the heterogeneous dependence between global crude oil and chinese commodity futures markets evidence from quantile regression this paper explores the dependence between global crude oil and chinese commodity futures markets across different quantiles of the return distributions based on weekly data from 11 june 2004 to 7

the impact of crude oil prices on financial market indicators copula approach abstract oil price changes have varying impacts on the financial indicators of global markets and economies this study aims to explore the dependence structure between crude oil prices and stock market indices as well as the exchange rates in a number of economies categorized with respect to their status as developing emerging markets and oil importer exporter countries dependence structures in this study are evaluated in considerable depth using copula models the broad time period covered allows the investigation of the effect of global financial crisis on the mentioned dependence structure an additional feature of this study is the inclusion of 1 to 30 day analysis to capture the variation of dependence on duration change to serve these aims as well as arima and garch models various copula measures are used to illustrate the level of the association additionally a special focus on the turkish case is given to illustrate its sensitivity to oil prices we find that exchange rates and stock indices of most oil exporter countries show higher oil price dependency whereas emerging oil importer markets are less vulnerable to price fluctuations considerable impacts were found for the global crisis and the continuing recent sharp decrease in oil prices

north american money surprises and financial market reactions an empirical note abstract in the late 1970s u s and canadian weekly money supply announcements occurred almost simultaneously the unanticipated components of these announcements are shown to be correlated and the importance of this factor for findings in the money surprise market response literature is explored

the open economy consequences of u s monetary policy a failure to identify movements in the federal funds rate that are both unpredictable and independent of other determinants of open economy variables may lead to attenuation bias in the estimated effects of u s monetary policy on the exchange rate and foreign variables using a u s monetary policy measure which isolates unpredictable and independent federal funds rate changes we quantify the magnitude of the attenuation bias for the exchange rate and foreign variables the exchange rate appreciation following a monetary contraction is up to 4 times larger than a recursively identified var estimate there is stronger evidence of foreign interest rate pass through the expenditure reducing effects of a u s monetary policy contraction dominate any expenditure switching effects leading to a positive conditional correlation of international outputs and prices we compare our results with those obtained using identification based upon 1 non recursive var restrictions and 2 restrictions derived from high frequency asset price behavior

money supply announcements and real interest rates abstract current research on the relation between money and asset prices focuses on the reaction of asset prices to money supply announcements in this paper we use the real interest observed in the u k index linked bond market and the nominal interest rate observed in the nominal bond market to study the reaction of real interest rates and expected inflation to money surprises we find that monetary surprises have a strong effect on inflationary expectations we also find some evidence of a positive reaction of long term real interest rates to the m3 announcement

crude oil corn ethanol nexus a contextual approach this paper offers a holistic study on the complex relationships between crude oil corn and ethanol during a turbulent period between 2006 and end of 2011 through a holistic mapping of the current market situation and a contextual analytical design we show that there exists a strong relationship between crude oil and corn markets on one side and crude oil and ethanol on the other however the price relationship between corn and ethanol was revealed to be less straightforward and is driven by the us government fuel policy furthermore the study indicates that corn markets have became more prone to volatility due to ethanol production especially when the demand for corn is high and or the crude oil prices are high enough to create a competitive market for ethanol

co movement of international crude oil price and indian stock market evidences from nonlinear cointegration tests this article explores nonlinear cointegration between international crude oil price and indian stock market in a multivariate framework for the period january 2 2003 to july 29 2011 by threshold cointegration tests which determine the structural breaks endogenously the tests reject any long run equilibrium relationship among the variables for the entire data span in order to get better insight threshold cointegration tests have been applied on three sub phases prior phase i and post phase iii to most volatile phase phase ii spanning from july 2 2007 to dec 29 2008 the tests suggest existence of cointegration in phase iii only toda yamamoto version of granger causality tests reveals that movements of international crude oil price have impact on indian stock market in phases ii and iii with no feedback effect the findings also suggest that global crude oil price is exogenously determined

the reaction of interest rates to unanticipated federal reserve actions and statements implications for the money announcement controversy this paper examines the reaction of long and short term interest rates to monetary policy surprises that influenced market expectations of the future behavior of the federal funds rate in the period after october 1979 we find that the relative reaction of long and short term rates to policy surprises is similar to the relative reaction of these rates to money announcements consequently we conclude that the large reaction of long term interest rates to money announcements in the period after october 1979 is consistent with the policy anticipations hypothesis which views this reaction as a movement in real interest rates

monetary policy regimes expected inflation and the response of interest rates to money announcements this paper examines the response of the term structure of interest rates to weekly money announcements estimated responses for both the pre and post october 1979 periods are first presented then two competing hypotheses involving the policy anticipations and expected inflation effects are formally specified and compared with the estimated responses both hypotheses are found to be consistent with the responses but they have sharply different implications about the federal reserve s short run monetary policy by exploiting these different implications additional empirical results focusing directly on the money stock process support the policy anticipations hypothesis

money supply announcements and interest rates another view in this paper i use a new approach to analyze the impact of money supply announcements on the bond market before 1980 the only available work on this subject consisted of a few unpublished papers by conrad 1978 sivesind 1978 and urich 1979 1 more recently published papers by grossman 1981 and urich and wachtel 1981 have appeared roley 1982 extends the grossman study to incorporate data after the federal reserve policy statement of october 6 1979 both grossman and urich and wachtel are primarily concerned with the question of money market efficiency using survey data made available by money market services of san francisco and data on treasury bill yields each finds that the market responds quickly to unanticipated changes in the money supply but that anticipated changes have no effect on interest rates in addition grossman finds that when he adds other variables such as past changes in the money

oil prices and the stock prices of alternative energy companies energy security issues coupled with increased concern over the natural environment are driving factors behind oil price movements while it is widely accepted that rising oil prices are good for the financial performance of alternative energy companies there has been relatively little statistical work done to measure just how sensitive the financial performance of alternative energy companies are to changes in oil prices in this paper a four variable vector autoregression model is developed and estimated in order to investigate the empirical relationship between alternative energy stock prices technology stock prices oil prices and interest rates our results show technology stock prices and oil prices each individually granger cause the stock prices of alternative energy companies simulation results show that a shock to technology stock prices has a larger impact on alternative energy stock prices than does a shock to oil prices these results should be of use to investors managers and policy makers

