[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
The high-frequency impact of news on long-term yields and forward rates: Is it real?. (2009). Beechey, Meredith ; Wright, Jonathan H..
In: Journal of Monetary Economics.
RePEc:eee:moneco:v:56:y:2009:i:4:p:535-544.

Full description at Econpapers || Download paper

Cited: 98

Citations received by this document

Cites: 23

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Inflation news coverage, expectations and risk premium. (2023). Ortiz, Daniel Perico.
    In: FAU Discussion Papers in Economics.
    RePEc:zbw:iwqwdp:052023.

    Full description at Econpapers || Download paper

  2. A topic modeling perspective on investor uncertainty. (2023). Seifert, Oleg ; Schnaubelt, Matthias ; Ortiz, Daniel Perico.
    In: FAU Discussion Papers in Economics.
    RePEc:zbw:iwqwdp:042023.

    Full description at Econpapers || Download paper

  3. Does Real?Time Macroeconomic Information Help to Predict Interest Rates?. (2023). Coroneo, Laura ; Caruso, Alberto.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:55:y:2023:i:8:p:2027-2059.

    Full description at Econpapers || Download paper

  4. Economic policy statements, social media, and stock market uncertainty: An analysis of Donald Trump’s tweets. (2023). Ortiz, Daniel Perico.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09608-5.

    Full description at Econpapers || Download paper

  5. Macroeconomic Surprises and the Demand for Information about Monetary Policy. (2023). Tillmann, Peter.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2023:q:2:a:7.

    Full description at Econpapers || Download paper

  6. The Benefit of Inflation-Indexed Debt: Evidence from an Emerging Bond Market. (2023). , Jens.
    In: Working Paper Series.
    RePEc:fip:fedfwp:95617.

    Full description at Econpapers || Download paper

  7. Threats to central bank independence: High-frequency identification with twitter. (2023). Kung, Howard ; Kind, Thilo ; Gomez-Cram, Roberto ; Bianchi, Francesco.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:135:y:2023:i:c:p:37-54.

    Full description at Econpapers || Download paper

  8. Risk substitution in cryptocurrencies: Evidence from BRICS announcements. (2023). Pisera, Stefano ; Paltrinieri, Andrea ; Dreassi, Alberto ; Chiaramonte, Laura ; Alon, Ilan ; Goodell, John W.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122000553.

    Full description at Econpapers || Download paper

  9. Expectation dispersion, uncertainty, and the reaction to news. (2023). Enders, Zeno ; Dovern, Jonas ; Born, Benjamin.
    In: European Economic Review.
    RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000697.

    Full description at Econpapers || Download paper

  10. Monetary policy and the term structure of inflation expectations with information frictions. (2023). McNeil, James.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002913.

    Full description at Econpapers || Download paper

  11. Preferred habitat and monetary policy through the looking-glass. (2022). Ellison, Martin ; Carboni, Giacomo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20222697.

    Full description at Econpapers || Download paper

  12. .

    Full description at Econpapers || Download paper

  13. .

    Full description at Econpapers || Download paper

  14. The high frequency impact of economic policy narratives on stock market uncertainty. (2021). Ortiz, Daniel Perico.
    In: FAU Discussion Papers in Economics.
    RePEc:zbw:iwqwdp:022021.

    Full description at Econpapers || Download paper

  15. Inflation News and Euro-Area Inflation Expectations. (2021). Sebastian, ; Garcia, Juan Angel.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2021:q:3:a:1.

    Full description at Econpapers || Download paper

  16. Monetary policy surprises and their transmission through term premia and expected interest rates. (2021). Ustek, Roman ; Mumtaz, Haroon ; Kaminska, Iryna.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:124:y:2021:i:c:p:48-65.

    Full description at Econpapers || Download paper

  17. Monetary policy surprises and their transmission through term premia and expected interest rates. (2021). Sustek, Roman ; Mumtaz, Haroon ; Kaminska, Iryna.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0914.

    Full description at Econpapers || Download paper

  18. Oil, Equities, and the Zero Lower Bound. (2021). Vigfusson, Robert ; Kwon, Hannah ; Johannsen, Benjamin K ; Datta, Deepa D.
    In: American Economic Journal: Macroeconomics.
    RePEc:aea:aejmac:v:13:y:2021:i:2:p:214-53.

    Full description at Econpapers || Download paper

  19. Macroeconomic Surprises and the Demand for Information about Monetary Policy. (2020). Tillmann, Peter ; PeterTillmann, .
    In: VfS Annual Conference 2020 (Virtual Conference): Gender Economics.
    RePEc:zbw:vfsc20:224545.

