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Georg Strasser

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Alexander Kurov & Alessio Sancetta & Georg H. Strasser & Marketa Halova Wolfe, 2015. "Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?," Boston College Working Papers in Economics 881, Boston College Department of Economics, revised 29 Jul 2015.

    Mentioned in:

    1. Trading on Leaked Macroeconomic Data
      by noreply@blogger.com (Carola) in Quantitative Ease on 2015-07-08 22:14:00
    2. 'Trading on Leaked Macroeconomic Data'
      by Mark Thoma in Economist's View on 2015-07-08 15:39:09

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Ehrmann, Michael & Gaballo, Gaetano & Hoffmann, Peter & Strasser, Georg, 2019. "How to signal the future path of interest rates? The international evidence on forward guidance," Research Bulletin, European Central Bank, vol. 61.

    Mentioned in:

    1. > Macroeconomics > Monetary Theory

Working papers

  1. Strasser, Georg & Wieland, Elisabeth & Macias, Paweł & Błażejowska, Aneta & Szafranek, Karol & Wittekopf, David & Franke, Jörn & Henkel, Lukas & Osbat, Chiara, 2023. "E-commerce and price setting: evidence from Europe," Occasional Paper Series 320, European Central Bank.

    Cited by:

  2. Strasser, Georg & Messner, Teresa & Rumler, Fabio & Ampudia, Miguel, 2023. "Inflation heterogeneity at the household level," Occasional Paper Series 325, European Central Bank.

    Cited by:

    1. Ampudia, Miguel & Ehrmann, Michael & Strasser, Georg, 2023. "The effect of monetary policy on inflation heterogeneity along the income distribution," CEPR Discussion Papers 18460, C.E.P.R. Discussion Papers.

  3. Miguel Ampudia & Michael Ehrmann & Georg Strasser, 2023. "The effect of monetary policy on inflation heterogeneity along the income distribution," BIS Working Papers 1124, Bank for International Settlements.

    Cited by:

    1. Kiss, Regina & Strasser, Georg, 2024. "Inflation heterogeneity across households," Working Paper Series 2898, European Central Bank.

  4. Messner, Teresa & Rumler, Fabio & Strasser, Georg, 2022. "Cross-country price and inflation dispersion: Retail network or national border," Single Market Economics Papers WP2022/11, Directorate-General for Internal Market, Industry, Entrepreneurship and SMEs (European Commission), Chief Economist Team.

    Cited by:

    1. Friberg, Richard & Steen, Frode & Ulsaker, Simen Aardal, 2024. "Cross-border shopping of alcohol – What is the effect on tax revenue and sales and which products are most affected?," Discussion Paper Series in Economics 12/2024, Norwegian School of Economics, Department of Economics.
    2. Beck, Günter W. & Carstensen, Kai & Menz, Jan-Oliver & Schnorrenberger, Richard & Wieland, Elisabeth, 2024. "Nowcasting consumer price inflation using high-frequency scanner data: evidence from Germany," Working Paper Series 2930, European Central Bank.

  5. Nickel, Christiane & Fröhling, Annette & Álvarez, Luis J. & Willeke, Caroline & Zevi, Giordano & Osbat, Chiara & Ganoulis, Ioannis & Koester, Gerrit & Lis, Eliza & Peronaci, Romana & Hahn, Elke & Beka, 2021. "Inflation measurement and its assessment in the ECB’s monetary policy strategy review," Occasional Paper Series 265, European Central Bank.

    Cited by:

    1. Bobeica Elena & Holton Sarah & Koester Gerrit, 2023. "Bringing Inflation Back Under Control," Intereconomics: Review of European Economic Policy, Sciendo, vol. 58(3), pages 136-141, June.
    2. Joris Wauters & Zivile Zekaite & Garo Garabedian, 2024. "Owner-occupied housing costs, policy communication, and inflation expectations," French Stata Users' Group Meetings 2024 11, Stata Users Group.
    3. Carlomagno, Guillermo & Fornero, Jorge & Sansone, Andrés, 2023. "A proposal for constructing and evaluating core inflation measures," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(3).
    4. Blasius, Amelie, 2023. "Digitalisierung in der Preisstatistik - Nutzung von Reisebuchungsdaten," WISTA – Wirtschaft und Statistik, Statistisches Bundesamt (Destatis), Wiesbaden, vol. 75(4), pages 34-46.

  6. Ca' Zorzi, Michele & Dedola, Luca & Georgiadis, Georgios & Jarociński, Marek & Stracca, Livio & Strasser, Georg, 2020. "Monetary policy and its transmission in a globalised world," Working Paper Series 2407, European Central Bank.

    Cited by:

    1. Santiago Camara, 2023. "International Spillovers of ECB Interest Rates: Monetary Policy & Information Effects," Papers 2306.04562, arXiv.org.
    2. Davide Brignone & Alessandro Franconi & Marco Mazzali, 2023. "Robust Impulse Responses using External Instruments: the Role of Information," Papers 2307.06145, arXiv.org.
    3. Silvia Miranda-Agrippino & Tsvetelina Nenova, 2021. "A Tale of Two Global Monetary Policies," NBER Chapters, in: NBER International Seminar on Macroeconomics 2021, National Bureau of Economic Research, Inc.
    4. Mirco Rubin & Dario Ruzzi, 2020. "Equity tail risk in the treasury bond market," Temi di discussione (Economic working papers) 1311, Bank of Italy, Economic Research and International Relations Area.
    5. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2022. "Financial spillovers, spillbacks, and the scope for international macroprudential policy coordination," International Economics and Economic Policy, Springer, vol. 19(1), pages 79-127, February.
    6. Bekaert, Geert & Hoerova, Marie & Xu, Nancy R., 2023. "Risk, monetary policy and asset prices in a global world," Working Paper Series 2879, European Central Bank.
    7. Ca' Zorzi, Michele & Dedola, Luca & Georgiadis, Georgios & Jarociński, Marek & Stracca, Livio & Strasser, Georg, 2021. "Making waves – Fed spillovers are stronger and more encompassing than the ECB’s," Research Bulletin, European Central Bank, vol. 83.
    8. Marcin Pietrzak, 2023. "What can monetary policy tell us about Bitcoin?," Annals of Finance, Springer, vol. 19(4), pages 545-559, December.
    9. Lodge, David & Pérez, Javier J. & Albrizio, Silvia & Everett, Mary & De Bandt, Olivier & Georgiadis, Georgios & Ca' Zorzi, Michele & Lastauskas, Povilas & Carluccio, Juan & Parrága, Susana & Carvalho,, 2021. "The implications of globalisation for the ECB monetary policy strategy," Occasional Paper Series 263, European Central Bank.
    10. Pierre-Richard Agénor & Timothy P. Jackson & Luiz Pereira da Silva, 2020. "Cross-Border Regulatory Spillovers and Macroprudential Policy Coordination," Working Papers 202028, University of Liverpool, Department of Economics.
    11. Magdalena Grothe, 2023. "Monetary Policy Spillovers to Polish Financial Markets," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 2, pages 1-10.
    12. Jarociński, Marek, 2022. "Central bank information effects and transatlantic spillovers," Journal of International Economics, Elsevier, vol. 139(C).
    13. Luigi Bonatti & Andrea Fracasso & Roberto Tamborini, 2021. "Monetary and Fiscal Spillovers Across the Atlantic: The Role of Financial Markets," DEM Working Papers 2021/09, Department of Economics and Management.
    14. Peist, Moritz Manuel, 2023. "Original sin and the CFA Franc: A case study of the West African Economic and Monetary Union," IPE Working Papers 210/2023, Berlin School of Economics and Law, Institute for International Political Economy (IPE).
    15. Dobronravova, E. & Trunin, P., 2024. "International monetary policy transmission in EAEU countries," Journal of the New Economic Association, New Economic Association, vol. 62(1), pages 219-228.
    16. Felipe Beltrán, 2023. "Global monetary policy surprises and their transmission to emerging market economies: an external VAR analysis," Working Papers Central Bank of Chile 975, Central Bank of Chile.
    17. Inoue, Tomoo & Okimoto, Tatsuyoshi, 2022. "International spillover effects of unconventional monetary policies of major central banks," International Review of Financial Analysis, Elsevier, vol. 79(C).
    18. Dedola, Luca & Georgiadis, Georgios & Gräb, Johannes & Mehl, Arnaud, 2020. "Does a big bazooka matter? Quantitative easing policies and exchange rates," Research Bulletin, European Central Bank, vol. 76.
    19. Zhang, Wen, 2022. "China’s government spending and global inflation dynamics: The role of the oil price channel," Energy Economics, Elsevier, vol. 110(C).
    20. Brandt, Lennart & Saint Guilhem, Arthur & Schröder, Maximilian & Van Robays, Ine, 2021. "What drives euro area financial market developments? The role of US spillovers and global risk," Working Paper Series 2560, European Central Bank.
    21. Lastauskas, Povilas & Nguyen, Anh Dinh Minh, 2024. "Spillover effects of US monetary policy on emerging markets amidst uncertainty," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 92(C).
    22. Saba Ndayezhin Danladi, 2022. "Spillover Effects of US Monetary Policy and Macreconomic Conditions in Nigeria: Evidence from Time-Varying Parameter Structural Vector Autoregression (TVP-SVAR)," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(2), pages 101-120.
    23. Stefan Avdjiev & Stephan Binder & Ricardo Sousa, 2018. "External debt composition and domestic credit cycles," Working Papers 28, European Stability Mechanism.
    24. Santiago Camara & Maximo Sangiacomo, 2022. "Borrowing Constraints in Emerging Markets," Papers 2211.10864, arXiv.org.

  7. Gaballo, Gaetano & Ehrmann, Michael & Hoffmann, Peter & Strasser, Georg, 2019. "Can more public information raise uncertainty? The international evidence on forward guidance," CEPR Discussion Papers 13977, C.E.P.R. Discussion Papers.

