News and Monetary Shocks at a High Frequency
Author | : Mr.Troy Matheson |
Publisher | : International Monetary Fund |
Total Pages | : 12 |
Release | : 2014-09-12 |
ISBN-10 | : 9781498367288 |
ISBN-13 | : 1498367283 |
Rating | : 4/5 (88 Downloads) |
Download or read book News and Monetary Shocks at a High Frequency written by Mr.Troy Matheson and published by International Monetary Fund. This book was released on 2014-09-12 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.