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Asset Prices and Monetary Policy$
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John Y. Campbell

Print publication date: 2008

Print ISBN-13: 9780226092119

Published to Chicago Scholarship Online: February 2013

DOI: 10.7208/chicago/9780226092126.001.0001

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Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices

Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices

Chapter:
(p.335) 8 Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices
Source:
Asset Prices and Monetary Policy
Author(s):

Roberto Rigobon

Brian Sack

Publisher:
University of Chicago Press
DOI:10.7208/chicago/9780226092126.003.0009

This chapter focuses on measuring the reaction of asset prices and monetary policy expectations to the “true” economic news embedded in the major U.S. data releases. Rather than attempting to better measure the data or the expectations, it focuses on developing econometric techniques that will adequately deal with the measurement problems associated with the data surprises used in the existing event-study literature. The results provide unbiased estimates of the response of monetary policy expectations and asset prices to the “true” surprise contained in all of the major data releases. An important finding is that macroeconomic data releases matter to a much greater extent than found in previous studies—that is, they account for a greater portion of the fluctuations in market interest rates.

Keywords:   asset prices, monetary policy, macroeconomic data, interest rates

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