The benefits of using large high frequency financial datasets for empirical analyses: Two applied cases
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Authors
Ferrari, Massimo
Author (Corporation)
Publication date
03/2017
Typ of student thesis
Course of study
Collections
Type
04B - Conference paper
Editors
Tissot, Bruno
Editor (Corporation)
Supervisor
Parent work
Statistical implications of the new financial landscape : Proceedings of the Eighth IFC Conference, Basel, 8–9 September 2016
Special issue
DOI of the original publication
Series
IFC Bulletin
Series number
43
Volume
Issue / Number
Pages / Duration
753-774
Patent number
Publisher / Publishing institution
Bank for International Settlements
Place of publication / Event location
Basel
Edition
Version
Programming language
Assignee
Practice partner / Client
Abstract
How do markets evaluate monetary policy announcements and how large are the shocks they convey? These are central questions for policy makers if they are interested in evaluating their decisions and quantitatively assess the outcomes of different and
possibly alternative policies. As we know, if markets were completely efficient and monetary policy was perfectly
communicated by central banks, market agents should have already priced in the decision of the monetary authority at the time of the announcement. On the contrary, if the central banks are able to surprise the market, they might be able to generate real
effects after their policies. We present a methodology to identify monetary policy shocks using high frequency financial data. When the precise moment of a shock is known, high frequency data allow us to pinpoint the exact moment of the event and, therefore, to correctly identify the reaction of market participants.
Keywords
monetary policy, intraday, high frequency
Subject (DDC)
Event
Exhibition start date
Exhibition end date
Conference start date
08.09.2016
Conference end date
09.09.2016
Date of the last check
ISBN
978-92-9259-032-1
ISSN
1991-7511
Language
English
Created during FHNW affiliation
Yes
Strategic action fields FHNW
Publication status
Published
Review
Peer review of the complete publication
Open access category
License
Citation
TERS, Kristyna und Massimo FERRARI, 2017. The benefits of using large high frequency financial datasets for empirical analyses: Two applied cases. In: Bruno TISSOT (Hrsg.), Statistical implications of the new financial landscape : Proceedings of the Eighth IFC Conference, Basel, 8–9 September 2016. Basel: Bank for International Settlements. März 2017. S. 753–774. IFC Bulletin, 43. ISBN 978-92-9259-032-1. Verfügbar unter: http://hdl.handle.net/11654/24900