Using Intraday Data to Gauge Financial Market Responses to Federal Reserve and ECB Monetary Policy Decisions
This paper examines bond and stock market volatility reactions in the euro area and the United States following their respective economies’ monetary policy decisions, over a uniform sample period (April 1999–May 2006). For this purpose, intraday data on the U.S. and euro-area bond and stock markets are used. A strong upsurge in intraday volatility at the time of the release of the monetary policy decisions by the two central banks is found, which is more pronounced for the U.S. financial markets following Federal Reserve monetary policy decisions. Part of the increase in intraday volatility in the two economies surrounding monetary policy decisions can be explained by both news of the level of monetary policy and revisions in the expected future monetary policy path. The observed strong discrepancy between asset-price reactions in the United States and in the euro area following monetary policy decisions still remains a puzzle, although some tentative explanations are provided in the paper.
When requesting a correction, please mention this item's handle: RePEc:ijc:ijcjou:y:2010:q:2:a:5. See general 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: (Bank for International Settlements)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.