    Cited by:

    1. Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2021. "The Voice of Monetary Policy," Discussion Papers 21-02, Department of Economics, University of Birmingham.
    2. Tillmann, Peter, 2021. "Financial markets and dissent in the ECB’s Governing Council," European Economic Review, Elsevier, vol. 139(C).
    3. Yoshito Funashima, 2022. "Economic policy uncertainty and unconventional monetary policy," Manchester School, University of Manchester, vol. 90(3), pages 278-292, June.
    4. Boris Hofmann & Dora Xia, 2022. "Quantitative forward guidance through interest rate projections," BIS Working Papers 1009, Bank for International Settlements.
    5. Donato Masciandaro & Oana Peia & Davide Romelli, 2022. "Central Bank Communication and Social Media: From Silence to Twitter," BAFFI CAREFIN Working Papers 22187, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    6. Petr Jakubik, 2020. "The impact of EIOPA statement on insurers dividends: evidence from equity market," EIOPA Financial Stability Report - Thematic Articles 18, EIOPA, Risks and Financial Stability Department.
    7. Daniel Levy & Tamir Mayer & Alon Raviv, 2022. "Economists in the 2008 Financial Crisis: Slow to See, Fast to Act," Working Paper series 22-04, Rimini Centre for Economic Analysis.
    8. Cecchetti, Stephen & Schoenholtz, Kermit L., 2019. "Improving U.S. Monetary Policy Communications," CEPR Discussion Papers 13915, C.E.P.R. Discussion Papers.
    9. Oleksiy Kryvtsov & Luba Petersen, 2019. "Central Bank Communication That Works: Lessons from Lab Experiments," Staff Working Papers 19-21, Bank of Canada.
    10. Philippe Andrade & Filippo Ferroni, 2018. "Delphic and Odyssean Monetary Policy Shocks: Evidence from the Euro Area," Working Paper Series WP-2018-12, Federal Reserve Bank of Chicago.
    11. Maximilian Böck & Martin Feldkircher & Pierre L. Siklos, 2021. "International Effects of Euro Area Forward Guidance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(5), pages 1066-1110, October.
    12. Cour-Thimann, Philippine & Jung, Alexander, 2020. "Interest rate setting and communication at the ECB," Working Paper Series 2443, European Central Bank.
    13. Christopher S Sutherland, 2022. "Forward guidance and expectation formation: A narrative approach," BIS Working Papers 1024, Bank for International Settlements.
    14. Daniel Levy & Tamir Mayer & Alon Raviv, 2020. "Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers," Working Paper series 20-05, Rimini Centre for Economic Analysis.
    15. Michael Ehrmann & Sarah Holton & Danielle Kedan & Gillian Phelan, 2024. "Monetary Policy Communication: Perspectives from Former Policymakers at the ECB," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(4), pages 837-864, June.
    16. Julián Caballero & Blaise Gadanecz, 2023. "Did interest rate guidance in emerging markets work?," BIS Working Papers 1080, Bank for International Settlements.
    17. Dimitris Papageorgiou, 2021. "Macroeconomic effects of shocks to import and services sector prices," Economic Bulletin, Bank of Greece, issue 54, pages 7-21, December.
    18. Haderer, Michaela, 2022. "An Estimated DSGE Model of the Euro Area with Expectations about the Timing and Nature of Liftoff from the Lower Bound," Working Papers 2022-05, University of Sydney, School of Economics.
    19. Andrea Civelli & Cary Deck & Antonella Tutino, 2020. "Rationally Inattentive savers and Monetary Policy Changes: A Laboratory Experiment," Working Papers 20-02, Chapman University, Economic Science Institute.
    20. de Haan, Jakob & Hoogduin, Lex, 2024. "ECB communication policies: An overview and comparison with the Federal Reserve," Journal of International Money and Finance, Elsevier, vol. 142(C).
    21. Lin, Jianhao & Mei, Ziwei & Chen, Liangyuan & Zhu, Chuanqi, 2023. "Is the People's Bank of China consistent in words and deeds?," China Economic Review, Elsevier, vol. 78(C).
    22. Jung, Alexander & Kühl, Patrick, 2021. "Can central bank communication help to stabilise inflation expectations?," Working Paper Series 2547, European Central Bank.
    23. Baranowski, Paweł & Doryń, Wirginia & Łyziak, Tomasz & Stanisławska, Ewa, 2021. "Words and deeds in managing expectations: Empirical evidence from an inflation targeting economy," Economic Modelling, Elsevier, vol. 95(C), pages 49-67.
    24. Carlos Cañon & Eddie Gerba & Alberto Pambira & Evarist Stoja, 2023. "An Unconventional FX Tail Risk Story," CESifo Working Paper Series 10629, CESifo.
    25. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
    26. Goodhead, Robert, 2024. "The economic impact of yield curve compression: Evidence from euro area forward guidance and unconventional monetary policy," European Economic Review, Elsevier, vol. 164(C).
    27. Jeffrey R. Campbell & Thomas B. King & Anna Orlik & Rebecca Zarutskie, 2020. "Issues Regarding the Use of the Policy Rate Tool," Finance and Economics Discussion Series 2020-070, Board of Governors of the Federal Reserve System (U.S.).
    28. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
    29. Coenen, Günter & Montes-Galdón, Carlos & Saint Guilhem, Arthur & Hutchinson, John & Motto, Roberto, 2022. "Rate forward guidance in an environment of large central bank balance sheets: a Eurosystem stock-taking assessment," Occasional Paper Series 290, European Central Bank.
    30. Cecion, Martina & Coenen, Günter & Gerke, Rafael & Le Bihan, Hervé & Motto, Roberto & Aguilar, Pablo & Ajevskis, Viktors & Giesen, Sebastian & Albertazzi, Ugo & Gilbert, Niels & Al-Haschimi, Alexander, 2021. "The ECB’s price stability framework: past experience, and current and future challenges," Occasional Paper Series 269, European Central Bank.
    31. Peter Tillmann, 2020. "Financial Markets and Dissent in the ECB’s Governing Council," MAGKS Papers on Economics 202048, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    32. Cañon, Carlos & Gerba, Eddie & Pambira, Alberto & Stoja, Evarist, 2024. "An unconventional FX tail risk story," LSE Research Online Documents on Economics 125291, London School of Economics and Political Science, LSE Library.
    33. Christopher S. Sutherland, 2023. "Forward guidance and expectation formation: A narrative approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 222-241, March.
    34. Assenmacher, Katrin & Glöckler, Gabriel & Holton, Sarah & Trautmann, Peter & Ioannou, Demosthenes & Mee, Simon & Alonso, Conception & Argiri, Eleni & Arigoni, Filippo & Bakk-Simon, Klára & Bergbauer, , 2021. "Clear, consistent and engaging: ECB monetary policy communication in a changing world," Occasional Paper Series 274, European Central Bank.
    35. Airaudo, Marco, 2020. "Temptation and forward-guidance," Journal of Economic Theory, Elsevier, vol. 186(C).
    36. Ioanna Bardaka & Athina Rentifi, 2021. "The importance of selected structural competitiveness indicators for exports: a comparative analysis between the euro area and Greece," Economic Bulletin, Bank of Greece, issue 54, pages 59-78, December.
    37. Christopher S. Sutherland, 2020. "Forward Guidance and Expectation Formation: A Narrative Approach," Staff Working Papers 20-40, Bank of Canada.
    38. Cour-Thimann, Philippine & Jung, Alexander, 2021. "Interest-rate setting and communication at the ECB in its first twenty years," European Journal of Political Economy, Elsevier, vol. 70(C).
    39. Jung, Alexander, 2023. "Are monetary policy shocks causal to bank health? Evidence from the euro area," Journal of Macroeconomics, Elsevier, vol. 75(C).
    40. Eleni Argiri & Ifigeneia Skotida, 2021. "The 2021 review of the monetary policy strategy of the Eurosystem: an economy of forces," Economic Bulletin, Bank of Greece, issue 54, pages 23-57, December.
    41. Hie Joo Ahn & Leland E. Farmer, 2024. "Disagreement About the Term Structure of Inflation Expectations," Finance and Economics Discussion Series 2024-084, Board of Governors of the Federal Reserve System (U.S.).

  8. Coenen, Günter & Ehrmann, Michael & Gaballo, Gaetano & Hoffmann, Peter & Nakov, Anton & Nardelli, Stefano & Persson, Eric & Strasser, Georg, 2017. "Communication of monetary policy in unconventional times," Working Paper Series 2080, European Central Bank.

    Cited by:

