Money Supply Announcements and the Ex Ante Volatility of Asset Prices

Warren B. Bailey

46 citations0/0 files storedJournal of money credit and banking

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

Previous empirical studies have documented more volatile money grow th and money surprises, more volatile asset price changes, and increased responsiveness of asset prices to money surprises since the October 1 979 change in Fed policy. This paper studies the associations between money announcements and the ex ante volatility of asset prices in th e recent past. Results indicate that revisions of ex ante asset price volatility, as measured from prices of stock index, government debt, gold, and foreign currency options, are significantly correlated with the surprise component of the weekly M1 release. There is also evidence that money releases reduce volatility by resolving uncertainty. Copyright 1988 by Ohio State University Press.

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References

2005Theory of rational option pricing 1977Asset returns and inflation 1979Anticipated information releases reflected in call option prices 1985Valuation by Approximation: A Comparison of Alternative Option Valuation Techniques 1976A Note on the Relation between the Rate and Variability of Inflation 1984Market perceptions of federal reserve policy and the weekly monetary announcements 1982The Response of Short-Term Interest Rates to Weekly Money Announcements 1986Valuation of Foreign Currency Options: Some Empirical Tests

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1991The Stochastic behaviour of Market Variance Implied in the Prices of Index Options 2001Evolution of market uncertainty around earnings announcements 2019The impacts of public news announcements on intraday implied volatility dynamics 2012Impact of news announcements on the foreign exchange implied volatility 2017Conditional volatility nexus between stock markets and macroeconomic variables 2005

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