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The effects of monetary policy changes on market interest rates in Greece: An event study approach
16 references·2 citing·34 second hop
The effects of monetary policy changes on market interest rates in Greece: An event study approach (2004)The effects of monetary policy changes on…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Markets (2006)Monetary Policy Surprises and…Monetary Policy Operating Procedures in Industrial Countries (2005)Monetary Policy Operating Pro…Monetary policy surprises and interest rates: Evidence from the Fed funds futures market (2001)Monetary policy surprises and…Tests of the Market's Reaction to Federal Funds Rate Target Changes (1998)Tests of the Market's Reactio…Anticipation and Surprises in Central Bank Interest Rate Policy: The Case of the Bundesbank (1998)Anticipation and Surprises in…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Event Studies in Economics and Finance (1997)Event Studies in Economics an…Monetary Policy Actions and Long-Term Interest Rates (1995)Monetary Policy Actions and L…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Event-study methodology under conditions of event-induced variance (1991)Event-study methodology under…The effect of changes in the federal funds rate target on market interest rates in the 1970s (1989)The effect of changes in the …The Information Content of Discount Rate Announcements and Their Effect on Market Interest Rates (1988)The Information Content of Di…Using daily stock returns (1985)Using daily stock returnsMeasuring security price performance (1980)Measuring security price perf…Monetary policy surprises and interest rates under China's evolving monetary policy framework (2022)Monetary policy surprises and…The Impact of COVID-19 on the Chinese Stock Market: An Event Study Based on the Consumer Industry (2020)The Impact of COVID-19 on the…The Event Study Methodology Since 1969 (1998)The Adjustment of Stock Prices to New Information (2003)Event Study Testing with Cross-sectional Correlation of Abnormal Returns (2010)Testing Asymmetric-Information Asset Pricing Models (2012)Do Measures of Monetary Policy in a VAR Make Sense (1998)Pre-announcement effects, news effects, and volatility: Monetary policy and the stock market (2002)Taking Stock: Monetary Policy Transmission to Equity Markets (2004)Investor sentiment and the stock market’s reaction to monetary policy (2009)An Empirical Evaluation of Accounting Income Numbers (1968)The Adjustment of Stock Prices to New Information (1969)Risk, Return, and Equilibrium: Empirical Tests (1973)Introductory Econometrics for Finance (2008)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The arbitrage theory of capital asset pricing (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices (2000)Capital markets research in accounting (2001)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Some Lessons from the Yield Curve (1995)Macroeconomic news and bond market volatility1We thank Walter Toshi Baily, Bob Korajczyk, Jim Poterba, Mark Watson, seminar participants at the University of Chicago, Columbia University, Cornell University, and the University of Montreal, and especially Ludger Hentschel (the referee) for helpful comments. We also thank Mark Mitchell for supplying data, and Amy C. Ko and Sydney Ludvigson for research assistance. Lamont was supported by the FMC Faculty Research Fund at the Graduate School of Business, University of Chicago. A portion of this research was completed while Lumsdaine was a National Fellow at the Hoover Institution. We also thank the Financial Research Center at Princeton University for support. A previous version of this paper circulated as `Public Information and the Persistence of Bond Market Volatility'.1 (1998)Interest-rate smoothing and optimal monetary policy: a review of recent empirical evidence (2000)On Stock Market Returns and Monetary Policy (1997)The Pre-FOMC Announcement Drift (2012)Financial Heterogeneity and the Investment Channel of Monetary Policy (2020)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)High Frequency Identification of Monetary Non-Neutrality: The Information Effect (2013)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)
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73 cited
  • 1998Anticipation and Surprises in Central Bank Interest Rate Policy: The Case of the Bundesbank37 cited
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    • 2020The Impact of COVID-19 on the Chinese Stock Market: An Event Study Based on the Consumer Industry62 cited
    • 2022Monetary policy surprises and interest rates under China's evolving monetary policy framework12 cited