Chapter

Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices

Roberto Rigobon and Brian Sack

in Asset Prices and Monetary Policy

Published by University of Chicago Press

Published in print October 2008 | ISBN: 9780226092119
Published online February 2013 | e-ISBN: 9780226092126 | DOI: http://dx.doi.org/10.7208/chicago/9780226092126.003.0009
Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices

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This chapter focuses on measuring the reaction of asset prices and monetary policy expectations to the “true” economic news embedded in the major U.S. data releases. Rather than attempting to better measure the data or the expectations, it focuses on developing econometric techniques that will adequately deal with the measurement problems associated with the data surprises used in the existing event-study literature. The results provide unbiased estimates of the response of monetary policy expectations and asset prices to the “true” surprise contained in all of the major data releases. An important finding is that macroeconomic data releases matter to a much greater extent than found in previous studies—that is, they account for a greater portion of the fluctuations in market interest rates.

Keywords: asset prices; monetary policy; macroeconomic data; interest rates

Chapter.  14311 words.  Illustrated.

Subjects: Macroeconomics and Monetary Economics

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