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Citations for "Market-based measures of monetary policy expectations"

by Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson

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  1. Kurov, Alexander, 2012. "What determines the stock market's reaction to monetary policy statements?," Review of Financial Economics, Elsevier, vol. 21(4), pages 175-187.
  2. Fischer, Andreas M & Ranaldo, Angelo, 2008. "Does FOMC News Increase Global FX Trading?," CEPR Discussion Papers 6753, C.E.P.R. Discussion Papers.
  3. Kwapil, Claudia & Scharler, Johann, 2013. "Expected monetary policy and the dynamics of bank lending rates," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 542-551.
  4. Michael J. Lamla & Christian Conrad, 2007. "An den Lippen der EZB – Der KOF Monetary Policy Communicator," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 1(4), pages 33-45, March.
  5. Zelal Aktas & Harun Alp & Refet Gurkaynak & Mehtap Kesriyeli & Musa Orak, 2008. "Turkiye’de Para Politikasinin Aktarimi:Para Politikasinin Mali Piyasalara Etkisi," Working Papers 0811, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  6. David G. Blanchflower & Conall MacCoille, 2009. "The formation of inflation expectations: an empirical analysis for the UK," NBER Working Papers 15388, National Bureau of Economic Research, Inc.
  7. Altavilla, Carlo & Giannone, Domenico, 2014. "The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data," CEPR Discussion Papers 10001, C.E.P.R. Discussion Papers.
  8. Ben S. Bernanke & Kenneth N. Kuttner, 2004. "What Explains the Stock Market's Reaction to Federal Reserve Policy?," NBER Working Papers 10402, National Bureau of Economic Research, Inc.
  9. Refet Gurkaynak & Andrew T. Levin & Andrew N. Marder & Eric T. Swanson, 2007. "Inflation targeting and the anchoring of inflation expectations in the western hemisphere," Economic Review, Federal Reserve Bank of San Francisco, pages 25-47.
  10. Chris Florackis & Alexandros Kontonikas & Alexandros Kostakis, 2010. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," Working Papers 2011_22, Business School - Economics, University of Glasgow, revised Apr 2011.
  11. Bredin, Don & Hyde, Stuart & O'Reilly, Gerard, 2005. "European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response," Research Technical Papers 10/RT/05, Central Bank of Ireland.
  12. Brian P. Sack, 2002. "Extracting the expected path of monetary policy from futures rates," Finance and Economics Discussion Series 2002-56, Board of Governors of the Federal Reserve System (U.S.).
  13. Rosa, Carlo & Verga, Giovanni, 2007. "On the consistency and effectiveness of central bank communication: Evidence from the ECB," European Journal of Political Economy, Elsevier, vol. 23(1), pages 146-175, March.
  14. Giuseppe Ferrero & Andrea Nobili, 2009. "Futures Contract Rates as Monetary Policy Forecasts," International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 109-145, June.
  15. Bernd Hayo & Matthias Neuenkirch, 2009. "Do Federal Reserve Communications Help Predict Federal Funds Target Rate Decisions?," MAGKS Papers on Economics 200925, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  16. Rochelle M. Edge & Refet S. Gurkaynak, 2011. "How useful are estimated DSGE model forecasts?," Finance and Economics Discussion Series 2011-11, Board of Governors of the Federal Reserve System (U.S.).
  17. Kim, Don H. & Orphanides, Athanasios, 2005. "Term Structure Estimation with Survey Data on Interest Rate Forecasts," CEPR Discussion Papers 5341, C.E.P.R. Discussion Papers.
  18. Söderlind, Paul & Söderström, Ulf & Vredin, Anders, 2003. "Taylor Rules and the Predictability of Interest Rates," Working Paper Series 147, Sveriges Riksbank (Central Bank of Sweden).
  19. Joyce, Michael & Relleen, Jonathan & Sorensen, Steffen, 2008. "Measuring monetary policy expectations from financial market instruments," Bank of England working papers 356, Bank of England.
  20. Eric T. Swanson, 2016. "Measuring the effects of unconventional monetary policy on asset prices," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(2), pages 78-100, August.
  21. Rochelle M. Edge & Refet S. Gurkaynak, 2010. "How Useful Are Estimated DSGE Model Forecasts for Central Bankers?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 41(2 (Fall)), pages 209-259.
