Monetary Policy Uncertainty and the Market Reaction to Macroeconomic News: Evidence from the Taper Tantrum

Kurov, Alexander; Stan, Raluca

doi:10.2139/ssrn.2776357

Cited by 4 publications

(2 citation statements)

References 52 publications

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“…This view is supported by the observed sharp increase in the volatility of market-based measures of expected future policy rates, and a pronounced change in the way asset prices reacted to macroeconomic news (seeKurov and Stan, 2016).…”

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confidence: 89%

Communication of Monetary Policy in Unconventional Times

et al. 2017

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confidence: 89%

Communication of Monetary Policy in Unconventional Times

et al. 2017

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“…The former is on the aggregate demand side and the latter is on the aggregate supply side. Cook and Corn (1991) as well as Kurov and Stan (2017) first put forward the "policy expectation hypothesis" about the uncertainty of monetary policy. They believe that the uncertainty of monetary policy mainly affects the asset price of the financial market through the guidance of the public's future policy expectation, which means that the increase of monetary policy uncertainty will lead to the deviation between the actual price and the expected price.…”

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confidence: 99%

Research on the Indirect Impact of Monetary Policy Uncertainty and Loan Default – Based on Two Channels of Banks and Enterprises

Liu¹,

Hu²

2022

Proceedings of the International Scientific Conference Hradec Economic Days 2022

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Based on the financial data of 15 listed banks from 2011 to 2020, this paper makes an empirical analysis of the panel model, examines the indirect impact mechanism between the uncertainty index of monetary policy and the non-performing loan ratio of banks, and verifies the intermediary effect of bank risk-taking and enterprise loan cost between the uncertainty of monetary policy and the non-performing loan ratio of banks, In addition, it also tests the heterogeneity of the equity nature of listed banks in order to make a comprehensive analysis of the indirect impact channels of monetary policy uncertainty on loan default. The results show that: (1) there are some intermediary effects between loan cost and bank risk-taking on loan default when the uncertainty of monetary policy increases. ( 2)The impact of monetary policy uncertainty on the non-performing loan ratio of state-owned banks and joint-stock banks is significantly positive, and the impact coefficient on the nonperforming loan ratio of state-owned banks is greater than that of joint-stock banks.

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Time-Varying Frequency Connectedness Analysis Across Crude Oil, Geopolitical Risk, Economic Policy Uncertainty and Stock Markets

SHANG,

HAMORI

2024

Singapore Econ. Rev.

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As the world is currently in turmoil, geopolitical crises and economic policy uncertainties are increasing significantly. This study aims to provide insight into the dynamics of time–frequency spillovers in the domains of crude oil, geopolitical risk, economic policy uncertainty and stock markets. It represents the first investigation analyzing the time-varying frequency connectedness across the aforementioned domains by adopting the time-varying parameter vector autoregression connectedness combined with the time-varying frequency connectedness measurement [Chatziantoniou et al., 2023]. The study covers the period from January 2004 to February 2023, including the 2008 financial crisis, the COVID-19 pandemic and the turmoil caused by the 2022 Russian–Ukrainian conflict. The analysis finds that short-term frequencies dominate return connectedness, indicating a rapid information processing mechanism responsive to short-run shocks. The stock market indices of oil-exporting countries, the US and the UK act as the primary transmitters of return spillovers. Volatility connectedness is driven by long-term frequencies, with Russia, Canada and the UK serving as the primary volatility spillover transmitters. Economic policy uncertainty is primarily influenced by oil-importing countries. Geopolitical risk mostly serves as the spillover receiver from crude oil, while it primarily transmits spillovers to economic policy uncertainty during major events such as terror attacks, conflicts and wars. The 2022 Russian–Ukrainian conflict amplifies spillovers to economic policy uncertainty. Intriguingly, conflicts deepen economic policy uncertainty, and prior to the conflict, stock market volatility had assimilated the influence of geopolitical risk shocks. The study also employs network topology to visualize spillover transmission mechanisms during the 2022 Russian–Ukrainian conflict.

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Monetary Policy Uncertainty and the Market Reaction to Macroeconomic News: Evidence from the Taper Tantrum

Cited by 4 publications

References 52 publications

Communication of Monetary Policy in Unconventional Times

Communication of Monetary Policy in Unconventional Times

Research on the Indirect Impact of Monetary Policy Uncertainty and Loan Default – Based on Two Channels of Banks and Enterprises

Time-Varying Frequency Connectedness Analysis Across Crude Oil, Geopolitical Risk, Economic Policy Uncertainty and Stock Markets

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