    1. Yuriy Gorodnichenko & Tho Pham & Oleksandr Talavera, 2021. "The Voice of Monetary Policy," Discussion Papers 21-02, Department of Economics, University of Birmingham.
    2. Marc Anderes & Alexander Rathke & Sina Streicher & Jan-Egbert Sturm, 2021. "The role of ECB communication in guiding markets," Public Choice, Springer, vol. 186(3), pages 351-383, March.
    3. Alan S. Blinder & Michael Ehrmann & Jakob de Haan & David-Jan Jansen, 2024. "Central Bank Communication with the General Public: Promise or False Hope?," Journal of Economic Literature, American Economic Association, vol. 62(2), pages 425-457, June.
    4. Pierre Jaillet & Benoît Mojon, 2018. "Les politiques d’objectifs des banques centrales en perspective," Revue française d'économie, Presses de Sciences-Po, vol. 0(3), pages 21-61.
    5. Markus Heckel & Kiyohiko G. Nishimura, 2022. "Unconventional Monetary Policy through Open Market Operations: A Principal Component Analysis," Asian Economic Papers, MIT Press, vol. 21(1), pages 1-28, Winter/Sp.
    6. Tillmann, Peter, 2021. "Financial markets and dissent in the ECB’s Governing Council," European Economic Review, Elsevier, vol. 139(C).
    7. Philipp Hartman & Frank Smets, 2018. "The European Central Bank’s Monetary Policy during Its First 20 Years," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 49(2 (Fall)), pages 1-146.
    8. Jonne Lehtimäki & Marianne Palmu, 2022. "Who Should You Listen to in a Crisis? Differences in Communication of Central Bank Policymakers," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 11(3), pages 33-57.
    9. Ko, Eunmi, 2024. "An affine term structure model with Fed chairs’ speeches," Finance Research Letters, Elsevier, vol. 63(C).
    10. Philippe Andrade & Gaetano Gaballo & Eric Mengus & Benoît Mojon, 2019. "Forward Guidance and Heterogeneous Beliefs," American Economic Journal: Macroeconomics, American Economic Association, vol. 11(3), pages 1-29, July.
    11. Donato Masciandaro & Oana Peia & Davide Romelli, 2022. "Central Bank Communication and Social Media: From Silence to Twitter," BAFFI CAREFIN Working Papers 22187, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    12. Burlon, Lorenzo & Notarpietro, Alessandro & Pisani, Massimiliano, 2019. "Macroeconomic effects of an open-ended asset purchase programme," Journal of Policy Modeling, Elsevier, vol. 41(6), pages 1144-1159.
    13. Hartmann, Philipp & Smets, Frank, 2018. "The first twenty years of the European Central Bank: monetary policy," CEPR Discussion Papers 13411, C.E.P.R. Discussion Papers.
    14. Mariusz Prochniak & Magdalena Szyszko, 2019. "The similarity of European central banks in terms of transparency and effectiveness," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 14(3), pages 385-404, September.
    15. Justyna Klejdysz & Robin L. Lumsdaine, 2023. "Shifts in ECB Communication: A Textual Analysis of the Press Conference," International Journal of Central Banking, International Journal of Central Banking, vol. 19(2), pages 473-542, June.
    16. Berg, Tim Oliver, 2015. "Multivariate Forecasting with BVARs and DSGE Models," MPRA Paper 62405, University Library of Munich, Germany.
    17. Oleksiy Kryvtsov & Luba Petersen, 2019. "Central Bank Communication That Works: Lessons from Lab Experiments," Staff Working Papers 19-21, Bank of Canada.
    18. Julian A. Parra-Polania, 2018. "State-dependent Forward Guidance and the Problem of Inconsistent Announcements," Borradores de Economia 1035, Banco de la Republica de Colombia.
    19. Pažický Martin, 2021. "Oil price shock in the US and the euro area – evidence from the shadow rate and the term premium," Review of Economic Perspectives, Sciendo, vol. 21(3), pages 309-346, September.
    20. Cour-Thimann, Philippine & Jung, Alexander, 2020. "Interest rate setting and communication at the ECB," Working Paper Series 2443, European Central Bank.
    21. Christophe Blot & Paul Hubert, 2018. "Central bank communication during normal and crisis time," SciencePo Working papers Main hal-03404315, HAL.
    22. Ca' Zorzi, Michele & Dedola, Luca & Georgiadis, Georgios & Jarociński, Marek & Stracca, Livio & Strasser, Georg, 2020. "Monetary policy and its transmission in a globalised world," Working Paper Series 2407, European Central Bank.
    23. Möller, Rouven & Reichmann, Doron, 2021. "ECB language and stock returns – A textual analysis of ECB press conferences," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 590-604.
    24. Ferrara, Federico Maria & Angino, Siria, 2022. "Does clarity make central banks more engaging? Lessons from ECB communications," LSE Research Online Documents on Economics 112968, London School of Economics and Political Science, LSE Library.
    25. Omotosho, Babatunde S., 2019. "Central Bank Communication in Ghana: Insights from a Text Mining Analysis," MPRA Paper 98297, University Library of Munich, Germany.
    26. Michael Ehrmann & Sarah Holton & Danielle Kedan & Gillian Phelan, 2024. "Monetary Policy Communication: Perspectives from Former Policymakers at the ECB," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(4), pages 837-864, June.
    27. Monica Jain & Christopher S. Sutherland, 2018. "How Do Central Bank Projections and Forward Guidance Influence Private-Sector Forecasts?," Staff Working Papers 18-2, Bank of Canada.
    28. Anselm Küsters, 2022. "Applying Lessons from the Past? Exploring Historical Analogies in ECB Speeches through Text Mining, 1997–2019," International Journal of Central Banking, International Journal of Central Banking, vol. 18(1), pages 277-329, March.
    29. Linas Jurkšas & Rokas Kaminskas & Deimantė Vasiliauskaitė, 2024. "ECB monetary policy communication events: Do they move euro area yields?," Bulletin of Economic Research, Wiley Blackwell, vol. 76(2), pages 596-625, April.
    30. Renaud Beaupain & Alexandre Girard, 2020. "The value of understanding central bank communication," Post-Print hal-02509297, HAL.
    31. Silvia T. Trifonova, 2023. "New Trends In The European Central Bank Monetary Policy," Economy & Business Journal, International Scientific Publications, Bulgaria, vol. 17(1), pages 39-60.
    32. Ehrmann, Michael & Wabitsch, Alena, 2022. "Central bank communication with non-experts – A road to nowhere?," Journal of Monetary Economics, Elsevier, vol. 127(C), pages 69-85.
    33. Omotosho, Babatunde S. & Tumala, Mohammed M., 2019. "A Text Mining Analysis of Central Bank Monetary Policy Communication in Nigeria," MPRA Paper 98850, University Library of Munich, Germany.
    34. Andrejs Zlobins, 2019. "Macroeconomic Effects of the ECB's Forward Guidance," Working Papers 2019/03, Latvijas Banka.
    35. Hwang, In Do & Lustenberger, Thomas & Rossi, Enzo, 2023. "Central bank communication and public trust: The case of ECB speeches," Journal of International Money and Finance, Elsevier, vol. 137(C).
    36. Paul Hubert & Fabien Labondance, 2020. "Central Bank Tone and the Dispersion of Views within Monetary Policy Committees," Documents de Travail de l'OFCE 2020-02, Observatoire Francais des Conjonctures Economiques (OFCE).
    37. Markus Heckel & Kiyohiko G. Nishimura, 2020. "Unconventional Monetary Policy through Open Market Operations: A Principal Component Analysis," CARF F-Series CARF-F-501, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    38. de Haan, Jakob & Hoogduin, Lex, 2024. "ECB communication policies: An overview and comparison with the Federal Reserve," Journal of International Money and Finance, Elsevier, vol. 142(C).
    39. Bank for International Settlements, 2019. "Unconventional monetary policy tools: a cross-country analysis," CGFS Papers, Bank for International Settlements, number 63, december.
    40. Müller, Tobias & Christoffel, Kai & Mazelis, Falk & Montes-Galdón, Carlos, 2022. "Disciplining expectations and the forward guidance puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
    41. Lin, Jianhao & Mei, Ziwei & Chen, Liangyuan & Zhu, Chuanqi, 2023. "Is the People's Bank of China consistent in words and deeds?," China Economic Review, Elsevier, vol. 78(C).
    42. Vyshnevskyi, Iegor & Jombo, Wytone & Sohn, Wook, 2024. "The clarity of monetary policy communication and financial market volatility in developing economies," Emerging Markets Review, Elsevier, vol. 59(C).
    43. Arnold Segawa, 2021. "Sentimental Outlook for the Monetary Policies of South African Reserve Bank," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 10(3), pages 37-56, July.
    44. Andrejs Zlobins, 2022. "Into the Universe of Unconventional Monetary Policy: State-dependence, Interaction and Complementarities," Working Papers 2022/05, Latvijas Banka.
    45. de Lucio, Juan & Mora-Sanguinetti, Juan S., 2022. "Drafting “better regulation”: The economic cost of regulatory complexity," Journal of Policy Modeling, Elsevier, vol. 44(1), pages 163-183.
    46. Baranowski, Paweł & Doryń, Wirginia & Łyziak, Tomasz & Stanisławska, Ewa, 2021. "Words and deeds in managing expectations: Empirical evidence from an inflation targeting economy," Economic Modelling, Elsevier, vol. 95(C), pages 49-67.
    47. Grahame Johnson & Sharon Kozicki & Romanos Priftis & Lena Suchanek & Jonathan Witmer & Jing Yang, 2020. "Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature," Discussion Papers 2020-16, Bank of Canada.
    48. Ouerk, Salima & Boucher, Christophe & Lubochinsky, Catherine, 2020. "Unconventional monetary policy in the Euro Area: Shadow rate and light effets," Journal of Macroeconomics, Elsevier, vol. 65(C).
    49. Bofinger, Peter & Schnabel, Isabel & Feld, Lars P. & Schmidt, Christoph M. & Wieland, Volker, 2017. "Für eine zukunftsorientierte Wirtschaftspolitik. Jahresgutachten 2017/18 [Towards a Forward-Looking Economic Policy. Annual Report 2017/18]," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201718.
    50. Gabriele Galati & Richhild Moessner, 2020. "Effects of Fed policy rate forecasts on real yields and inflation expectations at the zero lower bound," Working Papers 690, DNB.
    51. Plante M Kibadhi & Christian Pinshi, 2020. "Repenser la communication dans la politique monétaire : Vers une orientation stratégique pour la BCC," Working Papers hal-02885902, HAL.
    52. Patrick Hirsch & Lars P. Feld & Ekkehard A. Köhler, 2023. "Breaking Monetary Policy News: The Role of Mass Media Coverage of ECB Announcements for Public Inflation Expectations," CESifo Working Paper Series 10285, CESifo.
    53. Beckmann, Joscha & Czudaj, Robert L., 2023. "Perceived monetary policy uncertainty," Journal of International Money and Finance, Elsevier, vol. 130(C).
    54. Mr. Faisal Ahmed & Mahir Binici & Mr. Jarkko Turunen, 2022. "Monetary Policy Communication and Financial Markets in India," IMF Working Papers 2022/209, International Monetary Fund.
    55. Fernandes, Cecilia Melo, 2021. "ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty," Working Paper Series 2582, European Central Bank.
    56. Jeffrey R. Campbell & Thomas B. King & Anna Orlik & Rebecca Zarutskie, 2020. "Issues Regarding the Use of the Policy Rate Tool," Finance and Economics Discussion Series 2020-070, Board of Governors of the Federal Reserve System (U.S.).
    57. Heather D Gibson & Stephen G Hall & Deborah GeFang & Pavlos Petroulas & George S Tavlas, 2021. "Cross-country spillovers of national financial markets and the effectiveness of ECB policies during the euro-area crisis," Oxford Economic Papers, Oxford University Press, vol. 73(4), pages 1454-1470.
    58. Juan Camilo Anzoátegui Zapata & Juan Camilo Galvis Ciro, 2022. "Efectos de la comunicación del banco central sobre el desacuerdo en las expectativas de la tasa de política monetaria: evidencias para Colombia," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 14(2), pages 375-409, June.
    59. Celso Brunetti & Marc Joëts & Valérie Mignon, 2024. "Reasons Behind Words: OPEC Narratives and the Oil Market," Finance and Economics Discussion Series 2024-003, Board of Governors of the Federal Reserve System (U.S.).
    60. KIBADHI, Plante M & PINSHI, Christian P., 2020. "Rethinking Communication in Monetary Policy: Towards a Strategic leaning for the BCC," MPRA Paper 101665, University Library of Munich, Germany, revised Jul 2020.
    61. McMahon, Michael & Haldane, Andrew & Macaulay, Alistair, 2020. "The 3 E’s of Central Bank Communication with the Public," CEPR Discussion Papers 14265, C.E.P.R. Discussion Papers.
    62. Coenen, Günter & Montes-Galdón, Carlos & Saint Guilhem, Arthur & Hutchinson, John & Motto, Roberto, 2022. "Rate forward guidance in an environment of large central bank balance sheets: a Eurosystem stock-taking assessment," Occasional Paper Series 290, European Central Bank.
    63. Juan de Lucio & Juan S. Mora-Sanguinetti, 2021. "New dimensions of regulatory complexity and their economic cost. An analysis using text mining," Working Papers 2107, Banco de España.
    64. Peter Tillmann, 2020. "Financial Markets and Dissent in the ECB’s Governing Council," MAGKS Papers on Economics 202048, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    65. Pavel Gertler & Roman Horváth & Júlia Jonášová, 2020. "Central Bank Communication and Financial Market Comovements in the Euro Area," Open Economies Review, Springer, vol. 31(2), pages 257-272, April.
    66. Ehrmann, Michael & Holton, Sarah & Kedan, Danielle & Phelan, Gillian, 2022. "Monetary policy communication – past ECB policymakers commend Bank’s progress and call for more," Research Bulletin, European Central Bank, vol. 93.
    67. Sinem Kandemir & Peter Tillmann, 2023. "Not all ECB meetings are created equal," MAGKS Papers on Economics 202312, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    68. Benoît Cœuré, 2017. "Central Bank Communication in a Low Interest Rate Environment," Open Economies Review, Springer, vol. 28(5), pages 813-822, November.
    69. Szyszko Magdalena & Próchniak Mariusz, 2018. "Is Central Banks’ Effectiveness Related to their Transparency? A Case of European Economies," Folia Oeconomica Stetinensia, Sciendo, vol. 18(2), pages 121-143, December.
    70. Voloshchenko-Holda Lada & Niedziółka Paweł, 2024. "Central bank communication in unconventional times: Some evidence from a textual analysis of the National Bank of Poland communication during the COVID-crisis," Economics and Business Review, Sciendo, vol. 10(1), pages 101-124, April.
    71. Jonas Dovern & Geoff Kenny, 2020. "Anchoring Inflation Expectations in Unconventional Times: Micro Evidence for the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 16(5), pages 309-347, October.
    72. Dietrich, Alexander M., 2023. "Consumption categories, household attention, and inflation expectations: Implications for optimal monetary policy," University of Tübingen Working Papers in Business and Economics 157, University of Tuebingen, Faculty of Economics and Social Sciences, School of Business and Economics.
    73. Omotosho, Babatunde S., 2020. "Central Bank Communication during Economic Recessions: Evidence from Nigeria," MPRA Paper 99655, University Library of Munich, Germany.
    74. Donato Masciandaro & Davide Romelli & Gaia Rubera, 2020. "Tweeting on Monetary Policy and Market Sentiments: The Central Bank Surprise Index," BAFFI CAREFIN Working Papers 20134, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    75. Linas Jurkšas & Rokas Kaminskas, 2023. "ECB monetary policy communication: does it move euro area yields?," Bank of Lithuania Discussion Paper Series 29, Bank of Lithuania.
    76. Fraccaroli, Nicolò & Giovannini, Alessandro & Jamet, Jean-Francois & Persson, Eric, 2022. "Does the European Central Bank speak differently when in parliament?," Working Paper Series 2705, European Central Bank.
    77. Richhild Moessner & Phurichai Rungcharoenkitkul, 2019. "The zero lower bound, forward guidance and how markets respond to news," BIS Quarterly Review, Bank for International Settlements, March.
    78. Donato Masciandaro & Davide Romelli & Gaia Rubera, 2023. "Monetary policy and financial markets: evidence from Twitter traffic," Trinity Economics Papers TEP1023, Trinity College Dublin, Department of Economics.
    79. Piotr Szczerba & Anna Wojtyniak & Joanna Niedźwiedzińska & Wojciech Bogdanowicz, 2024. "Monetary Policy Press Releases of 24 Inflation Targeting Central Banks – A Comparison of their Key Features and Complexity," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 13(1), pages 223-243.
    80. Cour-Thimann, Philippine & Jung, Alexander, 2021. "Interest-rate setting and communication at the ECB in its first twenty years," European Journal of Political Economy, Elsevier, vol. 70(C).
    81. Jianhao Lin & Jiacheng Fan & Yifan Zhang & Liangyuan Chen, 2023. "Real‐time macroeconomic projection using narrative central bank communication," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 202-221, March.
    82. Bernd Hayo & Kai Henseler & Marc Steffen Rapp & Johannes Zahner, 2020. "Complexity of ECB Communication and Financial Market Trading," MAGKS Papers on Economics 201919, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    83. Rieder, Kilian, 2022. "Monetary policy decision-making by committee: Why, when and how it can work," European Journal of Political Economy, Elsevier, vol. 72(C).
    84. Curti, Filippo & Kazinnik, Sophia, 2023. "Central bank communication and website characteristics," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 1216-1241.
    85. Bank for International Settlements, 2023. "Central bank asset purchases in response to the Covid-19 crisis," CGFS Papers, Bank for International Settlements, number 68, december.
    86. Emilian DOBRESCU, 2020. "Self-fulfillment degree of economic expectations within an integrated space: The European Union case study," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-32, December.
    87. Monique Reid & Pierre Siklos, 2020. "Building Credibility and Influencing Expectations The Evolution of Central Bank Communication," Working Papers 10144, South African Reserve Bank.
    88. Haldane, Andrew & Macaulay, Alistair & McMahon, Michael, 2020. "The 3 E’s of central bank communication with the public," Bank of England working papers 847, Bank of England.
    89. Jonne O. Lehtimäki & Marianne Palmu, 2019. "Central Bank Communication and Monetary Policy Predictability under Uncertain Economic Conditions," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 8(2), pages 5-32.
    90. Daniel J. Lewis, 2019. "Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects," Staff Reports 891, Federal Reserve Bank of New York.
    91. Emanuele Citera & Lino Sau, 2021. "Reflexivity, Financial Instability and Monetary Policy: A ‘Convention-Based’ Approach," Review of Political Economy, Taylor & Francis Journals, vol. 33(2), pages 327-343, April.
    92. In Do Hwang & Dr. Enzo Rossi, 2020. "Does communication influence executives' opinion of central bank policy?," Working Papers 2020-17, Swiss National Bank.