    Full description at Econpapers || Download paper

  20. Expectation dispersion, uncertainty, and the reaction to news. (2020). Dovern, Jonas ; Born, Benjamin ; Enders, Zeno.
    In: Working Papers.
    RePEc:zbw:pp1859:29.

    Full description at Econpapers || Download paper

  21. Cojump anchoring. (2020). Yao, Wenying ; Winkelmann, Lars.
    In: Discussion Papers.
    RePEc:zbw:fubsbe:202017.

    Full description at Econpapers || Download paper

  22. The US, Economic News, and the Global Financial Cycle. (2020). Kroner, T. Niklas ; Boehm, Christoph.
    In: Working Papers.
    RePEc:mie:wpaper:677.

    Full description at Econpapers || Download paper

  23. Macroeconomic Surprises and the Demand for Information about Monetary Policy. (2020). Tillmann, Peter ; PeterTillmann, .
    In: MAGKS Papers on Economics.
    RePEc:mar:magkse:202007.

    Full description at Econpapers || Download paper

  24. Real Term Structure and New Keynesian Models. (2020). Kısacıkoğlu, Burçin ; Kisacikolu, Burin.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2020:q:2:a:3.

    Full description at Econpapers || Download paper

  25. Macro news and long-run volatility expectations. (2020). Wilhelmsson, Anders ; Vilhelmsson, Anders.
    In: Knut Wicksell Working Paper Series.
    RePEc:hhs:luwick:2020_001.

    Full description at Econpapers || Download paper

  26. Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin. (2020). Širaňová, Mária ; Molnár, Peter ; Lyócsa, Štefan ; Iraova, Maria ; Plihal, Toma ; Molnar, Peter.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301482.

    Full description at Econpapers || Download paper

  27. Monetary policy and the term structure of Inflation expectations with information frictions. (2020). McNeil, James.
    In: Working Papers.
    RePEc:dal:wpaper:daleconwp2020-07.

    Full description at Econpapers || Download paper

  28. Expectation dispersion, uncertainty, and the reaction to news. (2020). Enders, Zeno ; Dovern, Jonas ; Born, Benjamin.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:15581.

    Full description at Econpapers || Download paper

  29. Monetary policy surprises and their transmission through term premia and expected interest rates. (2020). Sustek, Roman ; mumtaz, haroon ; Kaminska, Iryna.
    In: Discussion Papers.
    RePEc:cfm:wpaper:2024.

    Full description at Econpapers || Download paper

  30. Expectation Dispersion, Uncertainty, and the Reaction to News. (2020). Enders, Zeno ; Dovern, Jonas ; Born, Benjamin.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_8801.

    Full description at Econpapers || Download paper

  31. Threats to Central Bank Independence: High-Frequency Identification with Twitter. (2019). Bianchi, Francesco ; Kind, Thilo ; Kung, Howard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:26308.

    Full description at Econpapers || Download paper

  32. Central bank announcements and realized volatility of stock markets in G7 countries. (2019). Molnár, Peter ; Lyócsa, Štefan ; Plihal, Toma ; Molnar, Peter ; Lyocsa, Tefan.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:58:y:2019:i:c:p:117-135.

    Full description at Econpapers || Download paper

  33. Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks: Evidence Using Daily Surveys from Brazil. (2019). Timmermann, Allan ; Qu, Ritong ; Burjack, Rafael .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14097.

    Full description at Econpapers || Download paper

  34. Threats to Central Bank Independence: High-Frequency Identification with Twitter. (2019). Kung, Howard ; Kind, Thilo ; Bianchi, Francesco.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14021.

    Full description at Econpapers || Download paper

  35. Economic announcements and the 10-year US Treasury bond: Surprising findings without the surprise component.. (2018). Filis, George ; Degiannakis, Stavros ; Tsemperlidis, Stefanos.
    In: MPRA Paper.
    RePEc:pra:mprapa:94176.

    Full description at Econpapers || Download paper

  36. High-Frequency Identification of Monetary Non-Neutrality: The Information Effect. (2018). Nakamura, Emi ; Steinsson, Jon.
    In: The Quarterly Journal of Economics.
    RePEc:oup:qjecon:v:133:y:2018:i:3:p:1283-1330..

    Full description at Econpapers || Download paper

  37. Interest rate conundrums in the twenty-first century. (2018). Wright, Jonathan ; Lucca, David ; Hanson, Samuel.
    In: Staff Reports.
    RePEc:fip:fednsr:810.

