News and Monetary Shocks at a High Frequency: A Simple Approach

International Monetary Fund
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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.
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Additional Information

Publisher
International Monetary Fund
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Published on
Sep 12, 2014
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Pages
12
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ISBN
9781498367288
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Language
English
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Genres
Business & Economics / Economics / General
Business & Economics / Economics / Macroeconomics
Business & Economics / International / Economics
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Content Protection
This content is DRM protected.
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