عبارتی که تاجران را شدیدا تحت تاثیر قرار می دهد : واکنش بازار سهام به ارتباطات بانک مرکزی در زمان واقعی
|کد مقاله||سال انتشار||مقاله انگلیسی||ترجمه فارسی||تعداد کلمات|
|24898||2011||20 صفحه PDF||سفارش دهید||15412 کلمه|
Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)
Journal : Journal of Empirical Finance, Volume 18, Issue 5, December 2011, Pages 915–934
This paper investigates the effects of Federal Reserve's decisions and statements on U.S. stock and volatility indices (Dow Jones Industrial Average, NASDAQ 100, S&P 500, and VIX) using a high-frequency event-study analysis. I find that both the surprise component of policy actions and official communication have statistically significant and economically relevant effects on equity indices, with statements having a much greater explanatory power of the reaction of stock prices to monetary policy. For instance, around 90% of the explainable variation in S&P 500 is due to the surprise component of Fed's statements. This paper also shows that equity indices tend to incorporate FOMC monetary surprises within 40 min from the announcement release. Finally, I find that these results are robust along several dimensions. In particular, I consider different estimators, such as the Generalized Empirical Likelihood, and I extend the sample to include the recent period of heightened financial stress. This sensitivity analysis corroborates that central bank communication about its future policy intentions is a key driver of stock returns.
the existing literature has extensively examined the influence of the Federal Reserve monetary policy on U.S. asset prices. This relationship is an important topic for several reasons. From the perspective of monetary policy makers, the response of asset prices to Federal Reserve policy is a key component for analyzing the effects of monetary policy on the economy, and thus understanding the policy transmission mechanism. From an asset pricing perspective, monetary policy decisions are often associated with large stock price movements. This paper contributes to the extant literature in two main aspects. First, this work investigates the real-time effect on equity and volatility indices of a new type of news item, specifically the information originating from the Federal Open Market Committee (FOMC) balance of risk statements that accompany the fed funds target decisions. Several papers have recently used high-frequency data to examine the response of stock prices to monetary decisions.1 This strand of research has reached a consensus that equity prices strongly respond to unanticipated policy actions, i.e. the difference between what the Fed does and what the market expects the Fed to do. A potential drawback of this approach is that it does not take into consideration the information regarding the likely direction of future monetary policy that the Fed has systematically communicated since May 1999 after every FOMC meeting. More specifically, Fed's statements not only explain the rationale for the policy action but also convey the outlook for the future monetary policy stance (i.e. the future policy tilt). For instance, the FOMC shares its views on the economic outlook by indicating whether the FOMC believes that the risks for the economy in the foreseeable future are weighted toward “conditions that may generate heightened inflation pressures” (indication of future policy tightening), or “the risks are balanced” (neutral announcement), or “risks are weighted toward economic weakness” (dovish statement). This paper confirms the findings of the previous literature that an unexpected policy tightening is associated with a decrease in stock prices, and goes one step further by explicitly accounting for the surprise component of central bank statements, i.e. the difference between what the Fed announces and what the market expects the Fed to announce.2 Second, this paper considers high-frequency stock and volatility indices (Dow Jones Industrial Average, NASDAQ 100, S&P 500, and VIX) and a long time series of intraday data — spanning up to January 2010. By using high-frequency data, this paper seeks to more accurately characterize the response of stock prices to monetary policy shocks. On the one side, intraday data allow to better assess the microstructure details of how new information is impounded into asset prices, and more specifically the speed of the response of equity prices to FOMC decisions and statements. In addition, some of the results become much weaker, or even absent when using daily data. On the other side, by employing high-frequency data I address both (i) the endogeneity problem (i.e. the simultaneous interaction between stock prices and monetary decisions), and (ii) the omitted variables bias (i.e. substantially decreasing the likelihood that other relevant information, such as macro news, is released around policy announcements).3 The main findings of the paper can be summarized as follows. First, I show that both the surprise component of policy actions and official communication have statistically significant and economically relevant effects on equity indices. On average, an unanticipated 25-basis-point cut in the federal funds target is associated with about 1% increase in stock prices. An unanticipated hawkish statement, when the market expects a neutral statement, is associated with 0.6% decrease in equity indices. Importantly, I find that statements have a much greater explanatory power of the reaction of stock prices to monetary policy compared to monetary decisions. For instance, I find that around 90% of the explainable variation in S&P 500 is due to the surprise component of the Fed's statements. I interpret this striking finding as indicating that stock prices are strongly influenced by the expected path of policy. Second, I precisely characterize how stock prices adjust to the Fed's monetary policy providing further insights into the market adjustment process. I find that the volatility of equity returns peaks at the time of the release of the FOMC statement, and remains significantly higher than non-announcement days for about 40 min. In addition, stock prices react immediately to monetary shocks. The process of fully incorporating the new information, however, takes about 1 h, and thus it takes some time before prices settle into a new equilibrium. Third, I examine the robustness of the above estimation results along several dimensions. For instance, I consider different estimators, such as members of the class of Generalized Empirical Likelihood (GEL) estimators, and I extend the sample period to include the recent period of heightened financial stress. This sensitivity analysis corroborates the core finding that central bank communication about its future policy intentions is a key driver of stock returns. The rest of the paper is organized as follows. Section 2 starts by describing the dataset. Section 3 contains the discussion of the empirical results of the stock market reaction to the Fed's monetary policy, and looks at the speed of equity price responses to FOMC announcements. Section 4 investigates the impact of monetary policy on equity prices during the recent financial crisis, and examines the robustness of the results. Finally, Section 5 concludes. Details on some estimation procedures are delegated to the Appendices at the end of the paper.
نتیجه گیری انگلیسی
The goal of this paper is to deepen our understanding of the links between the Fed's monetary surprises and the U.S. stock market. I use two proxies for monetary policy shocks: the surprise change to the current target federal funds rate, and the surprise component of Fed's statements (that captures revisions to the path of future monetary policy). According to my estimates, both monetary policy actions and statements have statistically significant and economically relevant effects on the U.S. stock market. On average, an unanticipated 25-basis-point cut in the federal funds target is associated with about 1% increase in stock prices. An unanticipated hawkish statement, when the market expects a neutral statement, is associated with 0.6% decrease in equity indices. However, the news stemming from Fed's statements matters more for the determination of equity prices than news about actual monetary policy decisions. In sum, my findings suggest that the surprise component of central bank statements greatly adds to our understanding of the response of equity returns to monetary policy. In other words, one key insight that follows from this work is that previous studies that focused only on the FOMC's decisions regarding the current federal funds rate target have been missing by far the most important component of monetary policy. The findings of this paper have important policy implications. First, this work precisely quantifies the effects of the news component of Fed's communications on the U.S. stock market, and thus it sheds more light on the link between monetary policy and asset prices, and ultimately on the policy transmission mechanism. Second, this paper confirms that central bank announcements about future policy intentions have remained an important driver of U.S. stock prices also in periods of heightened financial stress. Moreover, I show empirically that when the policy rate is near its zero lower bound, the central bank can still ease financial conditions, and thus provide additional stimulus, through its communication. Building on the results of this paper, a key direction for future research would be to investigate whether communications by other central banks, such as the European Central Bank monthly press conference, are equally effective in driving equity prices. Furthermore, despite using a narrow window around the FOMC announcement in which no other systematic event occurs, the monetary policy and news shock can only explain about 20% of the variation in the U.S. equity returns in this short window. Therefore, there is still much to learn in explaining stock market movements. Perhaps, as it has been done for other assets such as bonds and exchange rates, a promising area for future research consists in taking into account the role of order flow in the stock price formation process.