    Full description at Econpapers || Download paper

  38. Oil, Equities, and the Zero Lower Bound. (2018). Vigfusson, Robert ; Datta, Deepa ; Kwon, Hannah ; Johannsen, Benjamin K.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2018-58.

    Full description at Econpapers || Download paper

  39. Monetary policy uncertainty and the market reaction to macroeconomic news. (2018). Kurov, Alexander ; Stan, Raluca.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:86:y:2018:i:c:p:127-142.

    Full description at Econpapers || Download paper

  40. Macroeconomic uncertainty and the distant forward-rate slope. (2018). Connolly, Robert ; Stivers, Chris ; Dubofsky, David.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:140-161.

    Full description at Econpapers || Download paper

  41. Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

    Full description at Econpapers || Download paper

  42. Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises. (2018). Gürkaynak, Refet ; Wright, Jonathan H ; Kisacikoglu, Burin ; Gurkaynak, Refet S.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:13153.

    Full description at Econpapers || Download paper

  43. Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises. (2018). Kısacıkoğlu, Burçin ; Gürkaynak, Refet ; Wright, Jonathan H ; Kisacikolu, Burin ; Gurkaynak, Refet S.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_7229.

    Full description at Econpapers || Download paper

  44. Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?. (2017). Strasser, Georg ; Vega, Clara ; Scotti, Chiara ; Gilbert, Thomas.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:92:y:2017:i:c:p:78-95.

    Full description at Econpapers || Download paper

  45. Low frequency effects of macroeconomic news on government bond yields. (2017). Modugno, Michele ; Giannone, Domenico ; Altavilla, Carlo.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:92:y:2017:i:c:p:31-46.

    Full description at Econpapers || Download paper

  46. Qualitative and quantitative central bank communication and inflation expectations. (2017). Hubert, Paul ; Paul, Hubert .
    In: The B.E. Journal of Macroeconomics.
    RePEc:bpj:bejmac:v:17:y:2017:i:1:p:41:n:7.

    Full description at Econpapers || Download paper

  47. Oil, equities, and the zero lower bound. (2017). Vigfusson, Robert ; Datta, Deepa ; Kwon, Hannah ; Johannsen, Benjamin K.
    In: BIS Working Papers.
    RePEc:bis:biswps:617.

    Full description at Econpapers || Download paper

  48. The Effect of Central Bank Transparency on Exchange Rate Volatility. (2017). Weber, Christoph.
    In: Working Papers.
    RePEc:bav:wpaper:174_weber.

    Full description at Econpapers || Download paper

  49. ECB Monetary Policy Surprises: Identification Through Cojumps in Interest Rates. (2016). Winkelmann, Lars ; Linzert, Tobias ; Bibinger, Markus.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:31:y:2016:i:4:p:613-629.

    Full description at Econpapers || Download paper

  50. The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets. (2016). Medeiros, Marcelo ; Pinto, Marcio Gomes ; Santos, Francisco Luna .
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:36:y:2016:i:2:a:46421.

    Full description at Econpapers || Download paper

  51. Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?. (2016). Strasser, Georg ; Scotti, Chiara ; Vega, Clara ; Gilbert, Thomas.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2015-46.

    Full description at Econpapers || Download paper

  52. The time-varying degree of inflation expectations anchoring. (2016). Nautz, Dieter ; Melnick, Rafi ; Strohsal, Till.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:48:y:2016:i:c:p:62-71.

    Full description at Econpapers || Download paper

  53. Macroeconomic news and the real interest rates at the zero lower bound. (2016). Zhang, JI.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:48:y:2016:i:c:p:172-185.

    Full description at Econpapers || Download paper

  54. Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Ait-Sahalia, Yacine ; Xiu, Dacheng.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

    Full description at Econpapers || Download paper

  55. Is the intrinsic value of macroeconomic news announcements related to their asset price impact?. (2016). Strasser, Georg ; Scotti, Chiara ; Vega, Clara ; Gilbert, Thomas.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161882.

    Full description at Econpapers || Download paper

  56. Asymmetries on Closed End Country Funds Premium and Monetary Policy Announcements: An Approach Trough the Perspective of Foreign Countries. (2015). Koufadakis, Stylianos X.
    In: SPOUDAI Journal of Economics and Business.
    RePEc:spd:journl:v:65:y:2015:i:3-4:p:29-65.

    Full description at Econpapers || Download paper

  57. Inflation Expectations and the News. (2015). Bauer, Michael.
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2015:q:2:a:1.

    Full description at Econpapers || Download paper

  58. The Time-Varying Degree of Inflation Expectations Anchoring. (2015). Nautz, Dieter ; Melnick, Rafi ; Strohsal, Till.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2015-028.