why interest rates react to money announcements an explanation from the foreign exchange market abstract when the fed announces a money supply greater than had been expected interest rates rise why one explanation is that the market raises its estimate of the future rates of money growth and inflation and bids up nominal interest rates we offer contrary evidence on such days the dollar appreciates not depreciates an alternative explanation is that the market perceives the change in the money stock as a transitory fluctuation that the fed will reverse in the future the anticipated future tightening raises today s real interest rate causes a capital inflow and appreciates the dollar the result in fact observed

extreme risk spillovers between crude oil and stock markets abstract this paper investigates the spillovers of extreme risks between crude oil and stock markets using daily data of the s p 500 stock index and west texas intermediate wti crude oil futures returns based on the method of granger causality in risk value at risk var is employed to measure market risk and a class of kernel based tests is used to detect negative and positive risk spillover effects empirical results reveal that there are significant risk spillovers between the two markets extreme movements past or current in one market may have a significant predictive power for those in the other market prior to the recent financial crisis there are positive risk spillovers from stock market to crude oil market and negative spillovers from crude oil market to stock market after the financial crisis bidirectional positive risk spillovers are strengthened markedly the risk spillovers may occur instantaneously and or with a long time delay both positive and negative risk spillover effects exhibit asymmetric correlations

the effect of unanticipated money on the money and foreign exchange markets abstract a number of studies have attempted to determine why unanticipated increases in the money supply are positively correlated with money market interest rates by examining the response of the foreign exchange market to unanticipated changes in the money stock they have found a significant positive relationship between unanticipated increases in the money supply and the foreign exchange value of the dollar and have interpreted this as evidence for the anticipated liquidity effect hypothesis however these results support this hypothesis only if both markets respond simultaneously to unanticipated changes in money this paper examines the cross market consistency of the response using six bilateral exchange rates and the treasury bill rate all measured over a narrow time interval the results show that in general these markets do not respond simultaneously to money announcements

news shocks in the data olympic games and their macroeconomic effects we examine the macroeconomic effects of bidding for the olympic games using panel data for 188 countries during the period 1950 2009 our findings confirm that economies react to news shocks investment consumption and output significantly increase 9 to 7 years before the actual event in bidding countries hosting countries also experience significant increases in investment consumption and output 5 to 2 years before the hosting of the games mapping the olympics into a macroeconomic model we show that we can match our empirical findings if we assume that an olympic bid represents news about increases in government investment

us money announcements and covered interest parity the case of japan abstract this paper examines the effects of us money announcements on dollar and yen denominated securities in their respective onshore markets the effects are consdered over several periods corresponding to possible us and japanese policy regimes the consistency of the responses is further examined by testing whether the responses of dollar denominated securities yen denominated securities the spot yen dollar exchange rate and the forward yen dollar exchange rate violate covered interest parity given the results of previous studies the evidence suggests that restrictions on capital mobility in japan have not allowed complete international integration of japanese financial markets

non defaultable debt and sovereign risk abstract we quantify gains from introducing limited financing through non defaultable debt into a model of equilibrium sovereign risk for an initial sovereign spread of 4 2 introducing the possibility of issuing non defaultable debt for up to 10 of aggregate income reduces immediately the spread to 1 5 and implies a welfare gain equivalent to a permanent consumption increase of 0 8 nevertheless the spread reduction achieved by the introduction of non defaultable debt is short lived our findings shed light on different aspects of proposals to introduce common euro area sovereign bonds that could be virtually non defaultable

asymmetric impact of monetary surprises on exchange rate abstractthis paper examines the asymmetric response of exchange rate to monetary surprises after controlling the type direction and origin of the news as well as business cycle phase a new asymmetry is found in the response of the exchange rate to news surprises in specific the us dollar depreciates against major currencies as the response to the negative monetary surprises in the 2001 recession while the dollar appreciates responding to similar negative monetary surprises during the 2008 recession the paper further explores possible causes and finds that time varying status of the currency with higher financial returns may contribute to the new asymmetry

the response of short term interest rates to weekly money announcements each friday at 4 10 p m est the federal reserve announces its estimate of the narrowly defined money stock for the statement week ending nine days previously these money announcements have become one of the main events in financial markcts if for no other reason than the fact that significant movements in interest rates have been associated with large unanticipated changes in the money stock moreover since the late 1970s interest rate fluctuations in response to money stock announcements have dramatically increased over the 1l 2 hour intervals spanning the weekly announcements for example the variance of the change in the threemonth treasury bill yield in the three years since october 1979 is more than thirty times larger than that of the previous two year period l two factors may account for a large portion of the increased volatility of shortterm interest rates first on october 6 1979 the federal reserve adopted a reserve aggregate approach to monetary control replacing a procedure that emphasized stability of short term yields second despite the greater emphasis placed on monetary control the variance of weekly announced changes in the money stock has risen by about 70 percent since late 1979 in turn if greater volatility of announced changes makes future changes more difficult to predict the volatility of unanticipated weekly changes in money would have also increased 2 thus if financial markets are efficient and if weekly money announcements contain relevant information larger unanticipated changes in money may have caused larger fluctuations in interest rates

