What Color is Alan Greenspan's Tie? How Central Bank Policy Announcements Have Changed Financial Markets

Aleksandar Murdzhev and Marc Tomljanovich ()
Additional contact information
Aleksandar Murdzhev: Colgate University
Marc Tomljanovich: Drew University

Eastern Economic Journal, 2006, vol. 32, issue 4, 571-593

Abstract: The 1990s witnessed dramatic improvements in transparency across a wide spectrum of central banks. Though these changes appeared motivated by political factors, did corresponding financial markets gain economic efficiency by the revealing of additional policy information? We employ time-series techniques to study six developed economies from 1990 to 2003, focusing on the daily impacts of policy announcements on both debt and equity markets. We find that for all six countries, market participants have been better able to anticipate central bank policy decisions since the move to greater transparency, helping to improve market efficiency as well as to reduce the outside lags associated with monetary policy. These results hold strongly for both bond and stock markets, and are robust to alternate modeling specifications.

Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://web.holycross.edu/RePEc/eej/Archive/Volume32/V32N4P571_593.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:eej:eeconj:v:32:y:2006:i:4:p:571-593

Access Statistics for this article

Eastern Economic Journal is currently edited by Cynthia A. Bansak, St. Lawrence University and Allan A. Zebedee, Clarkson University

More articles in Eastern Economic Journal from Eastern Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Victor Matheson, College of the Holy Cross ().