IDEAS home Printed from https://ideas.repec.org/r/ijc/ijcjou/y2010q2a5.html
   My bibliography  Save this item

Using Intraday Data to Gauge Financial Market Responses to Federal Reserve and ECB Monetary Policy Decisions

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Jung, Alexander, 2016. "Have minutes helped to predict fed funds rate changes?," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 18-32.
  2. Paiardini, Paola, 2014. "The impact of economic news on bond prices: Evidence from the MTS platform," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 302-322.
  3. Fady Barsoum, 2013. "The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach," Working Paper Series of the Department of Economics, University of Konstanz 2013-15, Department of Economics, University of Konstanz.
  4. Daniel Jubinski & Marc Tomljanovich, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, John Wiley & Sons, vol. 22(3), pages 86-97, September.
  5. Moura, Marcelo L. & Gaião, Rafael L., 2014. "Impact of macroeconomic surprises on the Brazilian yield curve and expected inflation," The North American Journal of Economics and Finance, Elsevier, vol. 27(C), pages 114-144.
  6. repec:hal:spmain:info:hdl:2441/2t6uivimtr9438i2qqu6kgfded is not listed on IDEAS
  7. Smales, L.A. & Lucey, B.M., 2019. "The influence of investor sentiment on the monetary policy announcement liquidity response in precious metal markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 19-38.
  8. Hubert Paul, 2017. "Qualitative and quantitative central bank communication and inflation expectations," The B.E. Journal of Macroeconomics, De Gruyter, vol. 17(1), pages 1-41, January.
  9. Alexander Jung, 2018. "Have money and credit data releases helped markets to predict the interest rate decisions of the European Central Bank?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 65(1), pages 39-67, February.
  10. Ben Omrane, Walid & Hussain, Syed Mujahid, 2016. "Foreign news and the structure of co-movement in European equity markets: An intraday analysis," Research in International Business and Finance, Elsevier, vol. 37(C), pages 572-582.
  11. Kentaro Iwatsubo & Tomoki Taishi, 2016. "Quantitative Easing and Liquidity in the Japanese Government Bond Market," Discussion Papers 1623, Graduate School of Economics, Kobe University.
  12. Jung, Alexander, 2016. "Have FOMC minutes helped markets to predict FED funds rate changes?," Working Paper Series 1961, European Central Bank.
  13. Kamada, Koichiro & Kurosaki, Tetsuo & Miura, Ko & Yamada, Tetsuya, 2022. "Central bank policy announcements and changes in trading behavior: Evidence from bond futures high frequency price data," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  14. Kentaro Iwatsubo & Tomoki Taishi, 2018. "Quantitative Easing and Liquidity in the Japanese Government Bond Market," International Review of Finance, International Review of Finance Ltd., vol. 18(3), pages 463-475, September.
  15. Frédéric Délèze & Syed Mujahid Hussain, 2014. "Information Arrival, Jumps and Cojumps in European Financial Markets: Evidence Using Tick by Tick Data," Multinational Finance Journal, Multinational Finance Journal, vol. 18(3-4), pages 169-213, September.
  16. Alexander Jung & Patrick Kuehl, 2021. "Can central bank communication help to stabilise inflation expectations?," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 298-321, July.
  17. Jubinski, Daniel & Tomljanovich, Marc, 2013. "Do FOMC minutes matter to markets? An intraday analysis of FOMC minutes releases on individual equity volatility and returns," Review of Financial Economics, Elsevier, vol. 22(3), pages 86-97.
  18. Hussain, Syed Mujahid, 2011. "Simultaneous monetary policy announcements and international stock markets response: An intraday analysis," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 752-764, March.
  19. Paul Hubert, 2014. "Disentangling qualitative and quantitative central bank influence," Sciences Po publications 2014-23, Sciences Po.