    Full description at Econpapers || Download paper

  59. Risks in macroeconomic fundamentals and excess bond returns predictability. (2015). De Rezende, Rafael.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0295.

    Full description at Econpapers || Download paper

  60. Macroannouncements, bond auctions and rating actions in the European government bond spreads. (2015). Urga, Giovanni ; Boffelli, Simona .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:53:y:2015:i:c:p:148-173.

    Full description at Econpapers || Download paper

  61. Assessing the anchoring of inflation expectations. (2015). Winkelmann, Lars ; Strohsal, Till.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:50:y:2015:i:c:p:33-48.

    Full description at Econpapers || Download paper

  62. Monetary policy, long real yields and the financial crisis. (2014). Moretti, Laura.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:457.

    Full description at Econpapers || Download paper

  63. Disentangling qualitative and quantitative central bank influence. (2014). Hubert, Paul.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/2t6uivimtr9438i2qqu6kgfded.

    Full description at Econpapers || Download paper

  64. The impact of macroeconomic announcements in the Brazilian futures markets. (2014). Medeiros, Marcelo ; Francisco Eduardo de Luna e Almeida Santos, ; Garcia, Marcio.
    In: Textos para discussão.
    RePEc:rio:texdis:623.

    Full description at Econpapers || Download paper

  65. Disentangling qualitative and quantitative central bank influence. (2014). Hubert, Paul.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01098464.

    Full description at Econpapers || Download paper

  66. Inflation Expectations and the News. (2014). Bauer, Michael.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2014-09.

    Full description at Econpapers || Download paper

  67. Disentangling qualitative and quantitative central bank influence. (2014). Hubert, Paul.
    In: Documents de Travail de l'OFCE.
    RePEc:fce:doctra:1423.

    Full description at Econpapers || Download paper

  68. The high-frequency response of energy prices to U.S. monetary policy: Understanding the empirical evidence. (2014). Rosa, Carlo.
    In: Energy Economics.
    RePEc:eee:eneeco:v:45:y:2014:i:c:p:295-303.

    Full description at Econpapers || Download paper

  69. Level shifts in stock returns driven by large shocks. (2014). Tzavalis, Elias ; Dendramis, Yiannis ; Kapetanios, George.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:41-51.

    Full description at Econpapers || Download paper

  70. Testable implications of affine term structure models. (2014). Wu, Jing Cynthia ; Hamilton, James.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:178:y:2014:i:p2:p:231-242.

    Full description at Econpapers || Download paper

  71. ECB monetary policy surprises: identification through cojumps in interest rates. (2014). Winkelmann, Lars ; Linzert, Tobias ; Bibinger, Markus.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20141674.

    Full description at Econpapers || Download paper

  72. Monetary policy and TIPS yields before the crisis. (2014). Moretti, Laura ; Stefan, Gerlach ; Laura, Moretti .
    In: The B.E. Journal of Macroeconomics.
    RePEc:bpj:bejmac:v:14:y:2014:i:1:p:13:n:10.

    Full description at Econpapers || Download paper

  73. ECB monetary policy surprises: identification through cojumps in interest rates. (2013). Winkelmann, Lars ; Linzert, Tobias ; Bibinger, Markus.
    In: Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
    RePEc:zbw:vfsc13:79721.

    Full description at Econpapers || Download paper

  74. High Frequency Identification of Monetary Non-Neutrality: The Information Effect. (2013). Steinsson, Jon ; Nakamura, Emi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19260.

    Full description at Econpapers || Download paper

  75. ECB monetary policy surprises: identification through cojumps in interest rates. (2013). Winkelmann, Lars ; Linzert, Tobias ; Bibinger, Markus.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-038.

    Full description at Econpapers || Download paper

  76. Using Financial Markets To Estimate the Macro Effects of Monetary Policy:. (2013). Pitschner, Stefan .
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0267.

    Full description at Econpapers || Download paper

  77. The high-frequency response of energy prices to monetary policy: understanding the empirical evidence. (2013). Rosa, Carlo.
    In: Staff Reports.
    RePEc:fip:fednsr:598.

    Full description at Econpapers || Download paper

  78. Not so fast: high-frequency financial data for macroeconomic event studies. (2013). Ozdagli, Ali.
    In: Working Papers.
    RePEc:fip:fedbwp:13-19.

    Full description at Econpapers || Download paper

  79. Identification and Estimation of Gaussian Affine Term Structure Models. (2012). Wu, Jing Cynthia ; Hamilton, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17772.

