Fuqua School of Business
P.O. Box 90120
Durham, NC 27708
NBER Program Affiliations:
NBER Affiliation: Faculty Research Fellow
Institutional Affiliation: Duke University
NBER Working Papers and Publications
|March 2020||The Economics of the Fed Put|
with : w26894
Since the mid-1990s, low stock returns predict accommodating policy by the Federal Reserve. This fact emerges because, over this period, negative stock returns comove with downgrades to the Fed’s growth expectations. Textual analysis of the FOMC documents reveals that policymakers pay attention to the stock market, and their negative stock-market mentions predict federal funds rate cuts. The primary mechanism why policymakers find the stock market informative is via its effect on consumption, with a smaller role for the market viewed as predicting the economy.
|September 2018||Non-Monetary News in Central Bank Communication|
with : w25032
We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk premia. Our approach exploits high-frequency comovement of stocks and interest rates combined with monotonicity restrictions across the yield curve. We find significant differences in news composition depending on the communication channel used by central banks. Non-monetary news prevails in about 40% of policy decision announcements by the Fed and the ECB, and this fraction is even higher for communications that provide context to policy decisions such as press conferences. We show that non-monetar...
Published: Anna Cieslak & Andreas Schrimpf, 2019. "Non-monetary news in central Bank communication," Journal of International Economics, . citation courtesy of
|June 2018||Non-Monetary News in Central Bank Communication|
in NBER International Seminar on Macroeconomics 2018, Jordi Galí and Kenneth West, organizers