Stock Returns over the FOMC Cycle

Cieślak, Anna; Morse, Adair; Vissing‐Jørgensen, Annette

doi:10.1111/jofi.12818

Cited by 202 publications

(14 citation statements)

References 26 publications

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“…Central banks' communication, and its impact on financial market, has been analysed for developed countries in numerous papers using typically the data from the United States and the European Union relying mainly on the Federal Reserve Board (FED) and the European Central Bank (ECB) monetary policy decisions (see the evidence published in Bernanke and Kuttner (2005), Wongswan (2009), Hausman and Wongswan (2011), Bekaert et al . (2013), Lucca and Moench (2015) and more recently in Cieślak et al . (2019), among many others) [5].…”

Section: Literature Reviewmentioning

confidence: 82%

“…Our findings are generally consistent with the results from developed markets (such as Bernanke and Kuttner, 2005; Bekaert et al ., 2013; Lucca and Moench, 2015; Cieślak et al ., 2019) and with previous studies using emerging market data from Poland. In particular, our paper reports similar effects of the central banks' communications as the earlier studies by Brzeszczyński and Kutan (2015) and Brzeszczyński et al (2017), which also detected statistically significant reactions of different financial instruments to the NBP announcements with interest rates and money supply as the most influential type of news.…”

Section: Discussionmentioning

confidence: 99%

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Central bank's communication and markets' reactions: Polish evidence

Brzeszczyński

Gajdka

Schabek

et al. 2021

IJOEM

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PurposeThis study contributes to the pool of knowledge about the impact of monetary policy communication of central banks on financial instruments' prices and assets' value in emerging markets.Design/methodology/approachEmpirical analysis is executed using the National Bank of Poland (NBP) announcements about its monetary policy covering the data from the broad financial market in its three main segments: stock market, foreign exchange market and bonds market. The reactions are measured relative to the changes in the NBP announcements and also with respect to investors' expectations. Autoregressive conditional heteroscedasticity (ARCH) models with dummy variables are used as the main methodological tool.FindingsBonds market and foreign exchange market are the most sensitive market segments, while interest rate and money supply are the most influential types of announcements. The changes of the revealed new macroeconomic figures had more impact on assets' prices movements than the deviations from their expectations. Moreover, greater diversity of the Monetary Policy Council (MPC) members' opinions on the voted motions, captured in the MPC voting reports, is associated with more cases of statistically significant NBP communication events.Practical implicationsThe findings have direct relevance for fund managers, portfolio analysts, investors and also for financial market regulators.Originality/valueThe results provide novel evidence about how the emerging financial market responds to monetary policy announcements. They help understand the nature of the impact of public information on financial assets' valuation and on movements of their prices, analysed comprehensively in three market segments, in the emerging market environment.

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Section: Literature Reviewmentioning

confidence: 82%

Section: Discussionmentioning

confidence: 99%

Central bank's communication and markets' reactions: Polish evidence

Brzeszczyński

Gajdka

Schabek

et al. 2021

IJOEM

View full text Add to dashboard Cite

show abstract

“…S öderlind and Svensson (1997) provide an early discussion of the reflection 2 For example, the Bank of England has recently established a Market Intelligence Charter outlining the standards it expects from its staff when liaising with market participants (Jeffery et al, 2017). Cieślak et al (2019) provide evidence of financial institutions receiving systematic preferential access to the Federal Reserve.…”

Section: Related Literaturementioning

confidence: 99%

On Market‐Friendly Central Bankers*

Gai

2023

Economic Record

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We study the two‐way interaction between central banks and financial markets using a beauty contest framework. The analysis identifies when asset prices reveal useful information about fundamentals and when they reflect back the central bank's pronouncements. In equilibrium, the central bank is overly dependent on financial market signals and the information value of asset prices is diminished. Our results highlight the need to guard against giving undue prominence to market signals during monetary policy deliberations, but they can be specific to the mathematical model employed in the paper.

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“…Central banks' communication, and its impact on financial markets, was however analysed in different contexts in the studies using typically the data from the US and the European Union relying mainly on the Federal Reserve Board (FED) and the European Central Bank (ECB) monetary policy decisions (see the evidence published in Bernanke and Kuttner (2005), Wongswan (2009), Hausman and Wongswan (2011), Bekaert, Hoerova and Lo Duca (2013), Lucca and Moench (2015) and more recently in Cieslak, Morse and Vissing-Jorgensen (2020), among others).…”

Section: Introductionmentioning

confidence: 99%