Financial market reaction to Federal Reserve communications: Does the global financial crisis make a difference?

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• 作者：Bernd Hayo ; Ali M. Kutan ; Matthias Neuenkirch
• 关键词：Central bank communication ; Federal Reserve ; Global financial crisis ; Financial markets ; Monetary policy ; E52 ; G14
• 刊名：Documenta Opthalmologica
• 出版年：2015
• 出版时间：February 2015
• 年：2015
• 卷：42
• 期：1
• 页码：185-203
• 全文大小：255 KB
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• 刊物类别：Business and Economics
• 刊物主题：Economics
  Industrial Organization
  International Economics
  Political Science
  Economic Growth
  
• 出版者：Springer Netherlands
• ISSN：1573-6911

文摘

This paper studies the effects of Federal Reserve communications on US financial market returns from 1998 to 2009 and asks whether they changed significantly during the global financial crisis of August 2007–July 2009. We find, first, that central bank communication moves financial markets in the intended direction. In particular, shorter maturities are affected in an economically meaningful way. Second, speeches by the chairman generate relatively larger market reactions than communication by other governors or presidents. Finally, central bank communication is even more market relevant during the subsample covering the global financial crisis.