Monetary policy uncertainty and the market reaction to macroeconomic news

Alexander Kurov, Raluca Stan

Research output: Contribution to journalArticlepeer-review

45 Scopus citations


We examine whether monetary policy uncertainty influences the reaction of the equity, Treasury security, foreign exchange and crude oil markets, as well as medium-term interest rates, to U.S. macroeconomic announcements. Using intraday futures data, we show that in the presence of higher policy uncertainty the response to macroeconomic news weakens in the stock and crude oil markets and strengthens in the Treasury, interest rate and foreign exchange markets. In times of elevated monetary policy uncertainty, macroeconomic announcements impact the financial and crude oil markets to a large extent through expectations of future monetary policy.

Original languageEnglish (US)
Pages (from-to)127-142
Number of pages16
JournalJournal of Banking and Finance
StatePublished - Jan 2018
Externally publishedYes

Bibliographical note

Publisher Copyright:
© 2017 Elsevier B.V.

Copyright 2017 Elsevier B.V., All rights reserved.


  • Financial markets
  • Intraday data
  • Macroeconomic announcements
  • Monetary policy


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