Monetary policy uncertainty and the market reaction to macroeconomic news

Kurov, Alexander; Stan, Raluca

doi:10.1016/j.jbankfin.2017.09.005

Cited by 108 publications

(66 citation statements)

References 38 publications

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“…Since the seminal work by Draper [7], abundant papers have explored how announcements or major events are impounded into financial asset prices [8][9][10][11][12]. However, little literature deals with the price reactions to the different types of OPEC's announcements based on the event study methodology.…”

Section: Opecmentioning

confidence: 99%

The Oil Market Reactions to OPEC’s Announcements

2019

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Because of the crucial implications of the market power of OPEC, the aim of this paper was to investigate the oil asymmetric market reactions, such as the price and risk reactions, to OPEC’s announcements. Specifically, this paper first explored the oil price reactions to OPEC’s announcements and their heterogeneity to depict the directional role of OPEC based on event study methodology. Furthermore, this paper analyzed the oil risk reactions in the framework of a linear model. Our findings reveal several key results. The oil price reactions to OPEC production decisions behave quite heterogeneously in three kinds of decisions. Specifically, the reaction to announcements of a production increase shows an invert “U” shape, whereas there is a linear effect of cut announcements. Otherwise, when a maintain decision is announced, the oil prices have no obvious change over the sample period. Additionally, the oil risk reactions to OPEC’s announcements are heavily related to the interaction item between OPEC decisions and its production over full sample periods. Furthermore, OPEC’s role in promoting stability in crude oil markets by changing its production shows a heterogeneous condition after global financial crisis.

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Section: Opecmentioning

confidence: 99%

The Oil Market Reactions to OPEC’s Announcements

2019

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“…At the same time, it is also pointed out that short-term interest rates and re al exchange rates are also important factors in the stability of financial intermediaries. Using a dynamic model of bank profit maximization, bank lending and macroeconomic uncertainty have proven to be non-m onotonic ne gative correlations (Kurov and Stan, 2017). According to the dy namic panel data of Ukrainian banks, the empirical test shows that due to the high-risk aversion preference of bank managers, banks tend to lower their loan ratios when the economy is in stable fluctuations.…”

Section: Literature Reviewmentioning

confidence: 99%

Monetary Policy Based on Macroscopic Uncertainty Perspective

Hui¹

2018

JAEF

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The global financial crisis and the outbreak of the banking crisis in the Eurozone have had a great impact on the macro economy. The influence of macroeconomic uncertainty on monetary policy has become the focus of scholars' research. Based on data from 2011 to 2016, public information indices and macroeconomic variables were used to construct the SVAR model. The effects of quantitative monetary policy and price monetary policy on the achievement of output targets and price targets under uncertainty conditions are analyzed. The impact of the acquisition of public information on the effectiveness of monetary policy was explored, which indirectly confirmed the effect of uncertainty on policy under the influence of information.

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“…The E-mini futures are very actively traded and considered highly liquid. We examine trades from Bollerslev, Diebold and Vega (2003) and Kurov and Stan (2016), the news announcements are categorized as follows: real activity, consumption, investment, government purchases, net exports, prices, and forward looking. Table 1 reports the basic description of the macroeconomic announcements.…”

Section: Data and Sample Selectionmentioning

confidence: 99%

“…[Insert Table 3.1 about here] Following Balduzzi, Elton, and Green (2001) and Kurov and Stan (2016) Following Fisher and Statman (2006) and Kurov (2008), we compute sentiment index as a ratio of the percentage of bullish investors to the sum of the percentage of bullish and bearish investors. We then define low investor sentiment when it is below its 25 th percentile, define high investor sentiment if it is above its 75 th percentile, and normal investor sentiment if it is between 25 th percentile and 75 th percentile.…”

Section: Data and Sample Selectionmentioning

confidence: 99%

“…Consistent with existing findings, the results show that majority of the macroeconomic news surprises have significant effects on futures market returns. In line with the methodologies in Kurov and Stan (2016), we then use the market-moving news surprises to construct interactive variables and examine whether stock index futures returns are affected by news surprises conditional on different levels of investor sentiment and control for the state of economic conditions. Overall, market reacts to news surprises stronger during low sentiment periods and weaker during high sentiment, however, the statistical significance of individual news surprises drops.…”

Section: Introductionmentioning

confidence: 99%

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Aging Effects of the Cathode and Determination of Single Electrode Performance in a Solid Oxide Fuel Cell

Chen¹

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Monetary policy uncertainty and the market reaction to macroeconomic news

Cited by 108 publications

References 38 publications

The Oil Market Reactions to OPEC’s Announcements

The Oil Market Reactions to OPEC’s Announcements

Monetary Policy Based on Macroscopic Uncertainty Perspective

Aging Effects of the Cathode and Determination of Single Electrode Performance in a Solid Oxide Fuel Cell

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