Using intraday data to gauge financial market responses to Fed and ECB monetary policy decisions

Magnus Andersson

No 726, Working Paper Series from European Central Bank

Abstract: This paper examines bond and stock market volatility reactions in the euro area and the US following their respective economies' monetary policy decisions, over a uniform sample period (April 1999 to May 2006). For this purpose, intraday data on the US and euro area bond and stock markets are used. A strong upsurge in intraday volatility at the time of the release of the monetary policy decisions by the two central banks is found, which is more pronounced for the US financial markets following Fed monetary policy decisions. Part of the increase in intraday volatility in the two economies surrounding monetary policy decisions can be explained by both news of the level of monetary policy and revisions in the expected future monetary policy path. The observed strong discrepancy between asset price reactions in the US and in the euro area following monetary policy decisions still remains a puzzle, although some tentative explanations are provided in the paper. JEL Classification: E52, E58, G14

Keywords: intraday data; monetary policy (search for similar items in EconPapers)
Date: 2007-02
Note: 568808
References: Add references at CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp726.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2007726

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().