TY - JOUR
T1 - Monetary policy uncertainty and the market reaction to macroeconomic news
AU - Kurov, Alexander
AU - Stan, Raluca
PY - 2018/1
Y1 - 2018/1
N2 - 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.
AB - 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.
KW - Financial markets
KW - Intraday data
KW - Macroeconomic announcements
KW - Monetary policy
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U2 - 10.1016/j.jbankfin.2017.09.005
DO - 10.1016/j.jbankfin.2017.09.005
M3 - Article
AN - SCOPUS:85033486268
VL - 86
SP - 127
EP - 142
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
SN - 0378-4266
ER -