Macroeconomic news and asset prices before and after the zero lower bound

Christoffer Koch and Julieta Yung

No 287, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: With short-term policy interest rates constrained by their effective zero lower bound (ZLB), monetary policy relied on communicating the future path of policy conditional on incoming macroeconomic data. Motivated by this, we exploit intra-day prices to investigate how updates on the state of the U.S. economy affect interest rates and exchange rates before and after the ZLB. We find that releases reflecting the dual mandate of the Fed rose in importance and ? as an ex-post acknowledgement of the sources of the Great Recession ? additional housing market indicators and GDP revisions, that hitherto left markets unaffected, became market movers.

JEL-codes: F42 F44 G14 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2016-10-01
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:287

DOI: 10.24149/gwp287

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