    Full description at Econpapers || Download paper

  80. Assessing the Anchoring of Inflation Expectations. (2012). Winkelmann, Lars ; Strohsal, Till.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2012-022.

    Full description at Econpapers || Download paper

  81. How unconventional are large-scale asset purchases? The impact of monetary policy on asset prices. (2012). Rosa, Carlo.
    In: Staff Reports.
    RePEc:fip:fednsr:560.

    Full description at Econpapers || Download paper

  82. The microstructure of the TIPS market. (2012). Fleming, Michael ; Krishnan, Neel .
    In: Economic Policy Review.
    RePEc:fip:fednep:y:2012:i:mar:p:27-45:n:v.18no.1.

    Full description at Econpapers || Download paper

  83. Identification and estimation of Gaussian affine term structure models. (2012). Wu, Jing Cynthia ; Hamilton, James.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:168:y:2012:i:2:p:315-331.

    Full description at Econpapers || Download paper

  84. Testable Implications of Affine Term Structure Models. (2011). Wu, Jing Cynthia ; Hamilton, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16931.

    Full description at Econpapers || Download paper

  85. The term structure of inflation compensation in the nominal yield curve. (2011). Pasaogullari, Mehmet ; Tsonevy, Simeon .
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:1133.

    Full description at Econpapers || Download paper

  86. The impact of ECB and FED announcements on the Euro interest rates. (2011). Vaciago, Giacomo ; Peel, David ; Monticini, Andrea.
    In: Economics Letters.
    RePEc:eee:ecolet:v:113:y:2011:i:2:p:139-142.

    Full description at Econpapers || Download paper

  87. The Impact of Macroeconomic News on Bond Yields: (In)Stabilities over Time and Relative Importance. (2011). Liebermann, Joëlle.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:7/rt/11.

    Full description at Econpapers || Download paper

  88. Do Markets Care Who Chairs the Central Bank?. (2010). Posen, Adam ; Kuttner, Kenneth N.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:42:y:2010:i:2-3:p:347-371.

    Full description at Econpapers || Download paper

  89. Interpreting Market Responses to Economic Data. (2010). Poole, Emily ; DArcy, Patrick .
    In: RBA Bulletin.
    RePEc:rba:rbabul:sep2010-05.

    Full description at Econpapers || Download paper

  90. The sensitivity of long-term interest rates to economic news: comment. (2010). Barnes, Michelle ; Pancost, Aaron N..
    In: Working Papers.
    RePEc:fip:fedbwp:10-7.

    Full description at Econpapers || Download paper

  91. Understanding Inflation-Indexed Bond Markets. (2009). Viceira, Luis ; Shiller, Robert ; Campbell, John.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2587.

    Full description at Econpapers || Download paper

  92. Understanding Inflation-Indexed Bond Markets. (2009). Viceira, Luis ; Shiller, Robert ; Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15014.

    Full description at Econpapers || Download paper

  93. Understanding Inflation-Indexed Bond Markets. (2009). Viceira, Luis ; Shiller, Robert ; Campbell, John.
    In: Scholarly Articles.
    RePEc:hrv:faseco:10885503.

    Full description at Econpapers || Download paper

  94. Understanding Inflation-Indexed Bond Markets. (2009). Viceira, Luis ; Shiller, Robert ; Campbell, John.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1696.

    Full description at Econpapers || Download paper

  95. Understanding Inflation-Indexed Bond Markets. (2009). Viceira, Luis ; Shiller, Robert ; Campbell, John.
    In: Brookings Papers on Economic Activity.
    RePEc:bin:bpeajo:v:40:y:2009:i:2009-01:p:79-138.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Andersen, T. ; Bollerslev, T. ; Diebold, F.X. ; Vega, C. Real-time price discovery in global stock, bond and foreign exchange markets. 2007 Journal of International Economics. 73 251-277

  2. Andersen, T.G. ; Bollerslev, T. ; Diebold, F.X. ; Vega, C. Micro effects of macro announcements: real-time price discovery in foreign exchange. 2003 American Economic Review. 93 38-62

  3. Bansal, R. ; Yaron, A. Risks for the long run. A potential resolution of asset pricing puzzles. 2004 Journal of Finance. 57 1997-2043

  4. Bansal, R., Shaliastovich, I., 2008. A long-run risks explanation of predictability puzzles in bond and currency markets. Working Paper.

  5. Beechey, M.J., 2007. A closer look at the sensitivity puzzle: the sensitivity of expected future short rates and term premia to macroeconomic news. Finance and Economics Discussion Series, 2007-6.