monetary policy surprises and interest rates choosing between the inflation revelation and excess sensitivity hypotheses author affiliation willem thorbecke george mason university and senior fellow research institute of economy trade and industry 1 3 1 kasumigaseki chiyoda ku tokyo 100 8901 japan tel 81 3 35018286 e mail wthorbec gmu edu corresponding author hanjiang zhang department of finance mccombs school of business university of texas at austin 1 university station b6000 austin tx 78712 usa e mail hanjiang zhang mccombs utexas edu acknowledgment we thank the co editor kent kimbrough two anonymous referees and seminar participants at the research institute of economy trade and industry for many helpful comments we also thank andrew swiston for generously providing us data on unexpected changes in the federal funds rate target 1 introductionwhy do increases in the federal reserve s fed s target for the federal funds rate raise interest rates on long term treasury securities one might expect that contractionary monetary policy would raise short term rates because of a liquidity effect and reduce long term rates by lowering expected inflation yet cook and hahn 1989 reported that increases in the fed s target for the federal funds rate from september 1974 to september 1979 raised interest rates at all horizons similarly kuttner 2001 found that unanticipated increases in the federal funds rate target over the june 1989 to february 2000 period increased interest rates at all maturities one interpretation of the results of cook and hahn 1989 and kuttner 2001 is that contractionary monetary policy raises longer term real interest rates the nominal interest rate equals the real interest rate plus the expected inflation rate if contractionary monetary policy lowers expected inflation or leaves it unchanged then evidence that it increases the nominal interest rate implies that it must also be increasing the real interest rate romer and romer 2000 provided an alternative explanation for these findings they showed that the fed has substantially more information about future inflation than is available from commercial forecasts their results imply that the optimal strategy for individuals with access to both the fed s forecasts and commercial forecasts would be to rely exclusively on the fed s forecasts they also demonstrated that federal reserve policy actions reveal some of the fed s private information about inflation an increase in the federal funds rate target could thus increase interest rates by raising expectations of future inflation gurkaynak sack and swanson 2005a presented evidence indicating that increases in the federal funds rate target have the opposite effect lowering expected inflation from 1990 2002 they found that unexpected increases in the funds rate target lower the one year forward rate 10 years ahead they also found that real long term forward rates derived from inflation indexed treasury securities do not respond to monetary policy surprises while the compensation for inflation responds with a significant negative coefficient to positive innovations in the federal funds rate target they interpreted these findings to mean that surprise increases in the federal funds rate target lower future expected inflation their conclusion is thus exactly the opposite of romer and romer s 2000 information revelation explanation ellingsen and soderstrom 2001 presented a model that encompasses the models of romer and romer 2000 and gurkaynak sack and swanson 2005a in their model unanticipated changes in the central bank rate can occur because the central bank has private information about the economy or because the central bank changes its preferences for inflation stabilization relative to output stabilization romer and romer focused on the first effect and gurkaynak sack and swanson focused on the second campbell 1995 noted that the effect of funds rate increases on inflation expectations should depend on the fed s credibility in fighting inflation

cointegration and threshold adjustment this article proposes an extension to the engle granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways we demonstrate that our test has good power and size properties over the engle granger test when there are asymmetric departures from equilibrium we consider an application namely whether there exists cointegration among interest rates for instruments with different maturities this issue has been widely tested with mixed results we argue that either cautious policy or possibly opportunistic behavior on the part of the federal reserve implies that an equilibrium relationship between short and long term interest rates exists but that adjustments from disequilibrium are asymmetric in nature empirical tests using u s yields confirm the asymmetric nature of error correction among interest rates of different maturities

nonparametric panel data model for crude oil and stock market prices in net oil importing countries abstract this paper introduces an innovative nonparametric panel data approach to model the long run relationship between the monthly oil price index and stock market price indices of ten large net oil importing countries namely the united states japan china south korea india germany france singapore italy and spain in the proposed model we allow the coefficient on the oil price index to be a time varying function which evolves over time in a way that is assumed to be unknown we also allow the common trend function to evolve over time as well as extending the model further to incorporate country specific trend functions we employ a data driven local linear method to estimate these time varying trend and coefficient functions the results show that despite being largely positive there are several downward trends reflecting the aftermath of the iraq war and the recent unprecedented drop in the oil price overall we find that the nonparametric panel data model better captures the way in which the underlying stock oil price relationship has evolved over time in comparison to the point estimates of the parametric counterpart moreover we find that stock market fundamentals play a significant role in determining the oil stock price relationship our findings have important implication for policymakers and financial speculators

do macro economic news announcements affect the volatility of foreign exchange rates some evidence from australia this paper investigates the role of australian macro economic announcement news on five major australian dollar aud exchange rates specifically the daily changes of the exchange rates are modelled to ascertain the existence and the nature of the news effects in the conditional mean and variance of the changes it is found that a higher than expected current account deficit and unemployment rate announcements depreciated the aud and an unexpectedly higher gdp growth announcement appreciated it current account deficit cpi and unemployment news announcements significantly raised the conditional volatility of the changes of the aud on the days of their announcements except for the bp aud for the cpi news and there is some evidence of retail sales news reducing it in general the evidence is consistent with a view that a release of new information creates uncertainty in the markets due to a lack of consensus on the effects of the particular news announcement and the necessary course of action in add

the non linear impact of oil price on the oil demand a panel smooth transition regression model was adopted to analyse the non linear impact of oil prices on oil demand data for 42 countries was obtained from the international energy agency for the

assessment of the relationship between oil prices and us oil stocks abstract this paper qualitatively and quantitatively analyzes the relationship between us monthly ending oil stocks position with that of west texas intermediate wti oil prices from february 1995 to july 2004 the paper concludes if other things are held constant wti is inversely related to the petroleum products ppp combined petroleum products and crude oil cppp crude oil alone crude total oil stocks including petroleum products crude oil and strategic petroleum reserves spr total total gasoline tgo total distillate tdo it could not establish a statistically significant and negative relationship with spr when run alone one percent increase decrease in cppp ppp crude total tgo and tdo leads to decrease increase in wti respectively by 0 70 0 43 0 37 0 97 0 26 and 0 21 percent oil prices are largely influenced by total crude and crude and ppp inventories levels while modestly with variations in gasoline and distillate stocks levels despite a healthy increase of over 22 percent in spr from january 2001 to april 2004 it did not result in easing of oil prices primarily because spr are meant for security of supply concern and are only released under extreme conditions by the president of united states they are neither meant for the purposes of balancing supply demand gap nor for the stability of oil prices the aggressive spr buildup in recent years is related to international terrorism geopolitical situation in the middle east particularly in iraq that encourages us government to enhance its spr to meet any short term eventuality the analyst must keep a close eye on cppp and the total oil stocks variation to forecast wti in the short run whilst gasoline and distillate influence oil prices modestly in the short run spr on the other hand are expected to play a pivotal role in balancing oil prices and in providing a critical resource for the economy in case of any major shortfall in the long run

turning points in the u s civil war views from the grayback market this paper introduces a new high frequency time series of confederate money prices taken from the newspapers of richmond and leading cities in the eastern confederacy the new grayback series is tested for turning points the empirical analysis suggests that turning points in the confederate grayback market were different from those identified in the union greenback market by willard et al 1996 it appears that war did not always have symmetric effects on northern and southern money prices jel codes n20 n40

