Financial Market Reaction to Federal Reserve Communications: Does the Crisis Make a Difference?

Bernd Hayo, Ali Kutan and Matthias Neuenkirch

No 200808, MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung)

Abstract: This paper studies the effects of Federal Reserve communications on US financial market returns from 1998 to 2009 and asks whether a significant change occurred during the financial crisis of August 2007–December 2009. We find, first, that central bank communication moves financial markets in the intended direction. In particular, shorter maturities are affected in an economically meaningful way. Second, speeches by the Chairman generate relatively more public attention than communication by other governors or presidents. Finally, central bank communication is even more market relevant during the financial crisis subsample.

Keywords: Central Bank Communication; Federal Reserve; Financial Crisis; Financial Markets; Monetary Policy (search for similar items in EconPapers)
JEL-codes: E52 G14 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2008
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: Add references at CitEc
Citations: View citations in EconPapers (14)

Forthcoming in

Downloads: (external link)
https://www.uni-marburg.de/en/fb02/research-groups ... ers/08-2008_hayo.pdf Sixth version, 2011 (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:mar:magkse:200808

Access Statistics for this paper

More papers in MAGKS Papers on Economics from Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung) Contact information at EDIRC.
Bibliographic data for series maintained by Bernd Hayo ().