  6. Beechey, M.J., Johannsen, B., Levin A.T., 2007. Are long-run inflation expectations more firmly anchored in the Euro area than the United States? CEPR Discussion Paper no. DP6536.

  7. Christiano, L.J. ; Eichenbaum, M. ; Evans, C.L. Nominal rigidities and the dynamic effects of a shock to monetary policy. 2005 Journal of Political Economy. 113 1-145

  8. Cook, T. ; Hahn, T. The effect of changes in the federal funds rate target on market interest rates in the 1970s. 1989 Journal of Monetary Economics. 24 331-351

  9. Ederington, L.H. ; Lee, J.H. How markets process information: news releases and volatility. 1993 Journal of Finance. 48 1161-1191

  10. Edge, R.M. ; Laubach, T. ; Williams, J.C. Learning and shifts in long-run productivity growth. 2007 Journal of Monetary Economics. 54 2421-2438

  11. Fleming, M.J. ; Remolona, E. Price formation and liquidity in the US treasury market: the response to public information. 1999 Journal of Finance. 54 1901-1915

  12. French, K.R. ; Roll, R. Stock return variances: the arrival of information and the reaction of traders. 1986 Journal of Financial Economics. 17 5-26

  13. Gürkaynak, R.S. ; Levin, A.T. ; Swanson, E.T. Do actions speak louder than words? The response of asset prices to monetary policy actions and statements. 2005 International Journal of Central Banking. 1 55-93

  14. Gürkaynak, R.S. ; Levin, A.T. ; Swanson, E.T. The excess sensitivity of long term interest rates: evidence and implications for macroeconomic models. 2005 American Economic Review. 95 425-436

  15. Gürkaynak, R.S. ; Sack, B. ; Wright, J.H. The US treasury yield curve: 1961 to the present. 2007 Journal of Monetary Economics. 54 2291-2304

  16. Gürkaynak, R.S., Levin, A.T., Swanson, E.T., 2009a. Does inflation targeting anchor long-run inflation expectations? Evidence from long-term bond yields in the US, UK and Sweden. Forthcoming in the Journal of the European Economic Association.

  17. Gürkaynak, R.S., Sack, B., Wright. J.H., 2009b. The TIPS yield curve and inflation compensation. American Economics Journal: Macroeconomics, forthcoming.
    Paper not yet in RePEc: Add citation now

  18. Goldberg, L.S., Klein, M.W., 2005. Establishing credibility: evolving perceptions of the European Central Bank. Working Paper.

  19. Hausman, J. Specification tests in econometrics. 1978 Econometrica. 46 1251-1271

  20. Kuttner, K.N. Monetary policy surprises and interest rates: evidence from the fed funds futures market. 2001 Journal of Monetary Economics. 47 523-544

  21. Roley, V.V. ; Sellon, G.H. Monetary policy actions and long-term interest rates. 1995 Federal Reserve Bank of Kansas City Economic Quarterly. 80 77-89

  22. Shiller, R. ; Campbell, J.Y. ; Schoenholtz, K. Forward rates and future policy: interpreting the term structure of interest rates. 1983 Brookings Papers on Economic Activity. 1 173-217

  23. Smets, F. ; Wouters, R. Shocks and frictions in US business cycles: a Bayesian DSGE approach. 2007 American Economic Review. 97 586-606

Cocites

Documents in RePEc which have cited the same bibliography

  1. What triggers stock market jumps?. (2021). Davis, Steven ; bloom, nicholas ; Sammon, Marco ; Baker, Scott R.
    In: CEP Discussion Papers.
    RePEc:cep:cepdps:dp1789.

    Full description at Econpapers || Download paper

  2. Price drift before U.S. macroeconomic news: private information about public announcements?. (2016). Strasser, Georg ; Kurov, Alexander ; Wolfe, Marketa ; Sancetta, Alessio .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20161901.

    Full description at Econpapers || Download paper

  3. Volume, Volatility and Public News Announcements. (2016). Xue, Yuan ; Li, Jia.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-19.

    Full description at Econpapers || Download paper

  4. The world market risk premium and U.S. macroeconomic announcements. (2015). Du, Ding ; Hu, OU.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:58:y:2015:i:c:p:75-97.

    Full description at Econpapers || Download paper

  5. Contemporaneous Spill‐Over Among Equity, Gold, and Exchange Rate Implied Volatility Indices. (2013). Tourani-Rad, Alireza ; Frijns, Bart ; Badshah, Ihsan ; TouraniRad, Alireza .
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:33:y:2013:i:6:p:555-572.

