Monetary policy shocks and the high-frequency network connectedness of stock markets

被引:0
|
作者
Anghel, Dan Gabriel [1 ,2 ]
Caraiani, Petre [2 ,3 ]
机构
[1] Bucharest Univ Econ Studies, Fac Finance & Banking, Bucharest, Romania
[2] Romanian Acad, Inst Econ Forecasting, Bucharest, Romania
[3] Bucharest Univ Econ Studies, Fac Business Adm Foreign Languages, Bucharest, Romania
关键词
Monetary policy shocks; Financial markets; Financial networks; Event studies; RISK;
D O I
10.1016/j.iref.2024.103558
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We study the high-frequency impact of monetary policy decisions on the structure of financial market networks, using 1-second return data for 10 industry-level equity indices in the United States. We find that FOMC meetings and policy surprises have a significant influence on network connectedness in returns, volatility, skewness, and kurtosis. The information related to policy decisions instantly shocks and is quickly dissipated throughout the financial network. Network connectedness shocks are positively impacted by the magnitude of interest rate surprises, with asymmetric effects by sign and nonlinear effects being weak. Our results have implications for monetary policy, systemic risk, and asset pricing.
引用
收藏
页数:18
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