  20. Rosa, Carlo, 2011. "Words that shake traders," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 915-934.
  21. Volta, Vittoria & Aste, Tomaso, 2022. "Causal coupling between European and UK markets triggered by announcements of monetary policy decisions," LSE Research Online Documents on Economics 114947, London School of Economics and Political Science, LSE Library.
  22. Georgios Chortareas & Menelaos Karanasos & Emmanouil Noikokyris, 2019. "Quantitative Easing And The Uk Stock Market: Does The Bank Of England Information Dissemination Strategy Matter?," Economic Inquiry, Western Economic Association International, vol. 57(1), pages 569-583, January.
  23. Smales, L.A., 2019. "Slopes, spreads, and depth: Monetary policy announcements and liquidity provision in the energy futures market," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 234-252.
  24. Fernandez-Perez, Adrian & Frijns, Bart & Tourani-Rad, Alireza, 2017. "When no news is good news – The decrease in investor fear after the FOMC announcement," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 187-199.
  25. Mobeen Ur Rehman, 2017. "Dynamics of Co-movements among Implied Volatility, Policy Uncertainty and Market Performance," Global Business Review, International Management Institute, vol. 18(6), pages 1478-1487, December.
  26. Jung, Alexander & Uhlig, Harald, 2019. "Monetary policy shocks and the health of banks," Working Paper Series 2303, European Central Bank.
  27. Jung, Alexander & El-Shagi, Makram, 2015. "Has the publication of minutes helped markets to predict the monetary policy decisions of the Bank of England's MPC?," Working Paper Series 1808, European Central Bank.
  28. Smales, L.A. & Apergis, N., 2017. "Understanding the impact of monetary policy announcements: The importance of language and surprises," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 33-50.
  29. Jung, Alexander, 2016. "Have monetary data releases helped markets to predict the interest rate decisions of the European Central Bank?," Working Paper Series 1926, European Central Bank.
  30. Smales, L.A. & Apergis, N., 2017. "Does more complex language in FOMC decisions impact financial markets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 171-189.
  31. Carlo Rosa, 2011. "Talking Less And Moving The Market More: Evidence From The Ecb And The Fed," Scottish Journal of Political Economy, Scottish Economic Society, vol. 58(1), pages 51-81, February.
  32. Roland Füss & Ferdinand Mager & Michael Stein & Lu Zhao, 2018. "Financial crises, price discovery, and information transmission: a high-frequency perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(4), pages 333-365, November.
  33. Apergis, Nicholas, 2015. "The role of FOMC minutes for US asset prices before and after the 2008 crisis: Evidence from GARCH volatility modeling," The Quarterly Review of Economics and Finance, Elsevier, vol. 55(C), pages 100-107.
  34. Di Maggio, Marco & Kacperczyk, Marcin, 2017. "The unintended consequences of the zero lower bound policy," Journal of Financial Economics, Elsevier, vol. 123(1), pages 59-80.
  35. Hussain, Syed Mujahid & Ben Omrane, Walid & Al-Yahyaee, Khamis, 2020. "US macroeconomic news effects around the US and European financial crises: Evidence from Brazilian and Mexican equity indices," Global Finance Journal, Elsevier, vol. 46(C).
  36. Hayo, Bernd & Henseler, Kai & Steffen Rapp, Marc & Zahner, Johannes, 2022. "Complexity of ECB communication and financial market trading," Journal of International Money and Finance, Elsevier, vol. 128(C).
  37. El-Shagi, Makram & Jung, Alexander, 2015. "Have minutes helped markets to predict the MPC's monetary policy decisions?," European Journal of Political Economy, Elsevier, vol. 39(C), pages 222-234.
  38. Stylianos X. Koufadakis, 2015. "Asymmetries on Closed End Country Funds Premium and Monetary Policy Announcements: An Approach Trough the Perspective of Foreign Countries," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 65(3-4), pages 29-65, july-Dece.
  39. Kam F. Chan & Philip Gray, 2018. "Volatility jumps and macroeconomic news announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 881-897, August.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.