  9. Thomas Gilbert & Chiara Scotti & Georg H. Strasser & Clara Vega, 2015. "Is the Intrinsic Value of Macroeconomic News Announcements Related to Their Asset Price Impact?," Boston College Working Papers in Economics 874, Boston College Department of Economics, revised 23 Apr 2015.

    Cited by:

    1. Christoffer Koch & Julieta Yung, 2016. "Macroeconomic news and asset prices before and after the zero lower bound," Globalization Institute Working Papers 287, Federal Reserve Bank of Dallas.
    2. Michael W. McCracken & Michael T. Owyang & Tatevik Sekhposyan, 2021. "Real-Time Forecasting and Scenario Analysis Using a Large Mixed-Frequency Bayesian VAR," International Journal of Central Banking, International Journal of Central Banking, vol. 17(71), pages 1-41, December.
    3. Evžen Kocenda & Michala Moravcová, 2018. "Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis," CESifo Working Paper Series 7239, CESifo.
    4. Yang-Ho Park, 2019. "Information in Yield Spread Trades," Finance and Economics Discussion Series 2019-025, Board of Governors of the Federal Reserve System (U.S.).
    5. Paul Alagidede & Tseke Maserumule, 2018. "Impact of macroeconomic announcements on foreign exchange volatility: Evidence from South Africa," Working Papers 751, Economic Research Southern Africa.
    6. Jeffrey A. Frankel & Ayako Saiki, 2017. "Does It Matter If Statistical Agencies Frame the Month’s CPI Reporton a 1-Month or 12-month Basis?," NBER Working Papers 23754, National Bureau of Economic Research, Inc.
    7. Kurov, Alexander & Sancetta, Alessio & Strasser, Georg & Wolfe, Marketa Halova, 2019. "Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(1), pages 449-479, February.
    8. Andreas Neuhierl & Michael Weber, 2016. "Monetary Policy and the Stock Market: Time-Series Evidence," NBER Working Papers 22831, National Bureau of Economic Research, Inc.
    9. Clements, Michael P. & Galvão, Ana Beatriz, 2017. "Model and survey estimates of the term structure of US macroeconomic uncertainty," International Journal of Forecasting, Elsevier, vol. 33(3), pages 591-604.
    10. Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Finance and Economics Discussion Series 2014-52, Board of Governors of the Federal Reserve System (U.S.).
    11. Tseke Maserumule & Paul Alagidede, 2017. "Impact of Macroeconomic Announcements on Foreign Exchange Volatility: Evidence from South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 85(3), pages 405-429, September.
    12. Chiara Scotti, 2013. "Surprise and uncertainty indexes: real-time aggregation of real-activity macro surprises," International Finance Discussion Papers 1093, Board of Governors of the Federal Reserve System (U.S.).
    13. Adrian Cantemir CĂLIN & Radu LUPU, 2016. "The Effects Of Labor Market News On International Financial Markets," Romanian Economic Business Review, Romanian-American University, vol. 11(2), pages 207-215, June.
    14. John B. Broughton & Bento J. Lobo, 2018. "Herding and anchoring in macroeconomic forecasts: the case of the PMI," Empirical Economics, Springer, vol. 55(3), pages 1337-1355, November.
    15. Ehrmann, Michael & Talmi, Jonathan, 2017. "Starting from a blank page? Semantic similarity in central bank communication and market volatility," Working Paper Series 2023, European Central Bank.
    16. Strasser, Georg, 2017. "What determines the impact of macroeconomic news on asset markets?," Research Bulletin, European Central Bank, vol. 37.
    17. Francis, Bill B. & Hunter, Delroy M. & Kelly, Patrick J., 2020. "Do foreign investors insulate firms from local shocks? Evidence from the response of investable firms to monetary policy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 386-411.
    18. Gau, Yin-Feng & Wu, Zhen-Xing, 2017. "Macroeconomic announcements and price discovery in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 232-254.
    19. Ben Omrane, Walid & Savaşer, Tanseli, 2017. "Exchange rate volatility response to macroeconomic news during the global financial crisis," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 130-143.