oil and the macroeconomy since world war ii all but one of the u s recessions since world war ii have been preceded typically with a lag of around three fourths of a year by a dramatic increase in the price of crude petroleum this does not mean that oil shocks caused these recessions evidence is presented however that even over the period 1948 72 this correlation is statistically significant and nonspurious supporting the proposition that oil shocks were a contributing factor in at least some of the u s recessions prior to 1972 by extension energy price increases may account for much of post opec macroeconomic performance

balance of trade announcements and movements in exchange rates there is a growing literature on the effect of economic news on foreign exchange rates the effects of weekly money supply announcements on exchange rates have been empirically investigated by a number of researchers over a variety of periods 1 2 3 4 7 11 12 13 the response of foreign exchange rates to other types of economic information has also been studied for example dornbusch 5 uses innovations in the current account cyclical factors and interest rates frenkel 10 uses innovations in interest rate differentials edwards 6 uses innovations in money real output and real interest rates most recently hardouvelis 14 studies the market response of three interest rates and seven exchange rates to economic news on fifteen economic aggregates including monetary announcements inflation rate announcements and announcements reflecting the stage of the business cycle this paper studies short run movements in foreign exchange rates to the commerce department s monthly announcements of the u s balance of merchandise trade it extends previous studies of foreign exchange response to economic news in three ways first by studying the response to the trade announcement which occurs two months after the month to which the announcement refers the paper provides a more precise measure of the response to the news content of trade related announcements than earlier studies this for instance is an improvement over dornbusch s 5 definition of current account news as the innovation in the actual oecd organization for economic co operation and development biannual current account estimates second the paper studies not only movements in spot rates to the announcement but calculates the movements in forward premiums to this information by studying the response in forward premiums to the merchandise trade announcements the paper examines whether the information in the announcements implies effects that operate through capital flows and interest rates in addition to responses that operate through the flow of merchandise trade

domestic and international financial market responses to federal deficit announcements abstract this study examines the response of domestic and international financial variables to announced changes in federal deficit projections over the 1981 1994 period as observed in earlier studies rates on us treasury securities responded positively to announced increases in federal deficit projections new evidence shows that deficit effects are transmitted internationally with foreign long term interest rates also increasing in response to announced increases in us deficit projections the exchange value of the dollar tends to be positively related to announced changes in deficit projections but that result appears to be related to the degree of insulation of foreign financial markets from us financial markets finally the price of gold responded positively to announced changes in deficit projections taken together the results suggest that higher projected deficits raise real interest rates in part because of an increase in an inflation risk premium

exchange rates interest rates and money stock announcements a theoretical exposition abstract when the federal reserve announce a larger than anticipated weekly level of the us money stock m1 the dollar appreciates and short term interest rates increase because of an expected liquidity effect but long term interest rates and particularly long run forward interest rates increase because of an expected inflation effect the two effects are not mutually exclusive but coexist when market participants are not completely sure of the fed s policy rule and thus react in a weighted average manner with weights that reflect subjective probabilities about different federal reserve money growth policies

relationships between oil price shocks and stock market an empirical analysis from china this paper investigates the interactive relationships between oil price shocks and chinese stock market using multivariate vector auto regression oil price shocks do not show statistically significant impact on the real stock returns of most chinese stock market indices except for manufacturing index and some oil companies some important oil price shocks depress oil company stock prices increase in oil volatility may increase the speculations in mining index and petrochemicals index which raise their stock returns both the world oil price shocks and china oil price shocks can explain much more than interest rates for manufacturing index

changing interest rate responses to money announcements 1977 1983 abstract this paper investigates when and how the response of interest rates to money announcements changed in recent years the response of both short and long rates rises in october 1979 but drops during 1981 during mid 1982 the response of long rates raises again but without a change in the response of short rates despite a number of ex post explanations for these shifts none of the major hypotheses of why interest rates respond to money announcements provides a complete ex ante explanation of these response shifts

money supply announcements interest rates and foreign exchange abstract this paper presents a test of the joint hypothesis that money supply announcements affect the real interest rate and that changes in the real interest rate affect the exchange rate in the short run the test results are consistent with the joint hypothesis for example it is found that announcement of an unexpected jump in the money supply is accompanied by an increase in interest rates and an appreciation of the dollar if the rise in interest rates was entirely due to higher inflationary expectations the dollar should not appreciate

commodity own rates real interest rates and money supply announcements abstract this paper develops a measure of the real interest rate that is based on commodity own rates the rate at which one can contract to exchange units of a commodity today for units of the commodity in the future we use this measure to study the impact of money supply announcements on the real interest rate we find that money shocks have little effect on one and three month real interest rates however there is a strong positive relation between money shocks and six and twelve month real interest rates

reserves announcements and interest rates does monetary policy matter the author provides evidence on the perceived existence of strong liquidity effect the analysis is based on the response of the term structure of interest rates to the weekly federal reserve announcements of bank reserves during the post october 1979 period it is shown that unanticipated changes in the mix between borrowed and nonborrowed reserves cause expected real interest rates to change after the announcement because they provide information about a future change in the supply of money a precise model is developed and tested during subperiods of nonborrowed and borrowed reserves targeting by the fed

the effects of crude oil shocks on stock market shifts behaviour a regime switching approach abstract in this paper we develop a two regime markov switching egarch model introduced by henry henry o 2009 regime switching in the relationship between equity returns and short term interest rates journal of banking and finance 33 405 414 to examine the relationship between crude oil shocks and stock markets an application to stock markets of uk france and japan over the sample period january 1989 to december 2007 illustrates plausible results we detect two episodes of series behaviour one relative to low mean high variance regime and the other to high mean low variance regime furthermore there is evidence that common recessions coincide with the low mean high variance regime in addition we allow both real stock returns and probability of transitions from one regime to another to depend on the net oil price increase variable the findings show that rises in oil price has a significant role in determining both the volatility of stock returns and the probability of transition across regimes

sovereign spreads in the eurozone which prospects for a eurobond in this paper we provide new evidence on the determinants of sovereign yield spreads and market sentiment effects in the eurozone in order to evaluate the rationale for a common eurobond jointly guaranteed by eurozone member states we find that default risk is the main driver of yield spreads suggesting small gains from greater liquidity fiscal fundamentals matter in the pricing of default risk but only as they interact with other countries yield spreads that is with the global risk that the market perceives more importantly the impact of this global risk variable is not constant over time a clear sign of contagion driven by shifts in market sentiment this evidence points to a discontinuity in the disciplinary role of financial markets if markets can stay irrational longer than a country can stay solvent then the role of yield spreads on national bonds as a fiscal discipline device is considerably weakened and issuing eurobonds can be economically justified carlo favero and alessandro missale

