EconPapers    
Economics at your fingertips  
 

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: E52 E43 E44 G10 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176518303161
Full text for ScienceDirect subscribers only

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:eee:ecolet:v:173:y:2018:i:c:p:15-18

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-01-12
Handle: RePEc:eee:ecolet:v:173:y:2018:i:c:p:15-18