  10. Alexander Kurov & Alessio Sancetta & Georg H. Strasser & Marketa Halova Wolfe, 2015. "Price Drift before U.S. Macroeconomic News: Private Information about Public Announcements?," Boston College Working Papers in Economics 881, Boston College Department of Economics, revised 29 Jul 2015.

    Cited by:

    1. Jieun Lee & Doojin Ryu, 2019. "The impacts of public news announcements on intraday implied volatility dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 656-685, June.
    2. Wu, Zhen-Xing & Gau, Yin-Feng, 2022. "Informativeness of trades around macroeconomic announcements in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    3. James J. Angel & Douglas M. McCabe, 2018. "Insider Trading 2.0? The Ethics of Information Sales," Journal of Business Ethics, Springer, vol. 147(4), pages 747-760, February.
    4. Marmora, Paul, 2022. "Does monetary policy fuel bitcoin demand? Event-study evidence from emerging markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    5. Wang, Xiaoxiao & Zhang, Xueyong, 2024. "Bank affiliation and timing ability of mutual funds: Evidence from China," Journal of Banking & Finance, Elsevier, vol. 163(C).
    6. Sonya Zhu, 2023. "Volume dynamics around FOMC announcements," BIS Working Papers 1079, Bank for International Settlements.
    7. Wang, Xiaoxiao, 2023. "Bank affiliation and mutual funds’ trading strategy distinctiveness," International Review of Financial Analysis, Elsevier, vol. 88(C).
    8. Grace Xing Hu & Jun Pan & Jiang Wang & Haoxiang Zhu, 2019. "Premium for Heightened Uncertainty: Explaining Pre-Announcement Market Returns," NBER Working Papers 25817, National Bureau of Economic Research, Inc.
    9. Nathalie Oriol & Iryna Veryzhenko, 2019. "Market structure or traders' behavior? A multi agent model to assess flash crash phenomena and their regulation," Post-Print halshs-01984442, HAL.
    10. Indriawan, Ivan & Martinez, Valeria & Tse, Yiuman, 2021. "The impact of the change in USDA announcement release procedures on agricultural commodity futures," Journal of Commodity Markets, Elsevier, vol. 23(C).
    11. Evžen Kocenda & Michala Moravcová, 2018. "Intraday Effect of News on Emerging European Forex Markets: An Event Study Analysis," CESifo Working Paper Series 7239, CESifo.
    12. Yang-Ho Park, 2019. "Information in Yield Spread Trades," Finance and Economics Discussion Series 2019-025, Board of Governors of the Federal Reserve System (U.S.).
    13. Tim Bollerslev & Jia Li & Yuan Xue, 2018. "Volume, Volatility, and Public News Announcements," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(4), pages 2005-2041.
    14. Park, Yang-Ho, 2022. "Informed trading in foreign exchange futures: Payroll news timing," Journal of Banking & Finance, Elsevier, vol. 135(C).
    15. Rui Guo & Dun Jia & Xi Sun, 2023. "Information Acquisition, Uncertainty Reduction, and Pre-Announcement Premium in China," Review of Finance, European Finance Association, vol. 27(3), pages 1077-1118.
    16. Bekaert, Geert & Hoerova, Marie & Xu, Nancy R., 2023. "Risk, monetary policy and asset prices in a global world," Working Paper Series 2879, European Central Bank.
    17. Kostas Bimpikis & Davide Crapis & Alireza Tahbaz-Salehi, 2019. "Information Sale and Competition," Management Science, INFORMS, vol. 67(6), pages 2646-2664, June.
    18. Difang Huang & Yubin Li & Xinjie Wang & Zhaodong (Ken) Zhong, 2022. "Does the Federal Open Market Committee cycle affect credit risk?," Financial Management, Financial Management Association International, vol. 51(1), pages 143-167, March.
    19. Kurov, Alexander & Sancetta, Alessio & Wolfe, Marketa Halova, 2022. "Drift Begone! Release policies and preannouncement informed trading," Journal of International Money and Finance, Elsevier, vol. 128(C).
    20. Thomas Gilbert & Chiara Scotti & Georg Strasser & Clara Vega, 2015. "Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?," Finance and Economics Discussion Series 2015-46, Board of Governors of the Federal Reserve System (U.S.).
    21. Tim Bollerslev & Jia Li & Zhipeng Liao, 2021. "Fixed‐k inference for volatility," Quantitative Economics, Econometric Society, vol. 12(4), pages 1053-1084, November.
    22. Füss, Roland & Grabellus, Markus & Mager, Ferdinand & Stein, Michael, 2018. "Something in the air: Information density, news surprises, and price jumps," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 50-75.
    23. Niu, Zilong, 2020. "Essays in empirical asset pricing and international finance," Other publications TiSEM 986cefd5-4d2b-4d5f-be7a-2, Tilburg University, School of Economics and Management.
    24. Gilbert, Thomas & Scotti, Chiara & Strasser, Georg & Vega, Clara, 2017. "Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 78-95.
    25. Wael Bousselmi & Patrick Sentis & Marc Willinger, 2018. "Impact of the Brexit vote announcement on long-run market performance," Working Papers hal-01954920, HAL.
    26. Christoph E. Boehm & T. Niklas Kroner, 2023. "The US, Economic News, and the Global Financial Cycle," NBER Working Papers 30994, National Bureau of Economic Research, Inc.
    27. Baum, Christopher F. & Kurov, Alexander & Wolfe, Marketa Halova, 2015. "What do Chinese macro announcements tell us about the world economy?," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 100-122.
    28. Lin, Hai & Lo, Ingrid & Qiao, Rui, 2021. "Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market," Journal of Banking & Finance, Elsevier, vol. 133(C).
    29. James, Robert & Jarnecic, Elvis & Leung, Henry, 2022. "Who Values Economist Forecasts? Evidence From Trading in Treasury Markets," Journal of Financial Intermediation, Elsevier, vol. 49(C).
    30. Alexander Koch & Toan Luu Duc Huynh & Mei Wang, 2024. "News sentiment and international equity markets during BREXIT period: A textual and connectedness analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(1), pages 5-34, January.
    31. Sultan Alturki & Alexander Kurov, 2022. "Market inefficiencies surrounding energy announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 172-188, January.
    32. Fehrler, Sebastian & Hahn, Volker, 2020. "Committee Decision-Making under the Threat of Leaks," IZA Discussion Papers 13746, Institute of Labor Economics (IZA).
    33. Anagnostidis, Panagiotis & Fontaine, Patrice, 2020. "Liquidity commonality and high frequency trading: Evidence from the French stock market," International Review of Financial Analysis, Elsevier, vol. 69(C).
    34. Vilhelmsson, Anders, 2020. "Macro news and long-run volatility expectations," Knut Wicksell Working Paper Series 2020/1, Lund University, Knut Wicksell Centre for Financial Studies.
    35. Suchismita Mishra & Le Zhao, 2021. "Order Routing Decisions for a Fragmented Market: A Review," JRFM, MDPI, vol. 14(11), pages 1-32, November.
    36. Nicholas Apergis & Ioannis Pragidis, 2019. "Stock Price Reactions to Wire News from the European Central Bank: Evidence from Changes in the Sentiment Tone and International Market Indexes," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 25(1), pages 91-112, February.
    37. Chao Ying, 2020. "The Pre-FOMC Announcement Drift and Private Information: Kyle Meets Macro-Finance," 2020 Papers pyi149, Job Market Papers.
    38. Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2017_1714, CEMFI.
    39. Bao, Wei & Guo, Shijun & Peng, Diefeng & Rao, Yulei, 2023. "Trading gap in holidays and price transmission: Evidence from cross-listed stocks on the A-share and H-share markets," International Review of Financial Analysis, Elsevier, vol. 87(C).
    40. Guo, Haifeng & Hung, Chi-Hsiou D. & Kontonikas, Alexandros, 2022. "The Fed and the stock market: A tale of sentiment states," Journal of International Money and Finance, Elsevier, vol. 128(C).
    41. Liao Xu & Xiangkang Yin & Jing Zhao, 2022. "Are the flows of exchange‐traded funds informative?," Financial Management, Financial Management Association International, vol. 51(4), pages 1165-1200, December.
    42. Kurov, Alexander & Stan, Raluca, 2018. "Monetary policy uncertainty and the market reaction to macroeconomic news," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 127-142.
    43. An N. Q. Cao & Michel A. Robe, 2022. "Market uncertainty and sentiment around USDA announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 250-275, February.
    44. Gurgul, Henryk & Mitterer, Christoph & Wójtowicz, Tomasz, 2020. "The impact of US macroeconomic news on the prices of single stocks on the Vienna Stock Exchange," MPRA Paper 103352, University Library of Munich, Germany.
    45. Tarun Chordia & Alexander Kurov & Dmitriy Muravyev & Avanidhar Subrahmanyam, 2021. "The joint cross section of stocks and options," Management Science, INFORMS, vol. 67(3), pages 1758-1778, March.
    46. Smales, L.A., 2021. "Macroeconomic news and treasury futures return volatility: Do treasury auctions matter?," Global Finance Journal, Elsevier, vol. 48(C).
    47. Gau, Yin-Feng & Wu, Zhen-Xing, 2017. "Macroeconomic announcements and price discovery in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 79(C), pages 232-254.
    48. Hao, Rubin & Liao, Guanmin & Ding, Wenhong & Guan, Wei, 2022. "The informativeness of regional GDP announcements: Evidence from China," Journal of Empirical Finance, Elsevier, vol. 67(C), pages 78-99.
    49. Chen Gu & Denghui Chen & Raluca Stan, 2021. "Investor sentiment and the market reaction to macroeconomic news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1412-1426, September.

