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

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...

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1. Verfasser: Matheson, Troy (VerfasserIn)
Format: Elektronisch E-Book
Sprache:English
Veröffentlicht: Washington, D.C International Monetary Fund 2014
Schriftenreihe:IMF Working Papers Working Paper No. 14/167
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Zusammenfassung: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
Beschreibung:1 Online-Ressource (12 p)
ISBN:1498324851
9781498324854

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