  22. Refet S. Gürkaynak & Brian Sack & Eric Swanson, 2005. "The Sensitivity of Long-Term Interest Rates to Economic News: Evidence and Implications for Macroeconomic Models," American Economic Review, American Economic Association, vol. 95(1), pages 425-436, March.
  23. Yuriy Gorodnichenko & Michael Weber, 2013. "Are Sticky Prices Costly? Evidence From The Stock Market," NBER Working Papers 18860, National Bureau of Economic Research, Inc.
  24. Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2002. "Market-based measures of monetary policy expectations," Finance and Economics Discussion Series 2002-40, Board of Governors of the Federal Reserve System (U.S.).
  25. J. Benson Durham, 2003. "Estimates of the term premium on near-dated federal funds futures contracts," Finance and Economics Discussion Series 2003-19, Board of Governors of the Federal Reserve System (U.S.).
  26. Coffinet, J., 2008. "La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières," Working papers 193, Banque de France.
  27. Moessner, Richhild, 2013. "Effects of explicit FOMC policy rate guidance on interest rate expectations," Economics Letters, Elsevier, vol. 121(2), pages 170-173.
  28. Severin Bernhard & Till Ebner, 2016. "Cross-border Spillover Effects of Unconventional Monetary Policies on Swiss Asset Prices," Working Papers 2016-09, Swiss National Bank.
  29. Fatum, Rasmus & Scholnick, Barry, 2003. "Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations? Evidence from the Federal Funds Futures Market," Santa Cruz Center for International Economics, Working Paper Series qt4cc3291n, Center for International Economics, UC Santa Cruz.
  30. Mancini, Loreano & Ranaldo, Angelo & Wrampelmeyer, Jan, 2013. "The Euro Interbank Repo Market," Working Papers on Finance 1316, University of St. Gallen, School of Finance, revised Sep 2015.
  31. Eric T. Swanson, 2004. "Federal Reserve transparency and financial market forecasts of short-term interest rates," Finance and Economics Discussion Series 2004-06, Board of Governors of the Federal Reserve System (U.S.).
  32. Giuseppe Ferrero & Andrea Nobili, 2008. "Short-term interest rate futures as monetary policy forecasts," Temi di discussione (Economic working papers) 681, Bank of Italy, Economic Research and International Relations Area.
  33. Rangel, José Gonzalo, 2011. "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
  34. Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," CESifo Working Paper Series 6199, CESifo Group Munich.
  35. Kevin L. Kliesen & Frank A. Schmid, 2004. "Monetary policy actions, macroeconomic data releases, and inflation expectations," Review, Federal Reserve Bank of St. Louis, issue May, pages 9-22.
  36. N. K. Kishor & H. A. Marfatia, 2013. "Does federal funds futures rate contain information about the treasury bill rate?," Applied Financial Economics, Taylor & Francis Journals, vol. 23(16), pages 1311-1324, August.
  37. Albuquerque, Rui & Vega, Clara, 2006. "Asymmetric Information in the Stock Market: Economic News and Co-movement," CEPR Discussion Papers 5598, C.E.P.R. Discussion Papers.
  38. James D. Hamilton, 2009. "Daily Changes in Fed Funds Futures Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(4), pages 567-582, 06.
  39. Michael Gordon, 2003. "Estimates of time-varying term premia for New Zealand and Australia," Reserve Bank of New Zealand Discussion Paper Series DP2003/06, Reserve Bank of New Zealand.
  40. Monticini & Vaciago, 2004. "Are Europe Interest Rates led by FED's Announcements?," Macroeconomics 0407025, EconWPA.
  41. Koepke, Robin, 2014. "Fed Policy Expectations and Portfolio Flows to Emerging Markets," MPRA Paper 63519, University Library of Munich, Germany, revised 07 Apr 2015.
  42. Michael Lamla & Sarah M. Rupprecht, 2006. "The Impact of ECB Communication on Financial Market Expectations," KOF Working papers 06-135, KOF Swiss Economic Institute, ETH Zurich.
  43. Jagjit S. Chadha & Alex Waters, 2014. "Applying a Macro-Finance Yield Curve to UK Quantitative Easing," Studies in Economics 1418, School of Economics, University of Kent.
  44. Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2006. "Geography or skills: What explains Fed watchers’ forecast accuracy of US monetary policy?," Working Paper Series 0695, European Central Bank.
