Information spillovers of US monetary policy

Gai, Prasanna; Tong, Eric

doi:10.1016/j.jmacro.2022.103401

Cited by 6 publications

(1 citation statement)

References 26 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…For example, when the Federal Reserve announces a tight monetary policy, it communicates not only the monetary policy stance also the strong economic fundamentals of the United States (Nakamura and Steinsson, 2018). This gives rise to optimistic market expectations about the future of the economy, which in turn pushes up global output and asset prices (Gai and Tong, 2022). This change in market expectations based on new information is most directly reflected in financial markets in the volatility of interest rates (Melick, 2006).…”

Section: Theoretical Hypothesismentioning

confidence: 99%

RETRACTED: The Impact of FOMC Announcements on Cryptocurrency Risk Spillover in Different Market Conditions

2024

Preprint

View full text Add to dashboard Cite

This paper investigates the impact of FOMC announcements on cryptocurrency risk spillovers under different market conditions and their mechanisms of action. We calculate the high-frequency RGARCH volatilities of four major dirty cryptocurrencies and six major clean currencies, and apply the quantile-expanded joint-network approach to test their risk spillovers under different market conditions, and then investigate their impact and mechanism of action by monetary shocks. The results show that: (i) The total spillover in the extreme volatility market is larger than the total spillover in the normal market, and there is a tail asymmetry. (ii) The total cryptocurrency risk spillover in the highly volatile market, the normal market, and the smooth volatility market are all positively affected by monetary shocks. (iii) Mechanism analysis shows that the FOMC announcement will have an impact on the total cryptocurrency market risk spillover through two channels, which are changing the market expectations and hedging demand. Heterogeneity analysis shows that clean cryptocurrencies have positive net spillovers to dirty cryptocurrencies, and the mutual spillovers between the two are significantly affected by monetary shocks in extremely volatile markets.

show abstract

Section: Theoretical Hypothesismentioning

confidence: 99%