Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153160 
Autor:innen: 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
ECB Working Paper No. 726
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
This paper examines bond and stock market volatility reactions in the euro area and the US following their respective economies’ monetary policy decisions, over a uniform sample period (April 1999 to May 2006). For this purpose, intraday data on the US 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 US financial markets following Fed 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 US and in the euro area following monetary policy decisions still remains a puzzle, although some tentative explanations are provided in the paper.
Schlagwörter: 
intraday data
monetary policy
JEL: 
E52
E58
G14
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.48 MB





Publikationen in EconStor sind urheberrechtlich geschützt.