اثرات قبل از اعلام، اثرات اخبار، و تنوع : سیاست های پولی و بازار سهام

I examine pre-announcement and news effects on the stock market in the context of public disclosure of monetary policy decisions. The results suggest that the stock market tends to be relatively quiet – conditional volatility is abnormally low – on days preceding regularly scheduled policy announcements. Although this calming effect is routinely reported in anecdotal press accounts, it is statistically significant only over the past four to five years, a result that I attribute to changes in the Federal Reserve's disclosure practices in early 1994. The paper also looks at how the actual interest rate decisions of policy makers affect stock market volatility. The element of surprise in such decisions tends to boost stock market volatility significantly in the short run, and positive surprises – higher-than-expected values of the target federal funds rate – tend to have a larger effect on volatility than negative surprises. The implications of the results for broader issues in the finance and economics literatures are also discussed.

Anecdotal press accounts tend to confirm the common notion that daily fluctuations in stock prices are importantly affected by macroeconomic announcements, such as changes in the stance of monetary policy. Yet, a consistent, statistically significant link between macroeconomic news and movements in stock prices has been surprisingly elusive, both for economic data releases in general and for changes in the monetary policy stance in particular.1 This paper presents new statistical evidence that US stock prices do respond reliably to macroeconomic news conveyed by monetary policy decisions regarding the target federal funds rate, which is the main monetary policy instrument in the United States. Departing from most previous work on the relationship between monetary policy and the stock market – which has primarily focused on the impact of policy decisions on the level of stock returns – this paper also emphasizes the potential impact of unanticipated monetary policy on the volatility of stock returns. 2 I look at the relationship between monetary policy and daily stock market volatility from two vantage points: days around regularly scheduled meetings of the Federal Open Market Committee (FOMC) – the main monetary policymaking body in the United States – and days of actual policy decisions involving the target level of the federal funds rate. Along the first dimension, I examine whether the existence of regularly scheduled policy meetings per se has a measurable effect on stock market volatility.3 Judging from reports in the popular press, the answer to this question would be yes, as evidenced, for instance, by numerous news stories associating days of relative calm in the markets with upcoming FOMC meetings.4 I find statistical support for such headlines, but only after taking into account the effects of changes in the monetary policy news arrival process over the years. In particular, such “pre-announcement” effects are present only over the past five years or so, a period when the majority of policy decisions have actually been taken at the FOMC's regularly scheduled meetings. Turning to the days of actual policy decisions – regardless of whether they were announced on regularly scheduled meeting days – I find some evidence that such decisions tend to boost volatility in the stock market. As suggested by theory, the effect of policy decisions is greatest if I exclude those decisions that were fully anticipated by market participants. The results also suggest that positive surprises – higher-than-expected values of the target federal funds rate – tend to have a larger effect on volatility than negative surprises, consistent with both the leverage and volatility-feedback hypotheses studied by Black (1976) and French et al. (1987), respectively. On the whole, I find that, from previously depressed levels the day before an FOMC meeting, a surprise increase in the target federal funds rate at that meeting boosts market volatility to well above typical levels. Besides identifying monetary policy announcements as an important source of short-run volatility in the stock market, this paper also addresses broader issues in the finance literature. First, by looking at policy decisions that were taken both at scheduled FOMC meetings and on other, ad hoc, days, I am able to examine whether the markets respond differently to scheduled and unscheduled announcements.5 Second, by focusing on days before regularly scheduled meetings, I examine a topic that has received surprisingly little attention from the literature: The question of whether the imminent release of market-relevant information has a discernible impact on the stock market.6 Lastly, the findings call attention to a well-known result that is often overlooked in empirical studies of the relationship between news and volatility: the prediction from theory that it is only the surprise element of any piece of news that should affect asset prices. Indeed, perhaps the failure of many papers in the finance literature to detect a significant relationship between market volatility and the arrival of new information stems from the inability to appropriately distinguish what was truly new in the information released from what had already been built into market prices.7 The paper is organized as follows. The next section provides a brief description of the news arrival process for monetary policy, i.e., of how monetary policy decisions have been released to the public over the past decade. I also discuss the theoretical implications of recent changes in the news arrival process for the way the markets react to policy announcements. Section 3 describes the empirical framework that is used to test such implications and compares it to methodologies used in much of the economics and finance literatures to examine the markets' response to economic news. The data set used in the empirical analysis is described in Section 4, which also discusses the derivation of the market-implied policy expectations measure used throughout the paper. Section 5 discusses the results, and Section 6 concludes.

In examining the relationship between the stock market and monetary policy, this paper combined two different approaches widely used in the monetary economics and finance literatures. Financial economists have long considered the effects of releases of economic data on the volatility of asset markets by examining what happens to market volatility on news arrival dates. Meanwhile, monetary economists have examined how monetary policy surprises affect the level of stock prices by relating the element of surprise in the policy decision to the change in asset prices following the announcement of the decision. Each camp has met with only limited success in detecting a measurable relationship between news and stock prices: Several papers in the finance literature have highlighted the weak connection between the volatility of stock prices and identifiable news releases, and a majority of studies in the monetary economics literature has been unable to detect a statistically significant relationship between one-day changes in stock prices and monetary policy surprises. This paper argues that the two literatures can learn from one another. On the one hand, the finance literature's focus on economic announcements per se, without always controlling for the element of surprise in such announcements, might help explain why so many studies have failed to find a significant link between market volatility and economic news. On the other hand, by either implicitly assuming that the conditional volatility of stock returns is time invariant or by simply leaving its time-varying nature unspecified, monetary economists have failed to consider a potentially significant effect of policy surprises on the short-run behavior of the market. The findings reported in this paper raised important questions for future work. In particular, in analyzing the market's response to scheduled and unscheduled announcements, a potentially interesting issue is whether the corresponding impulse response functions for volatility are significantly different (Li and Engle, 1998). Other issues that also merit further consideration include a closer look at the relationship between first- and second-moment responses to policy news and the explicit analysis of risk premiums around announcement days, as in Jones et al. (1998). Lastly, the finding of highly significant pre-announcement effects in the stock market suggests a topic that deserves closer consideration by the market microstructure literature.