News and Monetary Shocks at a High Frequency: A Simple Approach
September 12, 2014
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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
Pages:
12
Volume:
2014
DOI:
Issue:
167
Series:
Working Paper No. 2014/167
Stock No:
WPIEA2014167
ISBN:
9781498324854
ISSN:
1018-5941
