Download or read book Pre announcement Effects News and Volatility written by and published by . This book was released on 2000 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Pre announcement Effects News and Volatility Monetary Policy and the Stock Markt written by Antulio N. Bomfim and published by . This book was released on 2000 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
Download or read book Monetary Policy and Stock Market Volatility written by Patrick Fuchs and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis investigates the effects of U.S. monetary policy on stock market volatility. An increase of volatility could be observed for the day before a meeting of the Federal Open Market Committee. Right after the meeting day, the stock market volatility drops dramatically. It seems that the level of monetary policy surprise does not play any significant role for the development of the stock market volatility. Finally, a new option-based measure of surprise is developed and presented in this thesis.
Download or read book The Federal Reserve System Purposes and Functions written by Board of Governors of the Federal Reserve System and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides an in-depth overview of the Federal Reserve System, including information about monetary policy and the economy, the Federal Reserve in the international sphere, supervision and regulation, consumer and community affairs and services offered by Reserve Banks. Contains several appendixes, including a brief explanation of Federal Reserve regulations, a glossary of terms, and a list of additional publications.
Download or read book U S Monetary Policy Surprises Transmission to European Stock Markets written by Abdelkader Derbali and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically investigates the impact of U.S. monetary policy surprises on the volatility of stock market returns for euro area countries. More specifically, to extract the unanticipated component of the U.S. monetary policy, we follow the Kuttner's methodology and we use the federal funds futures. Using the approach of dynamic conditional correlation (DCC) as introduced by Engle (2002) over the period from January 01, 2004 through December 31, 2008, we find that U.S. monetary policy surprises exert a strong influence on market volatility. This confirms the efficient markets hypothesis demonstrating that equity prices should only react to new information. We also find a significant response of volatility to expected component of target rate change. We highlight homogeneity in the responsiveness of European stock markets to U.S. news announcements. It is important to note that the persistence of volatility is clear across all regressions and it is shown by the strongly significance of associated coefficients.
Download or read book News Vs Sentiments written by Jazib Ahmed Ansari and published by . This book was released on 2020 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the impact of monetary policy announcements on the performance of the stock market in twenty countries (10 Developed and 10 developing). Exchange rate changes and changes in bond yield were taken as control. Daily basis Panel data was used with daily frequency for five (5) years (2014 - 2018). An impact of these selected independent variables on the stock market index is estimated using the regression model and Panel Least Square model. Monetary policy data has been run in three different lags i.e. lag (0), lag (-1, -2, -3, -4), and lag (1, 2, 3, 4) in order to check the availability of monetary policy impact in pre and post announcement dates also, while the other variables run on a single lag. It is observed that the stock market of developed countries has a significant relation with monetary policy announcements, however, these announcements showed an insignificance relation with the stock market index in the case of developing countries. Moreover, exchange rates seem to have a significant effect on markets of both developing and developed countries, whereas bond yield seems to have a significant effect on the stock market of Developing countries only.
Download or read book Analytical Study on the Impact of Monetary Policy and Stock Market Volatility in India written by Dr. Puja Dua and published by Book Rivers. This book was released on 2023-01-10 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Unconventional Monetary Policy Media Uncertainty and Expected Stock Market Volatility written by Chandler Lutz and published by . This book was released on 2014 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relationship between unconventional monetary policy, media uncertainty, and expected stock market volatility. We find that (1) expansionary unconventional monetary policy shocks induce higher media uncertainty as news reports aim to describe the uncertain economic environment leading up to these monetary policy events; and (2) that expansionary unconventional monetary shocks, when coupled with higher media uncertainty, lead to higher subsequent realizations of expected stock market volatility. These effects, which are asymmetric across the different rounds of the Federal Reserve's Quantitative Easing program, then reverse after several days in line with a behavioral interpretation of the results.
Download or read book Macroeconomic News Announcements and Stock Market Jump Intensity Dynamics written by Jose Gonzalo Rangel and published by . This book was released on 2010 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson-Gaussian-GARCH process with time varying jump intensity, which is allowed to respond to such information. It is found that the day of the announcement, per se, has little impact on jump intensities. Employment releases are an exception. However, when macroeconomic surprises are considered, inflation shocks show persistent effects while monetary policy and employment shocks show only short-lived effects. Also, the jump intensity responds asymmetrically to macroeconomic shocks. Evidence that macroeconomic variables are relevant to explain jump dynamics and improve volatility forecasts on event days is provided.
