News and Monetary Shocks at a High Frequency: A Simple Approach
Electronic Access:
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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.
Series:
Working Paper No. 2014/167
Subject:
Asset prices Bond yields Financial institutions Prices Stocks
English
Publication Date:
September 12, 2014
ISBN/ISSN:
9781498324854/1018-5941
Stock No:
WPIEA2014167
Pages:
12
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