Announcements and the effectiveness of monetary policy: A view from the US prime rate

Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations

“…4 Nautz and Schmidt (2009) show that the link between FOMC target rate announcements and the federal funds rate has become much stronger since 1994 due to improved communication and transparency. Kobayashi (2009) documents the same phenomenon for the US prime rate. 5 We are grateful to Jonathan Wright for providing these exact announcement times.…”

Simultaneous monetary policy announcements and international stock markets response: An intraday analysis

“…employs high frequency data on STOXX50 as a representative index for the Euro area Kobayashi (2009). documents the same phenomenon for the US prime rate.…”

Optimal irreversible monetary policy

“…For simplicity, in this section we only consider positive and negative policy shifts (i.e., δ ∈ {−1, 1}), since it is hard to identify the timing of "no policy change" (i.e., δ = 0). Because there was always a possibility of having a non-regular policy meeting especially in the 80's, looking only at the regularly held meetings does not fully capture the decision of the central banks to do nothing (Thornton, 2006;Kobayashi, 2009). It should be noted that the number of reversal policy changes would be lower if we included the events with δ = 0.…”