  11. Marketa Halova Wolfe & Georg H. Strasser, 2013. "Learning to Argue with Intermediate Macro Theory: A Semester-Long Team Writing Project," Boston College Working Papers in Economics 826, Boston College Department of Economics, revised 23 Apr 2014.

    Cited by:

    1. James Staveley-O'Carroll II, 2023. "Microeconomics for Business: Writing Assignments on Porter’s Five Competitive Forces," Journal of Economics Teaching, Journal of Economics Teaching, vol. 8(3), pages 158-172, October.
    2. Marketa Halova Wolfe, 2023. "Incorporating Racial Justice Topics into an Econometrics Course," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 49(3), pages 312-327, June.
    3. Wolfe, Marketa Halova, 2020. "Integrating data analysis into an introductory macroeconomics course," International Review of Economics Education, Elsevier, vol. 33(C).

  12. Eyal Dvir & Georg H. Strasser, 2013. "Does Marketing Widen Borders? Cross-Country Price Dispersion in the European Car Market," Boston College Working Papers in Economics 831, Boston College Department of Economics, revised 04 Apr 2014.

    Cited by:

    1. Messner, Teresa & Rumler, Fabio & Strasser, Georg, 2022. "Cross-country price and inflation dispersion: Retail network or national border," Single Market Economics Papers WP2022/11, Directorate-General for Internal Market, Industry, Entrepreneurship and SMEs (European Commission), Chief Economist Team.
    2. Vallés, Javier & Salas Fumás, Vicente & San Juan, Lucio, 2022. "Corporate economic profits in the euro area: The relevance of cost competitive advantage," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 569-585.
    3. Mike Nyawo & Neil Rankin, 2020. "Price adjustment after hyperinflation in Zimbabwe," African Development Review, African Development Bank, vol. 32(2), pages 240-256, June.
    4. Hai Long Vo & Duc Hong Vo, 2023. "The purchasing power parity and exchange‐rate economics half a century on," Journal of Economic Surveys, Wiley Blackwell, vol. 37(2), pages 446-479, April.
    5. Nchake, Mamello A. & Edwards, Lawrence & Rankin, Neil, 2018. "Closer monetary union and product market integration in emerging economies: Evidence from the Common Monetary Area in Southern Africa," International Review of Economics & Finance, Elsevier, vol. 54(C), pages 154-164.
    6. Luca Macedoni, 2021. "Has the Euro Shrunk the Band? Relative Purchasing Power Parity Convergence in a Currency Union," Scandinavian Journal of Economics, Wiley Blackwell, vol. 123(2), pages 593-620, April.
    7. Garcia-Hiernaux, Alfredo & Gonzalez-Perez, Maria T. & Guerrero, David E., 2023. "Eurozone prices: A tale of convergence and divergence," Economic Modelling, Elsevier, vol. 126(C).
    8. A. Auer, Raphael & Chaney, Thomas & Sauré, Philip, 2018. "Quality pricing-to-market," Journal of International Economics, Elsevier, vol. 110(C), pages 87-102.
    9. Menz, Jan-Oliver & Wieland, Elisabeth & Mehrhoff, Jens, 2022. "Estimating the impact of quality adjustment on consumer price inflation," Discussion Papers 49/2022, Deutsche Bundesbank.
    10. Ogrokhina, Olena, 2019. "Persistence of prices in the Eurozone capital cities: Evidence from the Economist Intelligence Unit City Data," Economic Modelling, Elsevier, vol. 76(C), pages 330-338.
    11. Eyal Dvir & Georg H. Strasser, 2013. "Does Marketing Widen Borders? Cross-Country Price Dispersion in the European Car Market," Boston College Working Papers in Economics 831, Boston College Department of Economics, revised 04 Apr 2014.
    12. Keith Head & Thierry Mayer, 2021. "The United States of Europe: A Gravity Model Evaluation of the Four Freedoms," SciencePo Working papers Main hal-03796129, HAL.
    13. Alberto Cavallo & Brent Neiman & Roberto Rigobon, 2014. "The Price Impact of Joining a Currency Union: Evidence from Latvia," NBER Working Papers 20225, National Bureau of Economic Research, Inc.
    14. Néstor Duch-Brown & Lukasz Grzybowski & André Romahn & Frank Verboven, 2021. "Are online markets more integrated than traditional markets? Evidence from consumer electronics," Post-Print hal-03235901, HAL.
    15. Herz, Benedikt & Mejer, Malwina, 2021. "The effect of design protection on price and price dispersion: Evidence from automotive spare parts," International Journal of Industrial Organization, Elsevier, vol. 79(C).
    16. Herz, Benedikt & Mejer, Malwina, 2020. "The effect of design protection on price and price dispersion: Evidence from automotive spare parts," MPRA Paper 104137, University Library of Munich, Germany, revised 01 Nov 2020.
    17. van den Bijgaart, Inge, 2016. "Essays in environmental economics and policy," Other publications TiSEM 298bee2a-cb08-4173-9fe1-8, Tilburg University, School of Economics and Management.
    18. Beck, Guenter W. & Kotz, Hans-Helmut & Zabelina, Natalia, 2020. "Price gaps at the border: Evidence from multi-country household scanner data," Journal of International Economics, Elsevier, vol. 127(C).
    19. Reyer Gerlagh & Inge Bijgaart & Hans Nijland & Thomas Michielsen, 2018. "Fiscal Policy and $$\hbox {CO}_{2}$$ CO 2 Emissions of New Passenger Cars in the EU," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 69(1), pages 103-134, January.
    20. Strasser, Georg, 2018. "Price convergence in the EU: What can we learn from the car market?," Research Bulletin, European Central Bank, vol. 46.
    21. Mario J. Crucini & Hakan Yilmazkuday, 2013. "Understanding Long-run Price Dispersion," NBER Working Papers 18811, National Bureau of Economic Research, Inc.
    22. Shafiei, Ehsan & Davidsdottir, Brynhildur & Stefansson, Hlynur & Asgeirsson, Eyjolfur Ingi & Fazeli, Reza & Gestsson, Marías Halldór & Leaver, Jonathan, 2019. "Simulation-based appraisal of tax-induced electro-mobility promotion in Iceland and prospects for energy-economic development," Energy Policy, Elsevier, vol. 133(C).
    23. Romero, Jaime & Cruz-Roche, Ignacio & Charron, Jean-Philippe, 2020. "The myth of price convergence under economic integration: A proposed explanation for the difference in food prices across European countries," European Management Journal, Elsevier, vol. 38(2), pages 267-276.

  13. Georg H. Strasser, 2011. "Exchange Rate Pass-Through and Credit Constraints: Firms Price to Market as Long as They Can," Boston College Working Papers in Economics 788, Boston College Department of Economics, revised 13 Feb 2012.

    Cited by:

