Flannery & Aris A. Protopapadakis, 2002. "Macroeconomic Factors Do Influence Aggregate Stock Returns," The Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 751-782.
  54. John D. Burger, 2004. "The Policy Anticipation Hypothesis: Evidence from the Federal Funds Futures Market," Contemporary Economic Policy, Western Economic Association International, vol. 22(4), pages 544-554, October.
  55. Chauvet, Marcelle & Jiang, Cheng, 2023. "Nonlinear relationship between monetary policy and stock returns: Evidence from the U.S," Global Finance Journal, Elsevier, vol. 55(C).
  56. James Ming Chen, 2017. "Econophysics and Capital Asset Pricing," Quantitative Perspectives on Behavioral Economics and Finance, Palgrave Macmillan, number 978-3-319-63465-4, February.
  57. Heimonen, Kari, 2010. "Money and equity returns in the Euro area," Global Finance Journal, Elsevier, vol. 21(2), pages 152-169.
  58. Daniel L. Thornton, 1989. "Tests of covered interest rate parity," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 55-66.
  59. Peter C. Liu, 1994. "Are Money Announcement Forecasts Rational?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(4), pages 475-483, November.
  60. Bernd Hayo & Sascha Mierzwa, 2020. "Stock Market Reactions to Legislated Tax Changes: Evidence from the United States, Germany, and the United Kingdom," MAGKS Papers on Economics 202047, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  61. Thomas C. Chiang, 2019. "Market Efficiency and News Dynamics: Evidence from International Equity Markets," Economies, MDPI, vol. 7(1), pages 1-17, February.
  62. Yash P. Mehra, 1985. "Inflationary expectations, money growth, and the vanishing liquidity effect of money on interest : a further investigation," Economic Review, Federal Reserve Bank of Richmond, vol. 71(Mar), pages 23-35.
  63. Uma Murthy & Paul Anthony & Rubana Vighnesvaran, 2016. "Factors Affecting Kuala Lumpur Composite Index (KLCI) Stock Market Return in Malaysia," International Journal of Business and Management, Canadian Center of Science and Education, vol. 12(1), pages 122-122, December.
  64. M. A. Akhtar, 1995. "Monetary Policy And Long‐Term Interest Rates: A Survey Of Empirical Literature," Contemporary Economic Policy, Western Economic Association International, vol. 13(3), pages 110-130, July.
  65. S. Rubun Dey & Christopher J. Neely, 2010. "A survey of announcement effects on foreign exchange returns," Review, Federal Reserve Bank of St. Louis, vol. 92(Sep), pages 417-464.
  66. Andreas Fischer, 1989. "Interpreting the Term Structure of Interest Rates Using Weekly Money Announcements," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 125(I), pages 43-53, March.
  67. Julio Pindado & Ignacio Requejo & Juan C. Rivera, 2020. "Does money supply shape corporate capital structure? International evidence from a panel data analysis," The European Journal of Finance, Taylor & Francis Journals, vol. 26(6), pages 554-584, April.
  68. Ramchander, Sanjay & Simpson, Marc W. & Thiewes, Harold, 2008. "The effect of macroeconomic news on German closed-end funds," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(4), pages 708-724, November.
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