News and Monetary Shocks at a High Frequency: A Simple Approach

Troy Matheson () and Emil Stavrev

No 2014/167, IMF Working Papers from International Monetary Fund

Abstract: We develop a simple approach to identify economic news and monetary shocks at a high frequency. The approach is used to examine financial market developments in the United States following the Federal Reserve’s May 22, 2013 taper talk suggesting that it would begin winding down its quantitative easing program. Our findings show that the sharp rise in 10-year Treasury bond yields immediately after the taper talk was largely due to monetary shocks, with positive economic news becoming increasingly important in subsequent months.

Keywords: WP; equity price; bond yield; Monetary Policy; Economic News; Fed portfolio; reaction function; market volatility; variance of bond yields; Bond yields; Stocks; Asset prices (search for similar items in EconPapers)
Pages: 12
Date: 2014-09-12
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