Financial Market Reaction to Federal Reserve Communications: Does the Crisis Make a Difference?

Financial Market Reaction to Federal Reserve Communications: Does the Crisis Make a Difference?

This paper studies the effects of Federal Reserve communications on US financial market returns from 1998 to 2009 and asks whether a significant change occurred during the financial crisis of August 2007–December 2009. We find, first, that central bank communication moves financial markets in the in...

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Veröffentlicht in:MAGKS - Joint Discussion Paper Series in Economics (Band 08-2008)
Autoren: Hayo, Bernd, Kutan, Ali M., Neuenkirch, Matthias
Format: Arbeit
Sprache:Englisch
Veröffentlicht: Philipps-Universität Marburg 2008
Schlagworte:
Monetary Policy
Central Bank Communication
Financial Markets
Wirtschaft
Federal Reserve
Financial Crisis
Economics
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Zusammenfassung:This paper studies the effects of Federal Reserve communications on US financial market returns from 1998 to 2009 and asks whether a significant change occurred during the financial crisis of August 2007–December 2009. We find, first, that central bank communication moves financial markets in the intended direction. In particular, shorter maturities are affected in an economically meaningful way. Second, speeches by the Chairman generate relatively more public attention than communication by other governors or presidents. Finally, central bank communication is even more market relevant during the financial crisis subsample.
ISSN:1867-3678
DOI:10.17192/es2023.0195

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