Monetary policy announcements and stock reactions: An international comparison

Wang, Shen; Mayes, David G.

doi:10.1016/j.najef.2012.02.002

Cited by 37 publications

(16 citation statements)

References 38 publications

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“…The more favorable the macroeconomic conditions, the smaller the impact of ∆r u t on bond yields. This finding is consistent with previous findings of a time-varying response of asset prices to ∆r u t (among others, Kurov 2012, Wang and Mayes 2012, and Marfatia 2015. In this case, however, this estimate reflects the time-varying response of bonds to all policy-relevant news rather than only to monetary policy news, since ∆r u t on all days t serves as a latent variable to account for the market's reaction to news not related to monetary policy.…”

Section: Yield Curve -Swiss Government Bondssupporting

confidence: 91%

Asset market response to monetary policy news from SNB press releases

Hüning

2017

The North American Journal of Economics and Finance

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. www.econstor.eu Terms of use: Documents in Asset market response to monetary policy news from SNB press releasesHendrik Hüning * AbstractThis paper analyses the effects of Swiss National Bank (SNB) communication on asset prices. It distinguishes between different monetary policy news contained in press releases following a monetary policy decision. Employing a latent variable approach and event-study methods, I find that medium-and long-term bond yields respond to changes in the communicated inflation and GDP forecasts as well as to the degree of pessimism expressed in press releases. Exchange rates mainly react to changes in the GDP forecast while stocks do not react to SNB communication on monetary policy announcement days. Additionally, short-term expectations about the future path of the policy rate are driven by the communicated inflation forecast. The results underline the role of qualitative news next to quantitative forecasts in influencing market expectations and asset prices.

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Section: Yield Curve -Swiss Government Bondssupporting

confidence: 91%

Asset market response to monetary policy news from SNB press releases

Hüning

2017

The North American Journal of Economics and Finance

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“…In earlier studies on this aspect, Berger and Bouwman (2012) showed that in USA, the financial (Banking) sector response to monetary policy in Pre-Dot com bubble period was limited to the small and medium banks; nevertheless, they found that the effect of monetary policy on the financial (Banking) sector decreased during and after the crisis. In specific to the stock market, Wang and Mayes (2012) found a significant negative stock price reaction to monetary policy surprises in the Pre-financial crisis in UK, EU, New Zealand and Australian stock markets, but they found that the UK and euro area responses to both expected and surprise rate change components become positive during the crisis. In contrast, the New Zealand and Australian stock responses remained negative during the crisis.…”

Section: Introductionmentioning

confidence: 97%

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

Nasir

2017

J. Quant. Econ.

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This study analyses the dynamics of integration among global financial markets in the context of Global Financial Crisis (2008) by employing a Panel Vector Autoregressive (VAR) model on the monthly data of nine countries and three markets from Jan 2003 to Oct 2015. It was found that there has been a shift in the association among the global financial markets since Global Financial Crisis (GFC). Moreover, the British financial sectors in Post-GFC world clearly showed a change in the association with the global financial sectors. Particularly, the emerging markets including China, Brazil and India showed a comparatively more significant impact on the UK financial sector implying the increased importance of the latter in the recent past. The German and USA financial sector also showed a change in its impact in the Post-GFC world. It showed that Germany and USA financial sectors have become competitive to the UK financial Sector as the surge in them lead to a relative response from the UK financial sector which could be associated with the portfolio adjustment.

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“…For instance, Hayo and Niehof (2011) find that the estimated coefficients related to the effects of the ECB monetary policy on several European equity markets during the financial crisis period are not significantly different from those estimated over the precrisis period. In contrast, Wang and Mayes (2012) show that during the precrisis period stock markets negatively reacted to a surprise policy rate increase. However, during the crisis, there is a positive response to such changes.…”

Section: Empirical Results and Discussionmentioning

confidence: 77%

What does unconventional monetary policy do to stock markets in the euro area?

Chebbi

2018

Int. J Fin Econ

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This paper investigates the impact of the European Central Bank's unconventional monetary surprises on major European stock markets. Three measures for surprises are used: (a) the change in domestic 10‐year government bond yields, (b) the change in the spread between German and Italian (Spanish) 10‐year bond yields, and (c) the change in yields of a safe euro‐denominated asset, such as German bonds. I show that unconventional monetary policy surprises significantly influence stock returns. For instance, monetary decisions that cause a decrease in Italian (Spanish) sovereign spread led to an increase in the stock returns. In addition, I find that a positively surprising shock—a fall in the domestic bond yield and an increase in German interest rates—leads to higher stock returns. Finally, sovereign spreads seemed to have larger effects on stock returns both during crisis and postcrisis years.

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Monetary policy announcements and stock reactions: An international comparison

Cited by 37 publications

References 38 publications

Asset market response to monetary policy news from SNB press releases

Asset market response to monetary policy news from SNB press releases

Integration of Financial Markets in Post Global Financial Crises and Implications for British Financial Sector: Analysis Based on A Panel VAR Model

What does unconventional monetary policy do to stock markets in the euro area?

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