sovereign debt guarantees and default lessons from the uk and ireland 1920 1938 abstract we study the daily yields on irish land bonds listed on the dublin stock exchange during the years 1920 1938 we exploit irish events during the period and structural differences in land bonds to tease out a measure of investors credibility in a uk sovereign guarantee using ireland s default on intergovernmental payments in 1932 we find a premium of about 43 basis points associated with uncertainty about the uk government guarantee we discuss the economic and political forces behind the irish and uk governments decisions pertaining to the default our finding has implications for modern day proposals to issue jointly guaranteed sovereign debt further in view of all the historical circumstances it is not equitable that the irish people should be obliged to pay away these moneys eamon de valera 12 october 1932

are survey forecasts of macroeconomic variables rational this article examines the rationality of forecasts of 11 macroeconomic variables among the nonstationary series only surveys of housing starts the unemployment rate and the trade balance are rational forecasts among the stationary series survey forecasts for only consumer prices and personal income are consistent with rational expectations lack of rationality in forecasts of durable goods industrial production leading indicators money supply and retail sales suggests that such forecasts do not fully exploit public information indeed survey forecasts for industrial production and retail sales can be improved significantly with past information copyright 1995 by university of chicago press

the empirics of international monetary transmission identification and the impossible trinity the transmission of monetary policy across borders is central to many open economy models research has tried to evaluate the impossible trinity through estimating international interest rate linkages under alternative exchange rate regimes using realized base country interest rates such interest rates include anticipated and endogenous elements which need not propagate internationally we compare international interest rate responses under pegged and non pegged regimes to identified unanticipated and exogenous u s interest rate changes and realized u s interest rate changes we find important differences in estimated transmission from the two sets of measures identified interest rate changes demonstrate a greater concordance with the impossible trinity than realized rate changes

the credit view financial announcements and interesr rate responses abstract proponents of the credit view have argued that aggregate commercial bank lending decisions have strong macro economic effects this view is in contrast to the monetarist view that it is sufficient to consider the liability side of the banking sector s balance sheet in analyzing the economic outlook in this paper we examine whether or not financial markets reacted to unexpected changes in aggregate commercial bank lending during much of the 1980s in contrast to the implications of the credit view no evidence of a significant reaction to such shocks is uncovered however there is evidence to suggest that unexpected commercial paper activity is important to financial markets but the sign of the association is the opposite of that predicted by the credit view

market response to the weekly money supply announcements in the 1970s the hypothesis that the weekly announcement of the money supply affects interest rates is examined the announcement effect is interpreted as a policy anticipation effect that is an unanticipated increase in the money supply leads to an increase in interest rates in anticipation of future tightening by the federal reserve estimates of this effect with proxies for the unanticipated change constructed from a survey of money supply forecasts and an arima model indicate that a financial markets respond very quickly to the announcement and b the response was largest when policymakers emphasized the importance of the monetary aggregates financial market participants are careful observers of the weekly money supply announcement and generally agree that the announcement often leads to changes in interest rates this occurs because the announcement leads market participants to revise their expectations both of future federal reserve policy actions and of future economic conditions in this paper we examine the response of yields on treasury bills to the announcement of the money supply and the extent to which that response has varied in the last ten years money supply announcements may affect market interest rates in three ways first actual expansion of the money supply leads to lower interest rates through a liquidity effect however rapid monetary growth which is not anticipated leads market participants to expect the federal reserve to counteract such growth in the future as a consequence there may be a policy anticipation effect which causes higher interest rates in anticipation of future tightening furthermore prolonged rapid monetary growth also creates inflation and inflationary expectations which lead to higher interest rates thus there may exist a third effect the inflationary expectations effect which also leads to higher interest rates our interest in this paper is in the immediate market response to the weekly announcement of the money supply which as we argue below is most likely to be a policy anticipation effect the policy anticipation effect is best described by example suppose that the announced change in the money supply exceeds that which was expected by

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

policy regime changes and monetary expectations testing for super exogeneity abstract the super exogeneity status for weekly u s monetary expectations structure is examined the incomplete structure of the proposed model requires the use of an incidental parameter which is approximated by a linear function of certain instruments a super exogeneity test within the instrumental variables framework examines whether distributional changes stemming from the regime shifts affect the error correction parameter in the expectations structure under the assumption that the variance of the error correction term is constant the data evidence is found to reject super exogeneity

the impact of monetary regime changes some exchange rate evidence abstract lucas has argued that coefficient changes can be explained by changing expectations caused by the policy regime shifts this paper provides evidence consistent with the lucas critique using an efficient markets news framework kalman filter results show that surprise relative u s monetary expansion is associated both with periods of u s depreciation and appreciation i show that variables representing changes in monetary policy regimes can explain a substantial fraction of the movements in the time varying parameter

monetary policy lessons of recent inflation and disinflation by 1975 most economists agreed that the money demand function in the united states was reasonably stable and could serve as a reliable basis for the formulation of monetary policy those suspicious of monetarism were on the defensive in the light of the apparently inexorable increase of m1 velocity of about three percent per year with deviations of only a few tenths of a percent experience with rising money growth and rising inflation through 1980 only confirmed monetarist views as figure 1 shows all this had changed by 1986 with disinflation in the 1980s m1 velocity departed convincingly from its 1953 79 trend the money demand function seems to have fallen apart and is apparently not a reliable basis for monetary policy after all consequently the first major section following this introduction is devoted to the decline of velocity after 1981 and the demise of the standard money demand function some authors including i believe benjamin friedman conclude that this evidence leaves us so uncertain about the nature of money demand that policymakers cannot rely at all on any presumed money demand regularities in contrast my working hypothesis is that the money demand continues to be a stable function of relatively few variables but that the interest elasticity of money demand is substantially higher than previously thought others have sought money demand explanations in terms of regime shifts but that literature will not be discussed here events have not been kind to keynesian monetary policy positions either keynesians tend to concentrate on interest rates especially real interest rates as the best guide to the effects of monetary policy on the economy the real rate is discussed