  45. Eric T. Swanson & John C. Williams, 2014. "Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates," American Economic Review, American Economic Association, vol. 104(10), pages 3154-3185, October.
  46. Harun ALP & Refet GÜRKAYNAK & Hakan KARA & Gürsu KELEŞ & Musa ORAK, 2010. "Türkiye’de piyasa göstergelerinden para politikası beklentilerinin ölçülmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 25(295), pages 21-45.
  47. Jon Faust & Eric T. Swanson & Jonathan H. Wright, 2002. "Identifying vars based on high frequency futures data," International Finance Discussion Papers 720, Board of Governors of the Federal Reserve System (U.S.).
  48. Gospodinov, Nikolay & Jamali, Ibrahim, 2012. "The effects of Federal funds rate surprises on S&P 500 volatility and volatility risk premium," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 497-510.
  49. Neville Francis, 2012. "The Low-Frequency Impact of Daily Monetary Policy Shock," 2012 Meeting Papers 198, Society for Economic Dynamics.
  50. Joshua D. Angrist & Òscar Jordà & Guido M. Kuersteiner, 2013. "Semiparametric estimates of monetary policy effects: string theory revisited," Working Paper Series 2013-24, Federal Reserve Bank of San Francisco.
  51. Brissimis, Sophocles N. & Magginas, Nicholas S., 2006. "Forward-looking information in VAR models and the price puzzle," Journal of Monetary Economics, Elsevier, vol. 53(6), pages 1225-1234, September.
  52. Sylvester Eijffinger & Ronald Mahieu & Louis Raes, 2017. "Can the Fed Talk the Hind Legs Off the Stock Market?," International Journal of Central Banking, International Journal of Central Banking, vol. 13(1), pages 53-94, February.
  53. Fatum, Rasmus & Scholnick, Barry, 2008. "Monetary policy news and exchange rate responses: Do only surprises matter?," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1076-1086, June.
  54. Kevin L. Kliesen & Frank A. Schmid, 2006. "Macroeconomic news and real interest rates," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 133-144.
  55. Lahura, Erick, 2012. "Midiendo los efectos de la política monetaria a través de las expectativas de mercado," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 23, pages 39-52.
  56. Reinder Haitsma & Deren Unalmis & Jakob de Haan, 2016. "The Impact of the ECB’s Conventional and Unconventional Monetary Policies on Stock Markets," Working Papers 1605, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  57. Menno Middeldorp, 2011. "FOMC communication policy and the accuracy of Fed Funds futures," Staff Reports 491, Federal Reserve Bank of New York.
  58. Bredin, Don & Hyde, Stuart & Reilly, Gerard O., 2010. "Monetary policy surprises and international bond markets," Journal of International Money and Finance, Elsevier, vol. 29(6), pages 988-1002, October.
  59. Refet Gurkaynak & Brian Sack & Eric Swanson, 2005. "Do Actions Speak Louder than Words? The Response of Asset Prices to Monetary Policy Actions and Statements," Macroeconomics 0504013, EconWPA.
  60. Grahame Johnson, 2003. "Measuring Interest Rate Expectations in Canada," Staff Working Papers 03-26, Bank of Canada.
  61. Basistha, Arabinda & Kurov, Alexander, 2008. "Macroeconomic cycles and the stock market's reaction to monetary policy," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2606-2616, December.
  62. Carlo Rosa, 2008. "Talking less and moving the market more: is this the recipe for monetary policy effectiveness?: evidence from the ECB and the Fed," LSE Research Online Documents on Economics 19629, London School of Economics and Political Science, LSE Library.
  63. Bodo Herzog, 2015. "Anchoring of expectations: The role of credible targets in a game experiment," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 3(6), pages 1-15, December.
  64. Dunbar, Kwamie & Amin, Abu S., 2015. "The nature and impact of the market forecasting errors in the Federal funds futures market," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 174-192.
  65. Sergey V. Chernenko, 2004. "The information content of forward and futures prices: market expectations and the price of risk," International Finance Discussion Papers 808, Board of Governors of the Federal Reserve System (U.S.).
  66. Marfatia, Hardik A., 2015. "Monetary policy's time-varying impact on the US bond markets: Role of financial stress and risks," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 103-123.
