Monetary Policy Surprises and the Responses of Asset Prices: An Event Study Analysis
Journal: SocioEconomic Challenges (SEC) (Vol.1, No. 3)Publication Date: 2017-10-10
Authors : Yucheng Jiang Gang Wang;
Page : 22-44
Keywords : monetary policy; financial markets; federal reserve; rational expectation;
Abstract
Authors: Yucheng Jiang, PhD, The People's Bank of China, Financial Research Institute, Beijing, China Gang Wang, PhD, Merton M. Sealts, Jr. Visiting Assistant Professor, The College of Wooster, USA Pages: 22-44 DOI: 10.21272sec.l.1(3).22-44.2017 Download: Views: Downloads: 25 13 Abstract The monetary policy shocks have been widely regarded to have effects on the financial markets. Before the 2008 financial crisis, the Federal Reserve adjusted the federal funds target rate to implement the monetary policy. This paper uses event studies to examine the relationship between the Federal Reserve's interest rate decisions and the asset prices. We find that treasury bills and exchange rates of the developed countries were significantly influenced by the FED's unexpected monetary policy shocks from the year of 1989 to 2008. However, in the same period, exchange rates of the emerging markets responded weakly to the policy surprises. We also have observed that international equity markets and commodity prices were not sensitive to the rate decisions of the Federal Reserve. In addition, Treasury bill yields responded significantly to the anticipated and unanticipated rate decisions in both pre and post FOMC meeting days. We also show that the FED's unexpected monetary policy had significant 5 day post announcement impacts on prices of almost all assets.
Other Latest Articles
- Institutional Architecture For Sustainable Development (SD): A Case Study from Bangladesh, India, Nepal, and Pakistan
- FEATURES OF THE MANAGEMENT OF THE PROFESSIONAL DEVELOPMENT OF TEACHERS OF SECONDARY EDUCATIONAL INSTITUTIONS BY MEANS OF PROJECT TECHNOLOGIES
- Using economic-mathematical modeling in the study of the economic component of terrorism
- Research of innovation activity influence on return of stocks in industrial enterprises
- ДО ПРОБЛЕМИ СОЦІАЛЬНО-ПСИХОЛОГІЧНОЇ РЕАБІЛІТАЦІЇ ВІЙСЬКОВОСЛУЖБОВЦІВ В УМОВАХ АНТИТЕРОРИСТИЧНОЇ ОПЕРАЦІЇ
Last modified: 2017-11-28 21:56:33