Measuring the Impact of Monetary Policy Attention on Global Asset Volatility Using Search Data

Paul Wohlfarth

No 1803, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

Abstract: We study monetary policy introducing a novel measure for policy attention based on Google Trends data. We apply the obtained indices to fixed income data for the US and the Eurozone in a specification motivated by a preferred-habitat model to test for monetary policy transmission domestically and internationally. Our findings suggest an impact of monetary policy on variance processes only and provides evidence for an international channel of monetary transmission on both money and capital markets. This is, to our knowledge, the first attempt to use search-engine data in the context of monetary policy.

Keywords: attention; internet search; Google; monetary policy; ECB; FED; international financial markets; macro-finance; sovereign bonds; international finance; bond markets; preferred habitat models. (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 G10 G15 (search for similar items in EconPapers)
Date: 2018-03
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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https://eprints.bbk.ac.uk/id/eprint/26852 First version, 2018 (application/pdf)

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Journal Article: Measuring the impact of monetary policy attention on global asset volatility using search data (2018)
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