The Fed and the Stock Market: An Identification Based on Intraday Futures Data

D’Amico, Stefania; Farka, Mira

doi:10.1198/jbes.2009.08019

Cited by 73 publications

(31 citation statements)

References 31 publications

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“…However, it would be interesting to explore alternative identification schemes, perhaps building on previous attempts to deal with the simultaneity problem in the context of models with constant coefficients (cf. Leitemo (2009), D'Amico andFarka (2011), Rigobon and Sack (2003)). …”

Section: Resultsmentioning

confidence: 99%

Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis

Aastveit¹,

Furlanetto²,

Loria

2017

SSRN Journal

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Section: Resultsmentioning

confidence: 99%

Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis

Aastveit¹,

Furlanetto²,

Loria

2017

SSRN Journal

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“…In order to clarify the relationship between sustainability performance, financial returns, and economic development, we have garnered the variables such as the data of stock market regionally, each firm's stock price, and macro economic factors. Many types of studies have demonstrated the relation among stock market, stock returns, and specific economic variables, i.e., [56][57][58][59][60][61]. This paper has different contributions in comparison with them.…”

Section: Methodsmentioning

confidence: 99%

Does Sustainability Affect Corporate Performance and Economic Development? Evidence from the Asia-Pacific region and North America

Kim

Lee

2018

Sustainability

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This paper explores how sustainability influences financial returns and economic development in the Asia-Pacific region and North America, utilizing real data empirically. It is controversial that sustainable activities are related to financial performance. For clarification, we tested hypotheses analyzing sustainability index, seven stock markets, financial data such as ROI, ROIC, and ROA from eleven companies, and GDP/GNI per capita, based on the Asia-Pacific region and North America. The results indicate that both financial return for companies and economic development in the two regions are positively germane to sustainable investment. Besides, we found evidence that sustainable investment impacts economic development based on variance decomposition analysis, depending on GDP per capita between the two regions. This implication will be interesting for both practitioners and researchers regarding the measurement of sustainable performance.

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“…While the high frequency data set goes a long way in addressing this issue, it does not entirely 9. See, for example, Fleming and Piazzesi (2005), Gürkaynak, Sack, and Swanson (2005), D'Amico and Farka (2010), and Farka (2009). 10.…”

Section: B Methodologymentioning

confidence: 99%

The Asymmetric Impact of “Informative” and “Uninformative” Federal Open Market Committee Statements on Asset Prices

Farka

2010

Contemporary Economic Policy

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This paper examines the effect of the information content of Federal Open Market Committee (FOMC) statements on the level and volatility of Treasuries and stock returns. Statements are separated into "informative" and "uninformative" groups with informative statements delivering important information which was not previously anticipated by the consensus. We find evidence that the information content of FOMC statements tends to generate an asymmetric response, with informative statements having a larger effect than uninformative statements. Asymmetries tend to be more pronounced for the conditional mean than conditional volatility. The behavior of volatility is tent-shaped, spiking during policy announcements and declining before and after the release. We also find that the evolution of the language of the FOMC statements does matter to market participants and that joint releases of target rate changes and informative statements have a distinctly more pronounced impact than other types of announcements. (JEL E52, E58, E65, G12, G14)

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The Fed and the Stock Market: An Identification Based on Intraday Futures Data

Cited by 73 publications

References 31 publications

Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis

Has the Fed Responded to House and Stock Prices? A Time-Varying Analysis

Does Sustainability Affect Corporate Performance and Economic Development? Evidence from the Asia-Pacific region and North America

The Asymmetric Impact of “Informative” and “Uninformative” Federal Open Market Committee Statements on Asset Prices

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