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dc.contributor.authorApergis, Nicholas
dc.identifier.citationApergis, N., (2015). ‘The role of FOMC minutes for US asset prices before and after the 2008 crisis: Evidence from GARCH volatility modeling’. The Quarterly Review of Economics and Finance, 55, pp.100-107. DOI: 10.1016/j.qref.2014.09.002en_US
dc.description.abstractThis study explores the impact on US asset prices of novel data from minutes released by the Federal Open Market Committee. With data from fixed income assets, the main exchange rates of the US dollar, a House Price Index and various GARCH modeling, the empirical findings document significant effects of those minutes on the mean and volatility of asset prices only before the 2008 crisis. After the crisis, these effects become weaker, which is possibly attributable to the stronger transparency of monetary policy decisions as well as the implementation of monetary policy that persistently leads interest rates close to the zero lower bound, where they carry a weaker informational content. The baseline results survive a number of robustness tests. In addition, the findings are expected to provide important insight for monetary policymakers and market participants as they provide significant information on how well decisions are anticipated by market participants and how they adjust their views about future monetary policy, output growth, and inflation.en_US
dc.subjectFOMC minutesen_US
dc.subjectUS asset marketsen_US
dc.subjectGARCH volatilityen_US
dc.titleThe role of FOMC minutes for US asset prices before and after the 2008 crisis: Evidence from GARCH volatility modeling.en_US
dc.contributor.departmentCurtin Universityen_US
dc.identifier.journalThe Quarterly Review of Economics and Financeen_US

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