    Full description at Econpapers || Download paper

  6. The time-varying response of foreign stock markets to U.S. monetary policy surprises: Evidence from the Federal funds futures market. (2013). Marfatia, Hardik ; Kishor, N.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:24:y:2013:i:c:p:1-24.

    Full description at Econpapers || Download paper

  7. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1302.

    Full description at Econpapers || Download paper

  8. Oil Prices, Exchange Rates and Asset Prices. (2013). Van Robays, Ine ; Fratzscher, Marcel ; Schneider, Daniel.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4264.

    Full description at Econpapers || Download paper

  9. The impact of foreign macroeconomic news on financial markets in the Czech Republic, Hungary, and Poland. (2012). Neuenkirch, Matthias ; Hayo, Bernd ; Buttner, David .
    In: Empirica.
    RePEc:kap:empiri:v:39:y:2012:i:1:p:19-44.

    Full description at Econpapers || Download paper

  10. U.S. Monetary Policy Surprises and International Securitized Real Estate Markets. (2011). Yang, Jian ; Xu, Pisun .
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:43:y:2011:i:4:p:459-490.

    Full description at Econpapers || Download paper

  11. The Real Exchange Rate, Real Interest Rates, and the Risk Premium. (2011). Engel, Charles.
    In: Working Papers.
    RePEc:hkm:wpaper:272011.

    Full description at Econpapers || Download paper

  12. Information aggregation around macroeconomic announcements: Revisions matter. (2011). Gilbert, Thomas.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:101:y:2011:i:1:p:114-131.

    Full description at Econpapers || Download paper

  13. The reaction of stock returns to unexpected increases in the federal funds rate target. (2011). Tsai, Chun-Li.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:63:y::i:2:p:121-138.

    Full description at Econpapers || Download paper

  14. Does the Bund dominate price discovery in Euro bond futures? Examining information shares. (2011). Menkhoff, Lukas ; Fricke, Christoph.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1057-1072.

    Full description at Econpapers || Download paper

  15. Simultaneous monetary policy announcements and international stock markets response: An intraday analysis. (2011). Hussain, Syed Mujahid.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:3:p:752-764.

    Full description at Econpapers || Download paper

  16. Extreme returns: The case of currencies. (2011). Savaser, Tanseli ; Osler, Carol .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:11:p:2868-2880.

    Full description at Econpapers || Download paper

  17. The effect of macroeconomic news on stock returns: New evidence from newspaper coverage. (2011). Birz, Gene ; Lott, John R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:11:p:2791-2800.

    Full description at Econpapers || Download paper

  18. The impact of macroeconomic news on quote adjustments, noise, and informational volatility. (2011). Veredas, David ; Hautsch, Nikolaus ; Hess, Dieter .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2733-2746.

    Full description at Econpapers || Download paper

  19. Macroeconomic fundamentals, price discovery, and volatility dynamics in emerging bond markets. (2011). Tamirisa, Natalia ; Nowak, Sylwia ; Jobst, Andreas ; Andritzky, Jochen.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2584-2597.

    Full description at Econpapers || Download paper

  20. Intraday jumps and US macroeconomic news announcements. (2011). Evans, Kevin P..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:10:p:2511-2527.

    Full description at Econpapers || Download paper

  21. Size, book-to-market ratio and macroeconomic news. (2011). Cenesizoglu, Tolga.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:2:p:248-270.

    Full description at Econpapers || Download paper

  22. A reduced form framework for modeling volatility of speculative prices based on realized variation measures. (2011). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:176-189.

    Full description at Econpapers || Download paper

  23. The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility. (2010). Veredas, David ; Hautsch, Nikolaus ; Hess, Dieter .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2010-005.

    Full description at Econpapers || Download paper

  24. News announcements and price discovery in foreign exchange spot and futures markets. (2010). Gau, Yin-Feng ; Chen, Yu-Lun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:7:p:1628-1636.

    Full description at Econpapers || Download paper

  25. The electronic trading systems and bid-ask spreads in the foreign exchange market. (2010). Ding, Liang ; Hiltrop, Jonas .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:4:p:323-345.

    Full description at Econpapers || Download paper

  26. Dynamic news effects in high frequency Euro exchange rates. (2010). Evans, Kevin P. ; Speight, Alan E. H., .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:3:p:238-258.

    Full description at Econpapers || Download paper

  27. Trading activity, realized volatility and jumps. (2010). PETITJEAN, Mikael ; Laurent, Sébastien ; Giot, Pierre.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:1:p:168-175.

