IMF Working Papers

News and Monetary Shocks at a High Frequency: A Simple Approach

By Troy D Matheson, Emil Stavrev

September 12, 2014

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Troy D Matheson, and Emil Stavrev. News and Monetary Shocks at a High Frequency: A Simple Approach, (USA: International Monetary Fund, 2014) accessed September 19, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

We develop a simple approach to identify economic news and monetary shocks at a high frequency. The approach is used to examine financial market developments in the United States following the Federal Reserve’s May 22, 2013 taper talk suggesting that it would begin winding down its quantitative easing program. Our findings show that the sharp rise in 10-year Treasury bond yields immediately after the taper talk was largely due to monetary shocks, with positive economic news becoming increasingly important in subsequent months.

Subject: Asset prices, Bond yields, Financial institutions, Prices, Stocks

Keywords: Asset prices, Bond yield, Bond yields, Economic News, Equity price, Fed portfolio, Market volatility, Monetary Policy, Reaction function, Stocks, Variance of bond yields, WP

Publication Details

  • Pages:

    12

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2014/167

  • Stock No:

    WPIEA2014167

  • ISBN:

    9781498324854

  • ISSN:

    1018-5941