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Working Paper
Do actions speak louder than words? the response of asset prices to monetary policy actions and statements
We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor--changes in the federal funds rate target-and find that they are not. Instead, we find that two factors are required. These factors have a structural interpretation as a "current federal funds rate target" factor and a "future path of policy" factor, with the latter closely associated with FOMC statements. We measure the effects of these two factors on bond yields and stock prices using a new intraday dataset going back to 1990. According to our estimates, both monetary policy actions and statements have important but differing effects on asset prices, with statements having a much greater impact on longer-term Treasury yields.
AUTHORS: Refet Gürkaynak; Sack, Brian P.; Swanson, Eric T.
DATE: 2004

Journal Article
Standardizing world securities clearance systems
A discussion of how the dramatic increase in the volume of international securities trading has strained the present system of settling trades. Included are nine recommendations made by the Group of Thirty to reduce the risk and cost of trading in financial markets worldwide and the difficulties that would accompany implementation of a new system.
AUTHORS: DeGennaro, Ramon P.; Pike, Christopher J.
DATE: 1990

Journal Article
Demystifying derivatives
AUTHORS: Clark, Michelle A.
DATE: 1994

Working Paper
Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
We revisit the risk-return relation using the component GARCH model and international daily MSCI stock market data. In contrast with the previous evidence obtained from weekly and monthly data, daily data show that the relation is positive in almost all markets and often statistically significant. Likelihood ratio tests reject the standard GARCH model in favor of the component GARCH model, which strengthens the evidence for a positive risk-return tradeoff. Consistent with U.S. evidence, the long-run component of volatility is a more important determinant of the conditional equity premium than the short-run component for most international markets.
AUTHORS: Guo, Hui; Neely, Christopher J.
DATE: 2006

Conference Paper
Technology, information production and market efficiency : commentary
AUTHORS: Hildebrand, Philipp
DATE: 2001

Conference Paper
Technology, information production, and market efficiency : general discussion
AUTHORS: Chairman; Fraga, Arminio
DATE: 2001

Conference Paper
Technology, information production, and market efficiency : commentary
AUTHORS: Ferguson, Roger W.
DATE: 2001

Conference Paper
Technology, information production, and market efficiency
AUTHORS: Shleifer, Andrei; D'Avolio, Gene; Gildor, Efi
DATE: 2001

Journal Article
Low inflation in a world of securitization
Weak lending may still be the culprit behind low inflation, but monetary aggregates may no longer closely track credit conditions.
AUTHORS: Fawley, Brett W.; Wen, Yi
DATE: 2013

Journal Article
U.S. securities markets and the banking system, 1790-1840
AUTHORS: Sylla, Richard
DATE: 1998

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