canadian cpi announcements over the disinflationary cycle evidence from the foreign exchange rate market previous announcement studies have focused primarily on market reactions to money announcements this study examines the behaviour of exchange rates to canadian cpi announcements the reaction to the monthly cpi announcements provides a unique opportunity to test hypothesis whether the bank of canada gained credibility after it announced a change in objective of price stability in january 1988 and in february 1991 the post 1988 spot and forward exchange rate actions are found to be conistent with the policy anticipation hypothesis suggesting that the bank did gain credibility whenever inflations is larger than anticipated the canadian dollar appreciates because markets expect the bank to counteract the inflaction shock an interesting result is that the announcement effect is found to by aymmetric

this is what happened to the oil price macroeconomy relationship abstract many of the quarterly oil price increases observed since 1985 are corrections to even bigger oil price decreases the previous quarter when one looks at the net increase in oil prices over the year recent data are consistent with the historical correlation between oil shocks and recessions

the policy anticipation hypothesis and the expected inflation hypothesis some new evidence using index linked bonds abstract using price index linked and conventional bonds issued by the uk government estimates of expected inflation and the expected real interest rate are derived these estimates are employed to investigate the relationship between components of the nominal interest rate and surprise monetary change the empirical results support the expected inflation hypothesis rather than the policy anticipation hypothesis

crude oil and stock markets stability instability and bubbles abstract we analyze the long run relationship between the world price of crude oil and international stock markets over 1971 1 2008 3 using a cointegrated vector error correction model with additional regressors allowing for endogenously identified breaks in the cointegrating and error correction matrices we find evidence for breaks after 1980 5 1988 1 and 1999 9 there is a clear long run relationship between these series for six oecd countries for 1971 1 1980 5 and 1988 2 1999 9 suggesting that stock market indices respond negatively to increases in the oil price in the long run during 1980 6 1988 1 we find relationships that are not statistically significantly different from either zero or from the relationships of the previous period the expected negative long run relationship appears to disintegrate after 1999 9 this finding supports a conjecture of change in the relationship between real oil price and real stock prices in the last decade compared to earlier years which may suggest the presence of several stock market bubbles and or oil price bubbles since the turn of the century

separating bric using islamic stocks and crude oil dynamic conditional correlation and volatility spillover analysis abstract this paper explores the dynamic conditional correlation and volatility linkage between islamic indexes and oil for bric countries correlations between these assets increase during the global financial crisis for india and china but not for brazil and russia the volatility error forecast variance of all five indexes comes from spillover but is much lower compared to volatility spillover between conventional indexes and oil hedging performance of islamic indexes are superior in india and china compared to conventional indexes in emerging markets an optimal minimum variance portfolio without reducing expected return can be achieved by investing in lower weights of bric islamic indexes and oil compared to conventional indexes

towards a loanable funds amended liquidity preference theory of the exchange rate and interest rate abstract the objective is to develop a unified theory of the exchange rate and interest rate using a loanable funds amended liquidity preference approach in order to provide a new perspective on many puzzling facts associated with the post bretton woods international economy it is shown that i a monetary expansion can initially raise the interest rate but depreciate the home currency ii real demand shocks can cause interest rate and exchange rate overshooting iii an infinite interest elasticity for capital flows cannot cause exchange rate overshooting if an extended marshall lerner condition holds iv the home currency can appreciate when the current account is negative if the extended marshall lerner condition is not satisfied and v changes in the disequilibrium regime will cause instability in the estimates of reduced form coefficients

german debt traded in london during the second world war a british perspective on hitler two series of german bonds issued in 1924 and 1930 traded on the london stock exchange throughout hitler s 1933 45 regime in germany we isolate both structural breaks and turning points in these bond series major turning points follow hider s reintroduction of conscription in 1935 the outbreak of war in 1939 and the d day invasion of june 1944 the german bonds sustained downward trend after 1935 suggests that bondholders recognized the risks posed by hitler s programme bond prices recovered during the war however and appear to have anticipated the overthrow of hitler and the postwar settlement of foreign bondholders claims german bonds even in peace time were distinctly dubious investments and the fact of war has entirely justified the distrust with which they have long been regarded

feeling the blues moral hazard and debt dilution in eurobonds before 1914 debt mutualisation through eurobonds has been proposed as a solution to the euro crisis although this proposal found some support it also attracted strong criticisms as it risks raising the spreads for strong countries diluting legacy debt and promoting moral hazard by weak countries because eurobonds are a new addition to the policy toolkit there are many untested hypotheses in the literature about the counterfactual behaviour of markets and sovereigns this paper offers some tests of the issues by drawing from the closest historical parallel five guaranteed bonds issued in europe between 1833 and 1913 the empirical evidence suggests that contemporary concerns about fiscal transfers and debt dilution may be overblown and creditors moral hazard may be as much of a problem as debtors

oil price shocks stock market economic activity and employment in greece abstract using a multivariate vector autoregression var approach this paper attempts to shed light into the dynamic relationship among oil prices real stock prices interest rates real economic activity and employment for greece the empirical evidence suggests that oil price changes affect real economic activity and employment oil prices are important in explaining stock price movements stock returns do not lead to changes in real activity and employment