  67. Rosa, Carlo, 2011. "Words that shake traders," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 915-934.
  68. Carlos Fernando Daza Moreno & Jorge Mario Uribe, 2016. "Efectos de los cambios de la tasa de interés de Estados Unidos sobre Colombia, Perú y Chile," REVISTA DE ECONOMÍA DEL CARIBE 014794, UNIVERSIDAD DEL NORTE.
  69. Jiaqian Chen & Tommaso Mancini Griffoli & Ratna Sahay, 2014. "Spillovers from United States Monetary Policy on Emerging Markets; Different This Time?," IMF Working Papers 14/240, International Monetary Fund.
  70. Bredin, Don & Gavin, Caroline & O Reilly, Gerard, 2004. "US Monetary Announcements and Irish Stockmarket Volatility," Research Technical Papers 10/RT/04, Central Bank of Ireland.
  71. Hamilton, James D., 2008. "Daily monetary policy shocks and new home sales," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1171-1190, October.
  72. Marek Rozkrut, 2008. "It’s not only WHAT is said, it’s also WHO the speaker is. Evaluating the effectiveness of central bank communication," National Bank of Poland Working Papers 47, National Bank of Poland, Economic Institute.
  73. Carlo Altavilla & Raffaella Giacomini & Riccardo Costantini, 2014. "Bond Returns and Market Expectations," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 12(4), pages 708-729.
  74. Rosa, Carlo, 2014. "The high-frequency response of energy prices to U.S. monetary policy: Understanding the empirical evidence," Energy Economics, Elsevier, vol. 45(C), pages 295-303.
  75. Neville Francis & Eric Ghysels & Michael T. Owyang, 2011. "The low-frequency impact of daily monetary policy shocks," Working Papers 2011-009, Federal Reserve Bank of St. Louis.
  76. Don Bredin & Gerard O’Reilly & Simon Stevenson, 2007. "Monetary Shocks and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 315-331, October.
  77. Máximo Camacho & Danilo Leiva-León & Gabriel Pérez-Quiros, 2015. "Country Shocks, Monetary Policy Expectations and ECB Decisions. A Dynamic Non-Linear Approach," Working Papers Central Bank of Chile 764, Central Bank of Chile.
  78. Skrypnik, D., 2014. "The Spillover Effects of Quantitative Easing in the United States for Russian Economy. Macroeconometric Analysis," Journal of the New Economic Association, New Economic Association, vol. 22(2), pages 74-101.
  79. Bredin, Don & Gavin, Caroline & O'Reilly, Gerard, 2003. "The Influence of Domestic and International Interest Rates on the ISEQ," Research Technical Papers 9/RT/03, Central Bank of Ireland.
  80. Gospodinov, Nikolay & Jamali, Ibrahim, 2014. "The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks," FRB Atlanta Working Paper 2014-14, Federal Reserve Bank of Atlanta.
  81. Refet S. Gürkaynak & Brian P. Sack & Eric T. Swanson, 2003. "The excess sensitivity of long-term interest rates: evidence and implications for macroeconomic models," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  82. Gürkaynak, Refet S. & Levin, Andrew & Swanson, Eric T, 2006. "Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the US, UK and Sweden," CEPR Discussion Papers 5808, C.E.P.R. Discussion Papers.
  83. Hüning, Hendrik, 2016. "Asset market response to monetary policy news from SNB press releases," HWWI Research Papers 177, Hamburg Institute of International Economics (HWWI).
  84. J-P. Renne, 2014. "Options Embedded in ECB Targeted Refinancing Operations," Working papers 518, Banque de France.
  85. Refet S. Gürkaynak, 2005. "Using federal funds futures contracts for monetary policy analysis," Finance and Economics Discussion Series 2005-29, Board of Governors of the Federal Reserve System (U.S.).
  86. Daniel L. Thornton, 2014. "The identification of the response of interest rates to monetary policy actions using market-based measures of monetary policy shocks," Oxford Economic Papers, Oxford University Press, vol. 66(1), pages 67-87, January.
  87. Renne, Jean-Paul, 2016. "A tractable interest rate model with explicit monetary policy rates," European Journal of Operational Research, Elsevier, vol. 251(3), pages 873-887.
  88. Monika Piazzesi & Eric Swanson, 2004. "Futures Prices as Risk-adjusted Forecasts of Monetary Policy," NBER Working Papers 10547, National Bureau of Economic Research, Inc.
  89. Rosa, Carlo, 2011. "The high-frequency response of exchange rates to monetary policy actions and statements," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 478-489, February.
