Central bank announcements and realized volatility of stock markets in G7 countries

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LYÓCSA Štefan MOLNÁR Peter PLÍHAL Tomáš

Rok publikování 2019
Druh Článek v odborném periodiku
Časopis / Zdroj Journal of International Financial Markets, Institutions and Money
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www http://dx.doi.org/10.1016/j.intfin.2018.09.010
Doi http://dx.doi.org/10.1016/j.intfin.2018.09.010
Klíčová slova Target interest rate; Realized volatility; Central banks; High-frequency data; Monetary policy
Přiložené soubory
Popis We investigate the impact of monetary policy announcements on stock market volatility in the U.S., Canada, Japan, the U.K., Germany, France and Italy during the 2006–2016 period. More specifically, we study the impact of policy rate and quantitative easing announcements of domestic and foreign central banks on realized volatility before, during, and after the event. We find that on the day of an interest rate announcement of the domestic central bank, volatility increases in a manner that is both statistically and economically significant. We also find a decline in volatility five days after an interest rate announcement across all countries in our sample. We further find that quantitative easing announcements have no impact on stock market volatility not only at but also five days before and five days after the announcement date.
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