Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market

By Antulio N. Bomfim. 2003

430 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d8773842c92da578ce81663333b33cdaecb2680c

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Citations in the corpus

The Reaction of Asset Prices to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data (2009, background): “to Macroeconomic Announcements in New EU Markets: Evidence from Intraday Data”
Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics (2011, neutral): “For a shorter sample period, Bomfim (2003) finds significant " calm before the storm " effects for monetary policy announcements.”
Global Financial Transmission of Monetary Policy Shocks (2009, neutral): “Thorbecke (1997) and Patelis (1997) are important earlier studies using VAR frameworks for identification, while more recent studies on this topic are Bernanke and Kuttner (2005), Bomfim (2001) , Rigobon and Sack (2004), Faust et al. (2007) and Ehrmann and Fratzscher (2004).”
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements (2013, background): “…Poterba, and Summers (1989), Orphanides (1992), McQueen and Roley (1993), Krueger (1996), Fleming and Remolona (1997), Balduzzi, Elton, and Green (2001), Bomfim (2003), and Gurkaynak, Sack, and Swanson (2005) study the responsiveness β of stock or bond returns to various macroeconomic shocks zt+1.”
One Central Bank to Rule Them All* (2019, neutral): “…that the inertness hypothesis cannot explain the lack of a significant market risk premium for ECB, BoJ, and BoE announcements.31 Previous work (Bomfim, 2003; Lucca and Moench, 2015) finds that trading volume is below average in the period before FOMC announcements and then experiences a large…”
Stock market response to monetary and fiscal policy shocks: Multi-country evidence (2013, positive): “In this respect, Poole and Rasche (2000), Kuttner (2001), Bomfim (2003), as well as, Bernanke and Kuttner (2005), among others, support the view that monetary policy decisions may influence financial markets in more than one way; that is, through their effects on real interest rates, expected…”
Market-Based Measures of Monetary Policy Expectations (2002, neutral): “Kuttner (2001) and Faust, Swanson, and Wright (2004) used the current-month federal funds futures contract, Bomfim (2003) and Poole and Rasche (2000) the month-ahead federal funds futures contract, Cochrane and Piazzesi (2002) the one-month eurodollar deposit rate, Ellingsen and Soderstrom (2004)…”
Explaining Monetary Policy in Press Conferences (2018, background): “Remolona (1999), Kuttner (2001), Cochrane and Piazzesi (2002), Bomfim (2003) , Ehrmann and Fratzscher (2004), Rigobon and Sack (2004), and Bernanke and Kuttner (2005).”
Practical Issues in the Analysis of Univariate GARCH Models (2009, background): “Variables that have been shown to help predict volatility are trading volume, macroeconomic news announcements ([58], [43], [17]), implied volatility from option prices and realized volatility ([82], [11]), overnight returns ([46], [68]), and after hours realized volatility ([21])”