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Measuring the Impact of Monetary Policy Attention on Global Asset Volatility Using Search Data

Author

Listed:
  • Paul Wohlfarth

    (Birkbeck, University of London)

Abstract

We study monetary policy introducing a novel measure for policy attention based on Google Trends data. We apply the obtained indices to fixed income data for the US and the Eurozone in a specification motivated by a preferred-habitat model to test for monetary policy transmission domestically and internationally. Our findings suggest an impact of monetary policy on variance processes only and provides evidence for an international channel of monetary transmission on both money and capital markets. This is, to our knowledge, the first attempt to use search-engine data in the context of monetary policy.

Suggested Citation

  • Paul Wohlfarth, 2018. "Measuring the Impact of Monetary Policy Attention on Global Asset Volatility Using Search Data," Birkbeck Working Papers in Economics and Finance 1803, Birkbeck, Department of Economics, Mathematics & Statistics.
  • Handle: RePEc:bbk:bbkefp:1803
    as

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    File URL: http://www.bbk.ac.uk/ems/research/wp/2018/PDFs/BWPEF1803.pdf
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    attention; internet search; Google; monetary policy; ECB; FED; international financial markets; macro-finance; sovereign bonds; international finance; bond markets; preferred habitat models.;

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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