Download or read book Emerging Market Volatility written by Ms.Ratna Sahay and published by International Monetary Fund. This book was released on 2014-10-02 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: Accommodative monetary policies in advanced economies have spurred increased capital inflows into emerging markets since the global financial crisis. Starting in May 2013, when the Federal Reserve publicly discussed its plans for tapering unconventional monetary policies, these emerging markets have experienced financial turbulence at the same that their domestic economic activity has slowed. This paper examines their experiences and policy responses and draws broad policy lessons. For emerging markets, good macroeconomic fundamentals matter, and early and decisive measures to strengthen macroeconomic policies and reduce vulnerabilities help dampen market reactions to external shocks. For advanced economies, clear and effective communication about the exit from unconventional monetary policy can and did help later to reduce the risk of excessive market volatility. And for the global community, enhanced global cooperation, including a strong global financial safety net, offers emerging markets effective protection against excessive volatility.
Download or read book Estimating and Interpreting Forward Interest Rates written by Mr.Lars E. O. Svensson and published by International Monetary Fund. This book was released on 1994-09-01 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.
Download or read book Regional Aspects of Monetary Policy in Europe written by Jürgen von Hagen and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monetary union has dawned in Europe. Now that the common currency is a reality, questions concerning the practical conduct of monetary policy in the European Monetary Union (EMU) are moving to the forefront of the policy debate. Among these, one of the most critical is how the new monetary union will cope with the large heterogeneity of its member economies. Given the large differences in economic and financial structures among the EMU member states, monetary policy is likely to affect different member economies in different ways. Regional Aspects of Monetary Policy in Europe collects the proceedings of an international conference held at the Center for European Integration Studies of the University of Bonn, dedicated to this issue. The contributions to this conference fall into two parts. The first part consists of empirical and theoretical studies of the regional effects of monetary policy in heterogeneous monetary unions. The second part consists of papers analyzing the political economy of monetary policy in a monetary union of heterogeneous regions or member states. The papers all support the conclusion that regional differences in the responses to a common monetary policy will make European monetary policy especially difficult in the years to come. Such differences arise from a variety of sources, and they cannot be expected to be mere teething troubles that will disappear after a while. Even if they were ignored in the run-up to the EMU, Europe's central bankers and economic policy makers will have to learn how to cope with such differences in the future.
Download or read book Asset Prices and Monetary Policy written by John Y. Campbell and published by University of Chicago Press. This book was released on 2008-11-15 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.
Download or read book Understanding Credit Derivatives and Related Instruments written by Antulio N. Bomfim and published by Academic Press. This book was released on 2015-11-23 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding Credit Derivatives and Related Instruments, Second Edition is an intuitive, rigorous overview that links the practices of valuing and trading credit derivatives with academic theory. Rather than presenting highly technical explorations, the book offers summaries of major subjects and the principal perspectives associated with them. The book's centerpiece is pricing and valuation issues, especially valuation tools and their uses in credit models. Five new chapters cover practices that have become commonplace as a result of the 2008 financial crisis, including standardized premiums and upfront payments. Analyses of regulatory responses to the crisis for the credit derivatives market (Basel III, Dodd-Frank, etc.) include all the necessary statistical and mathematical background for readers to easily follow the pricing topics. Every reader familiar with mid-level mathematics who wants to understand the functioning of the derivatives markets (in both practical and academic contexts) can fully satisfy his or her interests with the comprehensive assessments in this book. Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products, and more
Download or read book Monetary Policy Rules written by John B. Taylor and published by University of Chicago Press. This book was released on 2007-12-01 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume presents the latest thinking on the monetary policy rules and seeks to determine just what types of rules and policy guidelines function best. A unique cooperative research effort that allowed contributors to evaluate different policy rules using their own specific approaches, this collection presents their striking findings on the potential response of interest rates to an array of variables, including alterations in the rates of inflation, unemployment, and exchange. Monetary Policy Rules illustrates that simple policy rules are more robust and more efficient than complex rules with multiple variables. A state-of-the-art appraisal of the fundamental issues facing the Federal Reserve Board and other central banks, Monetary Policy Rules is essential reading for economic analysts and policymakers alike.
Download or read book Liquidity Markets and Trading in Action written by Deniz Ozenbas and published by Springer Nature. This book was released on 2022 with total page 111 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book addresses four standard business school subjects: microeconomics, macroeconomics, finance and information systems as they relate to trading, liquidity, and market structure. It provides a detailed examination of the impact of trading costs and other impediments of trading that the authors call rictions It also presents an interactive simulation model of equity market trading, TraderEx, that enables students to implement trading decisions in different market scenarios and structures. Addressing these topics shines a bright light on how a real-world financial market operates, and the simulation provides students with an experiential learning opportunity that is informative and fun. Each of the chapters is designed so that it can be used as a stand-alone module in an existing economics, finance, or information science course. Instructor resources such as discussion questions, Powerpoint slides and TraderEx exercises are available online.