    1. Sarah Guillou & Stefano Schiavo, 2011. "Exchange Rate Exposure under Liquidity Constraints," Department of Economics Working Papers 1107, Department of Economics, University of Trento, Italia.
    2. Balleer, Almut & Hristov, Nikolay & Menno, Dominik, 2020. "Menu costs, the price gap distribution and monetary non-neutrality: The role of financial constraints," CEPR Discussion Papers 11790, C.E.P.R. Discussion Papers.
    3. Chen, Ting & Luo, Wenjie & Xiang, Xunyong, 2022. "Financial constraints, exchange rate changes and export price: Evidence from Chinese exporters," Finance Research Letters, Elsevier, vol. 48(C).
    4. Olivier de Bandt & Tovonony Razafindrabe, 2014. "Exchange rate pass-through to import prices in the Euro-area: a multicurrency investigation," Post-Print hal-01410616, HAL.
    5. Yao Amber Li & Chen Carol Zhao, 2016. "Price Adjustment to Exchange Rates and Forward-looking Exporters: Evidence from USA–China Trade," Review of International Economics, Wiley Blackwell, vol. 24(5), pages 1023-1049, November.
    6. Engin AKMAN, 2016. "Impacts Of Euro/Usd Volatility On Steel Prices Of Turkey," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 5(1), pages 1-17, January.
    7. Natalie Chen & Luciana Juvenal, 2014. "Quality, Trade, and Exchange Rate Pass-Through," IMF Working Papers 2014/042, International Monetary Fund.
    8. Georg H. Strasser, 2011. "Exchange Rate Pass-Through and Credit Constraints: Firms Price to Market as Long as They Can," Boston College Working Papers in Economics 788, Boston College Department of Economics, revised 13 Feb 2012.
    9. Eyal Dvir & Georg H. Strasser, 2013. "Does Marketing Widen Borders? Cross-Country Price Dispersion in the European Car Market," Boston College Working Papers in Economics 831, Boston College Department of Economics, revised 04 Apr 2014.
    10. Mauro Caselli & Arpita Chatterjee & Alan Woodland, 2017. "Multi‐product exporters, variable markups and exchange rate fluctuations," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(4), pages 1130-1160, November.
    11. Shajuan Zhang, 2018. "Industry†specific Exchange Rate Fluctuations, Japanese Exports and Financial Constraints: Evidence from Panel Vector Autoregressive Analysis," Asian Economic Journal, East Asian Economic Association, vol. 32(2), pages 125-145, June.
    12. Angelo Secchi & Federico Tamagni & Chiara Tomasi, 2016. "Export price adjustments under financial constraints," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01297116, HAL.
    13. Dorine Boumans & Clemens Fuest & Carla Krolage & Klaus Wohlrabe, 2020. "Expected effects of the US tax reform on other countries: global and local survey evidence," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 27(6), pages 1608-1630, December.
    14. Link Sebastian, 2020. "Harmonization of the ifo Business Survey’s Micro Data," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 240(4), pages 543-555, August.
    15. Li, Jie & Lan, Liping & Ouyang, Zhigang, 2020. "Credit constraints, currency depreciation and international trade," Journal of International Money and Finance, Elsevier, vol. 104(C).
    16. Eva Ortega & Chiara Osbat, 2020. "Exchange rate pass-through in the euro area and EU countries," Occasional Papers 2016, Banco de España.
    17. Zhe Chen & Junjie Hong & Xiaonan Sun, 2020. "Exchange rate risk and trade mode choice in processing trade: Evidence from Chinese data," Review of International Economics, Wiley Blackwell, vol. 28(2), pages 537-564, May.
    18. Chen, Meng-Wei & Lu, Cuicui & Tian, Yuan, 2021. "Export price and quality adjustment: The role of financial stress and exchange rate," Economic Modelling, Elsevier, vol. 96(C), pages 336-345.
    19. Yao Amber Li & Carol Zhao Chen, 2015. "Forward-Looking Exporters and Exchange Rate Pass-Through: A Micro-Level Investigation," HKUST IEMS Working Paper Series 2015-28, HKUST Institute for Emerging Market Studies, revised Jul 2015.
    20. Dai, Mi & Nucci, Francesco & Pozzolo, Alberto F. & Xu, Jianwei, 2021. "Access to finance and the exchange rate elasticity of exports," Journal of International Money and Finance, Elsevier, vol. 115(C).
    21. Fernandes, Ana P. & Winters, L. Alan, 2021. "Exporters and shocks: The impact of the Brexit vote shock on bilateral exports to the UK," Journal of International Economics, Elsevier, vol. 131(C).
    22. Jarko Fidrmuc & Christa Hainz & Werner Hölzl, 2018. "Individual Credit Market Experience and Perception of Aggregate Bank Lending. Evidence from a Firm Survey," WIFO Working Papers 574, WIFO.
    23. Omar Barbiero, 2021. "The Valuation Effects of Trade," Working Papers 21-11, Federal Reserve Bank of Boston.
    24. Christian Grimme & Steffen Henzel, 2020. "Increasing Business Uncertainty and Credit Conditions in Times of Low and High Uncertainty: Evidence from Firm-Level Survey Data," CESifo Working Paper Series 8791, CESifo.
    25. Kazunobu Hayakawa & Nuttawut LAKSANAPANYAKUL & Toshiyuki Matsuura & Taiyo Yoshimi, 2024. "Export Dynamics and Invoicing Currency," Keio-IES Discussion Paper Series 2024-005, Institute for Economics Studies, Keio University.
    26. Jean-François Rouillard, 2015. "International Risk Sharing and Financial Shocks," Cahiers de recherche 15-13, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
    27. Almut Balleer & Nikolay Hristov & Dominik Menno, 2017. "Financial Constraints and Nominal Price Rigidities," CESifo Working Paper Series 6309, CESifo.
    28. Kosaka, Michiru Sakane, 2014. "Financial constraints, firm entry, and exchange rate pass-through," Economics Letters, Elsevier, vol. 125(1), pages 143-147.

  14. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," Boston College Working Papers in Economics 693, Boston College Department of Economics, revised 24 Apr 2012.

    Cited by:

    1. Boudt, Kris & Raza, Muhammad Wajid & Wauters, Marjan, 2019. "Evaluating the Shariah-compliance of equity portfolios: The weighting method matters," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 406-417.
    2. Yafeng Shi & Tingting Ying & Yanlong Shi & Chunrong Ai, 2020. "A comparison of conditional predictive ability of implied volatility and realized measures in forecasting volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1025-1034, November.
    3. Olkhov, Victor, 2022. "Introduction of the Market-Based Price Autocorrelation," MPRA Paper 112003, University Library of Munich, Germany.
    4. Hounyo, Ulrich, 2017. "Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading," Journal of Econometrics, Elsevier, vol. 197(1), pages 130-152.
    5. Christensen, K. & Podolskij, M. & Thamrongrat, N. & Veliyev, B., 2017. "Inference from high-frequency data: A subsampling approach," Journal of Econometrics, Elsevier, vol. 197(2), pages 245-272.
    6. Pierre Chausse & Dinghai Xu, 2012. "GMM Estimation of a Stochastic Volatility Model with Realized Volatility: A Monte Carlo Study," Working Papers 1203, University of Waterloo, Department of Economics, revised May 2012.
    7. Victor Olkhov, 2022. "Market-Based Price Autocorrelation," Papers 2202.09323, arXiv.org, revised Feb 2024.
    8. Andersen, Torben G. & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2017. "Volatility, information feedback and market microstructure noise: A tale of two regimes," CFS Working Paper Series 569, Center for Financial Studies (CFS).
    9. Liu, Lily Y. & Patton, Andrew J. & Sheppard, Kevin, 2015. "Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes," Journal of Econometrics, Elsevier, vol. 187(1), pages 293-311.
    10. Rasmus Tangsgaard Varneskov, 2011. "Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices," CREATES Research Papers 2011-35, Department of Economics and Business Economics, Aarhus University.
    11. Bollerslev, Tim & Medeiros, Marcelo C. & Patton, Andrew J. & Quaedvlieg, Rogier, 2022. "From zero to hero: Realized partial (co)variances," Journal of Econometrics, Elsevier, vol. 231(2), pages 348-360.
    12. Shrestha, Keshab & Philip, Sheena & Peranginangin, Yessy, 2020. "Contributions of Crude Oil Exchange Traded Funds in Price Discovery Process," American Business Review, Pompea College of Business, University of New Haven, vol. 23(2), pages 393-407, November.
    13. Gustavo Fruet Dias & Karsten Schweiker, 2024. "Integrated Variance Estimation for Assets Traded in Multiple Venues," University of East Anglia School of Economics Working Paper Series 2024-04, School of Economics, University of East Anglia, Norwich, UK..
    14. Clinet, Simon & Potiron, Yoann, 2019. "Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 289-337.
    15. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
    16. Li, Yifan & Nolte, Ingmar & Vasios, Michalis & Voev, Valeri & Xu, Qi, 2022. "Weighted Least Squares Realized Covariation Estimation," Journal of Banking & Finance, Elsevier, vol. 137(C).
    17. Zheng, Chengli & Su, Kuangxi & Yao, Yinhong, 2021. "Hedging futures performance with denoising and noise-assisted strategies," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    18. Olkhov, Victor, 2022. "Price and Payoff Autocorrelations in the Consumption-Based Asset Pricing Model," MPRA Paper 112255, University Library of Munich, Germany.
    19. Selma Chaker, 2013. "Volatility and Liquidity Costs," Staff Working Papers 13-29, Bank of Canada.
    20. Chu, Gang & Zhang, Yongjie & Zhang, Xiaotao, 2021. "An analysis of impact of cancellation activity on market quality: Evidence from China," Economic Modelling, Elsevier, vol. 102(C).
    21. Kim Christensen & Roel Oomen & Roberto Renò, 2016. "The Drift Burst Hypothesis," CREATES Research Papers 2016-28, Department of Economics and Business Economics, Aarhus University.
    22. Eric Jondeau & Jérôme Lahaye & Michael Rockinger, 2013. "Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps," Swiss Finance Institute Research Paper Series 13-47, Swiss Finance Institute, revised Feb 2016.
    23. Simon Clinet & Yoann Potiron, 2021. "Estimation for high-frequency data under parametric market microstructure noise," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(4), pages 649-669, August.
    24. Bollerslev, Tim & Li, Jia & Li, Qiyuan, 2024. "Optimal nonparametric range-based volatility estimation," Journal of Econometrics, Elsevier, vol. 238(1).
    25. Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi, 2013. "Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns," CREATES Research Papers 2013-07, Department of Economics and Business Economics, Aarhus University.
    26. Bian, Siyu & Serra, Teresa & Garcia, Philip & Irwin, Scott, 2022. "New evidence on market response to public announcements in the presence of microstructure noise," European Journal of Operational Research, Elsevier, vol. 298(2), pages 785-800.
    27. Christensen, Kim & Thyrsgaard, Martin & Veliyev, Bezirgen, 2019. "The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing," Journal of Econometrics, Elsevier, vol. 212(2), pages 556-583.
    28. Dong, Yingjie & Tse, Yiu-Kuen, 2017. "On estimating market microstructure noise variance," Economics Letters, Elsevier, vol. 150(C), pages 59-62.
    29. Chaker, Selma, 2017. "On high frequency estimation of the frictionless price: The use of observed liquidity variables," Journal of Econometrics, Elsevier, vol. 201(1), pages 127-143.
    30. Ulrich Hounyo, 2014. "Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading," CREATES Research Papers 2014-35, Department of Economics and Business Economics, Aarhus University.
    31. Bollerslev, Tim & Meddahi, Nour & Nyawa, Serge, 2019. "High-dimensional multivariate realized volatility estimation," Journal of Econometrics, Elsevier, vol. 212(1), pages 116-136.
    32. Victor Bello Accioly & Beatriz Vaz de Melo Mendes, 2016. "Assessing the Impact of the Realized Range on the (E)GARCH Volatility: Evidence from Brazil," Brazilian Business Review, Fucape Business School, vol. 13(2), pages 1-26, March.
    33. Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus, 2022. "Local mispricing and microstructural noise: A parametric perspective," Journal of Econometrics, Elsevier, vol. 230(2), pages 510-534.
    34. P. Simmons & N. Tantisantiwong, 2014. "Equilibrium moment restrictions on asset returns: normal and crisis periods," The European Journal of Finance, Taylor & Francis Journals, vol. 20(11), pages 1064-1089, November.

  15. Francis X. Diebold & Georg H. Strasser, 2008. "On the Correlation Structure of Microstructure Noise in Theory and Practice," PIER Working Paper Archive 08-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.