the changing influence of money and monetary policy on exchange rates foreign exchange dealers said the american currency got an additional boost after the federal reserve reported that the nation s money supply rose 700 million in the latest week a development that is likely to put upward pressure on interest rates most economists had been expecting a decline in the money supply figures the wall street journal 25 january 1982 14 i introduction the importance of the linkage between money and asset prices such as interest rates and exchange rates is now well understood friedman 1990 12 writes given the familiar dependence of imports and exports on real exchange rates together with the dollar s evident relationship to interest rates the combination of a larger foreign sector in the u s economy and flexible exchange rates has clearly opened new avenues for monetary policy to affect economic activity however the precise nature of the relationship between money and exchange rates has long been a topic for research in international economics with the adoption of a system of floating exchange rates by most of the industrialized countries in march 1973 and the development of the rational expectations efficient markets hypotheses attempts to model observed fluctuations in exchange rates have focused on incorporating the important role of expectations of particular interest to the research in this paper is the dornbusch 1976 overshooting model which provided the structural foundation for the work of engel and frankel 1984 in the money announcements literature in the money announcements literature researchers employed unanticipated money announcements defined as the difference between announced and expected m1 to examine the linkage between money and asset prices as hakkio and pearce 1985 point out the research on foreign exchange rates in this laboratory was motivated by mussa s 1979 empirical findings in support of the efficient markets theory i e changes in exchange rates are unpredictable and are largely the result of the impact of new information on expectations in this literature researchers commonly regressed changes in the exchange rate on unanticipated money over sample periods which coincided with different policy regimes at the federal reserve to determine if the coefficient on unanticipated money say b sub 1 varied from one policy regime to another overall their findings uncover a significant link between unanticipated money and exchange rates and the size sign and significance of b sub 1 varies from one sample period to another 1 while suggestive the apparent link between changes in b sub 1 and changes in fed policy regimes is difficult to evaluate absent a model which formally incorporates such a link 2 thus my objective in this paper is to develop a basic theoretical empirical link between fluctuations in b sub 1 and changes in fed policy regimes i begin by extending the important work of engel and frankel 1984 in section ii to incorporate a policy feedback parameter g sub 1 in the money supply process which will represent the rational expectation of the type of monetary control regime in place at the federal reserve at the time of a money announcement it is shown that the magnitude of the response of exchange rates to an unanticipated announcement is mainly driven by agents expectations of the federal reserve s response to the deviation of the actual money supply from a pre specified target in section iii the time varying response of the dollar german mark exchange rate to weekly unanticipated money announcements b sub 1t and the time varying policy feedback parameter g sub 1t which reflects the adjustment of the federal funds rate to money away from target are estimated on a weekly basis using these estimates the variation of the coefficient b sub 1t vis a vis the changes in g sub 1t is examined over the january 1978 to december 1982 sample period the results provide considerable support for the hypothesized link between parameters b

do higher oil prices push the stock market into bear territory this paper investigates whether a higher oil price pushes the stock market into bear territory by using time varying transition probability markov switching models it examines different measures of oil price shocks empirical evidence from monthly returns on the standard poor s s p 500 price index suggests that an increase in oil prices leads to a higher probability of a bear market emerging

the effect of relative monetary surprises on spot exchange rates this paper examines the hypothetical relationship between us and canadian monetary surprises and the behaviour of us canadian spot exchange rates past studies have found that positive us monetary surprises were correlated with an appreciating us dollar in foreign exchange markets in this paper it is argued that monetary surprises in the us must be measured relative to foreign monetary innovation rather than in the conventional absolute sense when examining their impact on exchange markets rational investors consider expected returns and risk differentials in the us and local markets jointly in determining whether to be net buyers or sellers of us dollars the monetary actions of both the fed and the central bank operating in the local foreign economy will be considered in the foreign exchange market because of the close synchronization between the weekly money supply announcements in canada and the us it is possible to examine whether the relative or absolute us monetary surprise is more signifi

the effects of terrorism and war on the oil price stock index relationship abstract the effects war and terrorism have on the covariance between oil prices and the indices of four major stock markets the american s p500 the european dax cac40 and ftse100 using non linear bekk garch type models are investigated the findings indicate that the covariance between stock and oil returns is affected by war a tentative explanation is that the two wars examined here predispose investors and market agents for more profound and longer lasting effects on global markets on the other hand terrorist incidents that are one off unanticipated security shocks only the co movement between cac40 dax and oil returns is affected and no significant impact is observed in the relationship between the s p500 ftse100 and oil returns this difference in the reaction may tentatively be interpreted as indicating that the latter are more efficient in absorbing the impact of terrorist attacks

us money supply announcements and pacific rim stock markets evidence and implications this paper documents variation across pacific rim countries in the response of equity values to us m1 announcement suprises we relate the difference across countries to measures of capital mobility export trade with the usa foreign exchange and money market arrangements and correlation with the us stock market we find that the response to us m1 suprises is best explained by the country s degree of integration with international capital markets the flexibility of the exchange rate and interest rates may also be significant while the evidence is supportive of the anticipated fed reaction theory of the effect of money announcement suprises the differing response ro m1 shocks across fed policy regimes remains unexplained

trade deficit announcements intervention and the dollar abstract the effect of u s trade deficit announcements on the dollar exchange rate from 1980 1988 is examined the announcement is found to affect the dollar only after mid 1984 central bank intervention does not appear to have had a consistent impact on the dollar on the day of the announcement

effects of us interest rates and news on the daily interest rates of a highly indebted emerging economy evidence from turkey it has been widely demonstrated that asset prices react sensitively to macroeconomic news releases both in the industrialized countries and emerging markets however there are contradicting results on the effects of changes in interest rates of industrialized countries on asset prices of emerging markets in heavily indebted economies in addition to these factors political news and announcements from international institutions that may increase or decrease concerns about debt sustainability can affect asset prices as well this potential notwithstanding there has been relatively limited empirical work on the effects of such variables the objective of this study is to quantify the impact of all of these factors on interest rates of a highly indebted emerging economy using daily post crisis data of the turkish economy we show that both good and bad political news international monetary fund announcements and european union related news significantly affected secondary market government securities yi

asset market perspectives on the israeli palestinian conflict this paper locates turning points in the israeli palestinian conflict since the late 1980s using asset market data from israel and the palestinian authority pa we find that major escalations in violence such as the outbreak of the intifada in 2000 lead to significant declines in asset prices in both israel and the pa conversely major peace initiatives such as the oslo accords in 1993 and the road map plan in 2003 lead to substantial increases in asset prices on both sides of the conflict an additional novel finding is that asset markets respond positively to the success of politicians who favour a negotiated settlement to the conflict

crude oil shocks and stock markets a panel threshold cointegration approach abstract this paper proposes a panel threshold cointegration approach to investigate the relationship between crude oil shocks and stock markets for the oecd and non oecd panel from january 1995 to december 2009 nonlinear cointegration is confirmed for the oil stock nexus in the panel because threshold cointegration is found the threshold vector error correction models can be run to investigate the presence of asymmetric dynamic adjustment the granger causality tests demonstrate the existence of bidirectional long run granger causality between crude oil shocks and stock markets for these oecd and non oecd countries however the short run granger causality between them is bidirectional under positive changes in the deviation and unidirectional under negative ones moreover the speed of adjustment toward equilibrium is faster under negative changes in the deviation than that under positive ones in these oecd and non oecd countries

