Measuring the Impact of Monetary Policy Attention on Global Asset Volatility Using Search Data
No 1803, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics
We study monetary policy introducing a novel measure for policy attention based on Google Trends data. We apply the obtained indices to fixed income data for the US and the Eurozone in a specification motivated by a preferred-habitat model to test for monetary policy transmission domestically and internationally. Our findings suggest an impact of monetary policy on variance processes only and provides evidence for an international channel of monetary transmission on both money and capital markets. This is, to our knowledge, the first attempt to use search-engine data in the context of monetary policy.
Keywords: attention; internet search; Google; monetary policy; ECB; FED; international financial markets; macro-finance; sovereign bonds; international finance; bond markets; preferred habitat models. (search for similar items in EconPapers)
JEL-codes: E52 E43 E44 G10 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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http://eprints.bbk.ac.uk/id/eprint/26852 First version, 2018 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:bbk:bbkefp:1803
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