    Full description at Econpapers || Download paper

  28. Asset Prices, News Shocks and the Current Account. (2010). Straub, Roland ; Fratzscher, Marcel.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8080.

    Full description at Econpapers || Download paper

  29. The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility. (2009). Laakkonen, Helinä ; Lanne, Markku.
    In: MPRA Paper.
    RePEc:pra:mprapa:23718.

    Full description at Econpapers || Download paper

  30. The Determinants of Stock and Bond Return Comovements. (2009). Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15260.

    Full description at Econpapers || Download paper

  31. Financial crisis, exchange rate and stock market integration. (2009). Yoshida, Yushi.
    In: Discussion Papers.
    RePEc:kyu:dpaper:38.

    Full description at Econpapers || Download paper

  32. Global private information in international equity markets. (2009). Schneider, Martin ; Bauer, Gregory ; Albuquerque, Rui.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:94:y:2009:i:1:p:18-46.

    Full description at Econpapers || Download paper

  33. The on-the-run liquidity phenomenon. (2009). Pasquariello, Paolo ; Vega, Clara .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:92:y:2009:i:1:p:1-24.

    Full description at Econpapers || Download paper

  34. The stock-bond correlation and macroeconomic conditions: One and a half centuries of evidence. (2009). Yang, Jian ; Zhou, Yinggang ; Wang, Zijun.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:4:p:670-680.

    Full description at Econpapers || Download paper

  35. Real-time effects of central bank intervention in the euro market. (2009). Fatum, Rasmus ; Pedersen, Jesper .
    In: Journal of International Economics.
    RePEc:eee:inecon:v:78:y:2009:i:1:p:11-20.

    Full description at Econpapers || Download paper

  36. Empirical evidence on jumps in the term structure of the US Treasury Market. (2009). Smith, L. Vanessa ; Dungey, Mardi ; McKenzie, Michael .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:430-445.

    Full description at Econpapers || Download paper

  37. Emerging market sovereign spreads, global financial conditions and U.S. macroeconomic news. (2009). Ozatay, Fatih ; Şahinbeyoğlu, Gülbin ; zmen, Erdal ; Sahinbeyoglu, Gulbin.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:2:p:526-531.

    Full description at Econpapers || Download paper

  38. Asset prices and current account fluctuations in G7 economies. (2009). Straub, Roland ; Fratzscher, Marcel.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20091014.

    Full description at Econpapers || Download paper

  39. Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?. (2009). Kilian, Lutz ; Hicks, Bruce .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7265.

    Full description at Econpapers || Download paper

  40. Macroeconomic Volatility and Stock Market Volatility, World-Wide. (2008). Yilmaz, Kamil ; Diebold, Francis.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:08-031.

    Full description at Econpapers || Download paper

  41. Stochastic Volatility: Origins and Overview. (2008). Shephard, Neil ; Andersen, Torben.
    In: Economics Papers.
    RePEc:nuf:econwp:0804.

    Full description at Econpapers || Download paper

  42. Macroeconomic Volatility and Stock Market Volatility, Worldwide. (2008). Yilmaz, Kamil ; Diebold, Francis.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14269.

    Full description at Econpapers || Download paper

  43. Efficient Prediction of Excess Returns. (2008). Wright, Jonathan ; Faust, Jon.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14169.

    Full description at Econpapers || Download paper

  44. New Shocks, Exchange Rates and Equity Prices. (2008). Rebucci, Alessandro ; Pisani, Massimiliano ; Matsumoto, Akito ; Cova, Pietro.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2008/284.

    Full description at Econpapers || Download paper

  45. Information shares in the US Treasury market. (2008). Neely, Christopher ; Mizrach, Bruce.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:7:p:1221-1233.

    Full description at Econpapers || Download paper

  46. Macroeconomic cycles and the stock markets reaction to monetary policy. (2008). Kurov, Alexander ; Basistha, Arabinda.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:12:p:2606-2616.

    Full description at Econpapers || Download paper

  47. Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices. (2008). Vega, Clara ; Kilian, Lutz.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7015.

    Full description at Econpapers || Download paper

  48. The microstructure of the U.S. treasury market. (2007). Neely, Christopher ; Mizrach, Bruce.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-052.

    Full description at Econpapers || Download paper

  49. Risk, Jumps, and Diversification. (2007). Tauchen, George ; Law, Tzuo Hann ; Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-19.

    Full description at Econpapers || Download paper

  50. A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures. (2007). Bollerslev, Tim ; Andersen, Torben ; Huang, Xin.
    In: CREATES Research Papers.
    RePEc:aah:create:2007-14.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-14 16:35:43 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.