Money Supply Announcements and the Ex Ante Volatility of Asset Prices
Previous empirical studies have documented more volatile money grow th and money surprises, more volatile asset price changes, and increased responsiveness of asset prices to money surprises since the October 1 979 change in Fed policy. This paper studies the associations between money announcements and the ex ante volatility of asset prices in th e recent past. Results indicate that revisions of ex ante asset price volatility, as measured from prices of stock index, government debt, gold, and foreign currency options, are significantly correlated with the surprise component of the weekly M1 release. There is also evidence that money releases reduce volatility by resolving uncertainty. Copyright 1988 by Ohio State University Press.
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Volume (Year): 20 (1988)
Issue (Month): 4 (November)
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