Article ID Journal Published Year Pages File Type
5059239 Economics Letters 2014 5 Pages PDF
Abstract
We develop a simple approach to identify economic news and monetary shocks at a high frequency. The approach is used to examine financial market developments in the United States following the Federal Reserve's May 22, 2013 taper talk suggesting that it would begin winding down its quantitative easing program. Our findings show that the sharp rise in 10-year Treasury bond yields immediately after the taper talk was largely due to monetary shocks, with positive economic news becoming increasingly important in subsequent months.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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