sovereign risk and secondary markets conventional wisdom says that in the absence of default penalties sovereign risk destroys all foreign asset trade we show that this conventional wisdom rests on one implicit assumption that assets cannot be retraded in secondary markets without this assumption foreign asset trade is possible even in the absence of default penalties this result suggests a broader perspective regarding the origins of sovereign risk and its remedies sovereign risk affects foreign asset trade only if default penalties are insufficient and secondary markets work imperfectly to reduce its effects one can either increase default penalties or improve the working of secondary markets jel f34 g12 g15

the structure of expectations of the weekly money supply announcement abstract this paper examines the structure of expectations of the weekly money supply announcement in the late 1970s the data used are from a weekly telephone survey of money market participants the rationality and structure of expectations are explored with the data organized in three ways the mean response to each weekly survey the pooled sample of individual responses and time series of responses by each individual in the survey the effect of data aggregation on rationality tests is investigated the structure of the expectations data are also examined and it is found that both strong regressive influences and adaptive learning characterize the data

wars and markets how bond values reflect the second world war historical events are reflected in asset prices based on a unique data set we analyse government bond prices of germany and austria traded on the swiss bourse during the second world war some war events generally considered crucial are clearly reflected in government bond prices this holds in particular for the official outbreak of the war and the loss and gain of national sovereignty other events to which historians attach great importance are not reflected in bond prices most prominently germany s capitulation in 1945 the analysis of financial markets provides a fruitful method for evaluating the importance contemporaries attached to historical events

discount rate changes and the foreign exchange market abstract changes in the discount rate can have associated announcement effects on the foreign exchange value of the dollar only if these changes are not anticipated by the market this paper provides evidence to support this contention specifically discount rate changes made for reasons other than technical adjustments have not been anticipated fully and consequently their announcements have had a significant impact on the dollar s exchange rate furthermore results are obtained that support the hypothesis that unanticipated discount rate changes alter inflationary expectations

turning points in the civil war views from the greenback market in early 1862 the united states government began issuing greenbacks a legal tender currency that was not convertible into gold the government promised to redeem the greenbacks in gold eventually but speculators understood that the probability of redemption depended on union army military fortunes and political developments that affected the total cost of the war to serve the speculative interest in gold a market emerged for the purpose of trading greenbacks for gold dollars because the market price of a greenback reflected the public s perceptions of future war costs the movement of these prices provides unique insights into how people at the time perceived various events we use daily quotations of the gold price of greenbacks to identify a set of dates during the civil war that market participants regarded as turning points in some cases these dates coincide with events familiar from conventional historical accounts of the war in other instances however market participants reacted strongly to events that historians have not viewed as very significant this abstract was borrowed from another version of this item

the information content of weekly money supply announcements this paper analyzes the information content of weekly money supply announcements and the use of this information in the market determination of interest rates a short term rational expectations model of the financial market is constructed which incorporates the reaction of the federal reserve to deviations from target money supply and provides a context for analyzing the impact of announcements in the model the federal reserve attempts to maintain target growth rates in the money supply by compensating for past deviations from target announcements which contain an unanticipated movement in the money supply lead the public to expect that the federal reserve will change the rate of growth in the short run to compensate the revision of expectations about future short term money supply leads the public to revise their expectations about short term interest rates the implications of the model are empirically tested using data from a survey of expected changes in the money supply and u s treasury bill data the results support the implications of the model that is weekly money supply announcements do contain new information for the market determination of interest rates and it is only the unanticipated component of the announcement which is important

bilateral exchange rates and risk premia abstract the paper develops a theoretical model of the risk premium in a bilateral exchange rate representative agents in both countries are assumed to hold open positions in foreign exchange together with risky assets denominated in their own currencies also past surpluses in the current account of the balance of payments lead to net foreign asset positions which may partially be covered in the forward markets our two period mean variance model for optimizing investors is combined with standard assumption about the behavior of real exchange rates to give a reduced form equation for the discrepancies between spot rates and lagged forward rates the model is tested for the dollar dm dollar sterling and dollar yen exchange rates using monthly data for the period 1976 86 the null hypothesis of no risk premium is rejected for each of the currencies reported

the effect of u s money supply announcements on canadian stock bond and currency prices this paper documents associations between weekly u s money supply releases and four price series from canada s financial markets two significant results emerge first the toronto stock index government of canada bond prices and canadian short term interest rates change with surprises in the announced level of u s m1 since the u s began targeting money growth in october 1979 these effects do not appear to be transmitted through canadian monetary variables second the canada u s exchange rate is uncorrelated with u s m1 surprises this suggests that the bank of canada prefers to stabilize the exchange rate rather than the interest rate

do structural oil market shocks affect stock prices abstract this paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock market returns in a sample of eight countries australia canada france germany italy japan the united kingdom and the united states for each country the analysis proceeds in two steps first modifying the procedure of kilian kilian l forthcoming not all oil price shocks are alike disentangling demand and supply shocks in the crude oil market american economic review we employ a vector error correction or vector autoregressive model to decompose oil price changes into three components oil supply shocks global aggregate demand shocks and global oil demand shocks the last component relates to specific idiosyncratic features of the oil market such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies second recovering the oil supply shocks global aggregate demand shocks and global oil demand shocks from the first analysis we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries we find that international stock market returns do not respond in a large way to oil market shocks that is the significant effects that exist prove small in magnitude

oil and the macroeconomy when prices go up and down an extension of hamilton s results in an important paper hamilton 1983 demonstrated a strong correlation between oil price changes and gross national product growth in u s data however his study pertained to a period in which all the large oil price movements were upward and thus it left unanswered the question whether the correlation persists in periods of price decline moreover the price variable he used was somewhat distorted by price controls in the 1970s this note investigates whether hamilton s results continue to hold when the sample is extended to include the recent oil market collapse and the oil price variable is corrected for the effects of price controls particular attention is given to the possibility of asymmetric responses to oil price increases and decreases as suggested in the structural employment literature loungani 1986 davis 1987 hamilton 1988 like hamilton i based my investigation on the gnp equation in sims s 1 980b six variable quarterly vector autoregressive model

market reactions to u s weekly money supply announcements after the introduction of contemporaneous reserve requirements an empirical note abstract movements across the nominal term structure of u s interest rates have continued to be positively correlated with weekly money surprises post crr bond and foreign exchange market evidence suggests that these may no longer be movements in the real term structure