Measuring the impact of monetary policy attention on global asset volatility using search data

Paul Wohlfarth

Economics Letters, 2018, vol. 173, issue C, 15-18

Abstract: We study monetary policy introducing a novel index for policy attention based on daily Google Trends data. This index is used in a high-frequency analysis of volatility spill-overs on US and European fixed income markets. Policy attention contains significant information on asset variances and the international transmission of policy.

Keywords: Attention; Google; Monetary Policy; Macro-Finance; Sovereign Bonds; International Finance (search for similar items in EconPapers)
JEL-codes: E43 E44 E52 G10 G15 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (9)

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Working Paper: Measuring the Impact of Monetary Policy Attention on Global Asset Volatility Using Search Data (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:173:y:2018:i:c:p:15-18

DOI: 10.1016/j.econlet.2018.08.009

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