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Title Two Essays on the Role of Uncertainty in Financial Markets
URL
Publication Date
Degree PhD
Discipline/Department Finance
Degree Level doctoral
University/Publisher West Virginia University
Subjects/Keywords Monetary Policy; Macroeconomic Announcements; Financial Markets; Intraday Data; Ambiguity; Knightian Uncertainty; Earnings Announcements; Stock Returns; Market Efficiency; Systematic Risk.
Contributors Ann Marie Hibbert; Alex Kurov; Costanza Meneghetti
Country of Publication us
Record ID oai:researchrepository.wvu.edu:etd-8304
Repository wvu
Date Retrieved
Date Indexed 2020-07-20
Created Date 2018-01-01 08:00:00

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…macroeconomic news release.7,8 Using a narrow intraday window around the announcement allows estimating market sensitivity to macroeconomic news more precisely than, for example, using daily data. 7 Existing studies (e.g., Ederington and Lee, 1995…

…Michigan Confidence have a significant impact on crude oil futures price, whereas in the Kilian and Vega (2011) analysis these announcements do not move crude oil prices. This difference in results may be explained by our use of intraday data and…

…future policy. This should have an impact on the markets’ response to macroeconomic announcements. By using intra-day futures data around the release time of macroeconomic indicators, the first essay provides evidence that higher monetary policy…

…guidance must be understood to be conditional on incoming economic data (Siklos, 2017). In the United States, the Federal Reserve links monetary policy to economic conditions, which brings substantial uncertainty to the markets (e.g., Wu…

…asset purchases under the quantitative easing (QE) program if warranted by economic data. On June 19, 2013, Bernanke suggested that, if the economy continued to improve, the bond-buying program could end in 2014. In what later became known as…

…incoming economic data 2 See for example Figure 2 in http://www.federalreserve.gov/monetarypolicy/files/fomcprojtabl20120125.pdf 2 in the light of their possible effect on the QE program and on the timing of the eventual increases of short-term…

…expectations of monetary policy based on incoming macroeconomic data. For instance, good news about the economy – such as stronger than expected GDP growth – increases the likelihood that the Fed will tighten monetary policy sooner rather than later. In times…

…expected signs of direct and indirect effects of good and bad economic news for the four asset markets we examine. The Fed conditions monetary policy on incoming economic data. Good economic news increases the likelihood of QE tapering and accelerates the…

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