  90. Suk-Joong, Kim & Do Quoc Tho, Nguyen, 2008. "The spillover effects of target interest rate news from the U.S. Fed and the European Central Bank on the Asia-Pacific stock markets," MPRA Paper 17213, University Library of Munich, Germany.
  91. Christian Upper, 2006. "Derivatives activity and monetary policy," BIS Quarterly Review, Bank for International Settlements, pages -, September.
  92. Kurov, Alexander, 2010. "Investor sentiment and the stock market's reaction to monetary policy," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 139-149, January.
  93. James D. Hamilton, 2007. "Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts," NBER Working Papers 13569, National Bureau of Economic Research, Inc.
  94. Andrea Monticini & Giacomo Vaciago, 2007. "Are Euro Interest Rates led by FED Announcements?," Money Macro and Finance (MMF) Research Group Conference 2006 16, Money Macro and Finance Research Group.
  95. Sohrab Rafiq, 2015. "How Important are Debt and Growth Expectations for Interest Rates?," IMF Working Papers 15/94, International Monetary Fund.
  96. Berger, Helge & Ehrmann, Michael & Fratzscher, Marcel, 2011. "Geography, skills or both: What explains Fed watchers' forecast accuracy of US monetary policy?," Journal of Macroeconomics, Elsevier, vol. 33(3), pages 420-437, September.
  97. Kishor, N. Kundan & Marfatia, Hardik A., 2013. "The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 1-24.
  98. Jean-Sébastien Fontaine, 2012. "Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy," Staff Working Papers 12-41, Bank of Canada.
  99. Carlo Rosa, 2013. "The high-frequency response of energy prices to monetary policy: understanding the empirical evidence," Staff Reports 598, Federal Reserve Bank of New York.
  100. Ali Ozdagli, 2014. "Financial Frictions and Reaction of Stock Prices to Monetary Policy Shocks," 2014 Meeting Papers 1360, Society for Economic Dynamics.
  101. Mamun, Abdullah & Hassan, M. Kabir, 2014. "What explains the lack of monetary policy influence on bank holding companies?," Review of Financial Economics, Elsevier, vol. 23(4), pages 227-235.
  102. Lahura, Erick, 2012. "Measuring the Effects of Monetary Policy Using Market Expectations," Working Papers 2012-005, Banco Central de Reserva del Perú.
  103. Kevin L. Kliesen & Frank A. Schmid, 2004. "Do productivity growth, budget deficits, and monetary policy actions affect real interest rates? evidence from macroeconomic announcement data," Working Papers 2004-019, Federal Reserve Bank of St. Louis.
  104. Philippe Mueller & Alireza Tahbaz-Salehi & Andrea Vedolin, 2016. "Exchange rates and monetary policy uncertainty," LSE Research Online Documents on Economics 66043, London School of Economics and Political Science, LSE Library.
  105. Shuang Zhu & R. Pace & Walter Morales, 2014. "Using Housing Futures in Mortgage Research," The Journal of Real Estate Finance and Economics, Springer, vol. 48(1), pages 1-15, January.
  106. Marfatia, Hardik A., 2014. "Impact of uncertainty on high frequency response of the U.S. stock markets to the Fed's policy surprises," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 382-392.
  107. David O. Lucca & Francesco Trebbi, 2009. "Measuring Central Bank Communication: An Automated Approach with Application to FOMC Statements," NBER Working Papers 15367, National Bureau of Economic Research, Inc.
  108. Ozdagli, Ali K., 2014. "Financial frictions and the reaction of stock prices to monetary policy shocks," Working Papers 14-6, Federal Reserve Bank of Boston.
  109. James D. Hamilton, 2008. "Daily Monetary Policy Shocks and the Delayed Response of New Home Sales," NBER Working Papers 14223, National Bureau of Economic Research, Inc.
  110. Kenneth B. Petersen & Vladimir Pozdnyakov, 2008. "Predicting the Fed," Working papers 2008-07, University of Connecticut, Department of Economics.
  111. Farka, Mira, 2009. "The effect of monetary policy shocks on stock prices accounting for endogeneity and omitted variable biases," Review of Financial Economics, Elsevier, vol. 18(1), pages 47-55, January.
  112. Kjellberg, David, 2006. "Measuring Expectations," Working Paper Series 2006:9, Uppsala University, Department of Economics.
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