    Cited by:

    1. Kim Christensen & Roel Oomen & Mark Podolskij, 2009. "Realised Quantile-Based Estimation of the Integrated Variance," CREATES Research Papers 2009-27, Department of Economics and Business Economics, Aarhus University.
    2. E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy, 2011. "Modeling microstructure noise with mutually exciting point processes," Papers 1101.3422, arXiv.org.
    3. Kim Christensen & Silja Kinnebrock & Mark Podolskij, 2010. "Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data," Post-Print hal-00732537, HAL.
    4. Goettler, Ronald L. & Parlour, Christine A. & Rajan, Uday, 2009. "Informed traders and limit order markets," Journal of Financial Economics, Elsevier, vol. 93(1), pages 67-87, July.
    5. O. E. Barndorff-Nielsen & P. Reinhard Hansen & A. Lunde & N. Shephard, 2009. "Realized kernels in practice: trades and quotes," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 1-32, November.
    6. P. Simmons & N. Tantisantiwong, 2014. "Equilibrium moment restrictions on asset returns: normal and crisis periods," The European Journal of Finance, Taylor & Francis Journals, vol. 20(11), pages 1064-1089, November.

Articles

  1. Michele Ca’ Zorzi & Luca Dedola & Georgios Georgiadis & Marek Jarocinski & Livio Stracca & Georg Strasser, 2023. "Making Waves: Monetary Policy and Its Asymmetric Transmission in a Globalized World," International Journal of Central Banking, International Journal of Central Banking, vol. 19(2), pages 95-144, June.

    Cited by:

    1. Beck, Roland & Berganza, Juan Carlos & Brüggemann, Axel & Cezar, Rafael & Eijking, Carlijn & Eller, Markus & Fuentes, Alberto & Alves, Joel Graça & Kreitz, Lilian & Marsilli, Clement & Moder, Isabella, 2023. "Recent advances in the literature on capital flow management," Occasional Paper Series 317, European Central Bank.
    2. Gökhan Ider & Alexander Kriwoluzky & Frederik Kurcz & Ben Schumann, 2024. "Friend, Not Foe - Energy Prices and European Monetary Policy," Discussion Papers of DIW Berlin 2089, DIW Berlin, German Institute for Economic Research.

  2. Ca' Zorzi, Michele & Dedola, Luca & Georgiadis, Georgios & Jarociński, Marek & Stracca, Livio & Strasser, Georg, 2021. "Making waves – Fed spillovers are stronger and more encompassing than the ECB’s," Research Bulletin, European Central Bank, vol. 83.

    Cited by:

    1. Jung, Alexander, 2023. "US monetary policy spillovers to European banks," Working Paper Series 2876, European Central Bank.

  3. Kurov, Alexander & Sancetta, Alessio & Strasser, Georg & Wolfe, Marketa Halova, 2019. "Price Drift Before U.S. Macroeconomic News: Private Information about Public Announcements?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(1), pages 449-479, February.
    See citations under working paper version above.
  4. Ehrmann, Michael & Gaballo, Gaetano & Hoffmann, Peter & Strasser, Georg, 2019. "Can more public information raise uncertainty? The international evidence on forward guidance," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 93-112.
    See citations under working paper version above.
  5. Strasser, Georg, 2018. "Price convergence in the EU: What can we learn from the car market?," Research Bulletin, European Central Bank, vol. 46.

    Cited by:

    1. Cassetta, Ernesto & Nava, Consuelo R. & Zoia, Maria Grazia, 2022. "EU electricity market integration and cross-country convergence in residential and industrial end-user prices," Energy Policy, Elsevier, vol. 165(C).
    2. Kjersti Nes & Pavel Ciaian & Federica Di Marcantonio, 2020. "Economic determinants of differences in the composition of seemingly identical branded food products in the EU," JRC Research Reports JRC119221, Joint Research Centre.

  6. Dvir, Eyal & Strasser, Georg, 2018. "Does marketing widen borders? Cross-country price dispersion in the European car market," Journal of International Economics, Elsevier, vol. 112(C), pages 134-149.
    See citations under working paper version above.
  7. Gilbert, Thomas & Scotti, Chiara & Strasser, Georg & Vega, Clara, 2017. "Is the intrinsic value of a macroeconomic news announcement related to its asset price impact?," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 78-95.

    Cited by:

    1. Wu, Zhen-Xing & Gau, Yin-Feng, 2022. "Informativeness of trades around macroeconomic announcements in the foreign exchange market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 78(C).
    2. Tillmann, Peter, 2020. "Macroeconomic Surprises and the Demand for Information about Monetary Policy," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224545, Verein für Socialpolitik / German Economic Association.
    3. Benjamin Born & Zeno Enders & Manuel Menkhoff & Gernot J. Müller & Knut Niemann, 2023. "Firm Expectations and News: Micro v Macro," ifo Working Paper Series 400, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    4. Chao Gu & Han Han & Randall Wright, 2020. "The Effects Of News When Liquidity Matters," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 61(4), pages 1411-1435, November.
    5. David Hirshleifer & Jinfei Sheng, 2021. "Macro News and Micro News: Complements or Substitutes?," NBER Working Papers 28931, National Bureau of Economic Research, Inc.
    6. Juan Angel Garcia & Sebastian Werner, 2018. "Inflation News and Euro Area Inflation Expectations," IMF Working Papers 2018/167, International Monetary Fund.
    7. Born, Benjamin & Dovern, Jonas & Enders, Zeno, 2020. "Expectation dispersion, uncertainty, and the reaction to news," Working Papers 29, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
    8. Alessio Emanuele Biondo, 2020. "Information versus imitation in a real-time agent-based model of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 613-631, July.
    9. Park, Yang-Ho, 2022. "Informed trading in foreign exchange futures: Payroll news timing," Journal of Banking & Finance, Elsevier, vol. 135(C).
    10. Park , Cyn-Young & Tian , Shu & Zhao , Bo, 2020. "Global Bitcoin Markets and Local Regulations," ADB Economics Working Paper Series 605, Asian Development Bank.
    11. Kurov, Alexander & Sancetta, Alessio & Wolfe, Marketa Halova, 2022. "Drift Begone! Release policies and preannouncement informed trading," Journal of International Money and Finance, Elsevier, vol. 128(C).
    12. Benjamin Gardner & Chiara Scotti & Clara Vega, 2021. "Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements," Finance and Economics Discussion Series 2021-074, Board of Governors of the Federal Reserve System (U.S.).
    13. Neuhierl, Andreas & Weber, Michael, 2019. "Monetary policy communication, policy slope, and the stock market," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 140-155.
    14. Ehrmann, Michael & Hubert, Paul, 2023. "Information acquisition ahead of monetary policy announcements," Working Paper Series 2770, European Central Bank.
    15. Danilo Cascaldi-Garcia & Thiago Revil T. Ferreira & Domenico Giannone & Michele Modugno, 2021. "Back to the Present: Learning about the Euro Area through a Now-casting Model," International Finance Discussion Papers 1313, Board of Governors of the Federal Reserve System (U.S.).
    16. Christoph E. Boehm & T. Niklas Kroner, 2023. "The US, Economic News, and the Global Financial Cycle," NBER Working Papers 30994, National Bureau of Economic Research, Inc.
    17. Han, Seung-Oh & Huh, Sahn-Wook & Park, Jeayoung, 2023. "Detecting jumps amidst prevalent zero returns: Evidence from the U.S. Treasury securities," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 276-307.
    18. Park, Yang-Ho, 2022. "Spread position as a leading economic indicator," Journal of Financial Markets, Elsevier, vol. 59(PA).
    19. James, Robert & Jarnecic, Elvis & Leung, Henry, 2022. "Who Values Economist Forecasts? Evidence From Trading in Treasury Markets," Journal of Financial Intermediation, Elsevier, vol. 49(C).
    20. Alena Audzeyeva & Xu Wang, 2023. "Fundamentals, real-time uncertainty and CDS index spreads," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 1-33, July.
    21. Vilhelmsson, Anders, 2020. "Macro news and long-run volatility expectations," Knut Wicksell Working Paper Series 2020/1, Lund University, Knut Wicksell Centre for Financial Studies.
    22. Ibrahim Bello Abdullahi, 2020. "Effect of Unstable Macroeconomic Indicators on Banking Sector Stock Price Behaviour in Nigerian Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 10(2), pages 1-5.
    23. Alberto Caruso, 2018. "Macroeconomic News and Market Reaction: Surprise Indexes meet Nowcasting," Working Papers ECARES 2018-06, ULB -- Universite Libre de Bruxelles.
    24. Ciminelli, Gabriele & Rogers, John & Wu, Wenbin, 2022. "The effects of U.S. monetary policy on international mutual fund investment," Journal of International Money and Finance, Elsevier, vol. 127(C).
    25. Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
    26. Peter Tillmann, 2020. "Macroeconomic Surprises and the Demand for Information about Monetary Policy," MAGKS Papers on Economics 202007, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    27. Daniel Perico Ortiz, 2023. "Economic policy statements, social media, and stock market uncertainty: An analysis of Donald Trump’s tweets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 333-367, June.
    28. Gene Birz & Sandip Dutta & Han Yu, 2022. "Economic forecasts, anchoring bias, and stock returns," Financial Management, Financial Management Association International, vol. 51(1), pages 169-191, March.
    29. Mukherjee, Abhiroop & Panayotov, George & Shon, Janghoon, 2021. "Eye in the sky: Private satellites and government macro data," Journal of Financial Economics, Elsevier, vol. 141(1), pages 234-254.
    30. Peter Tillmann, 2023. "Macroeconomic Surprises and the Demand for Information about Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 19(2), pages 351-388, June.
    31. Perico Ortiz, Daniel, 2021. "The high frequency impact of economic policy narratives on stock market uncertainty," FAU Discussion Papers in Economics 02/2021, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.

  8. Strasser, Georg, 2017. "What determines the impact of macroeconomic news on asset markets?," Research Bulletin, European Central Bank, vol. 37.

    Cited by:

    1. Jeffrey A. Frankel & Ayako Saiki, 2017. "Does It Matter If Statistical Agencies Frame the Month’s CPI Reporton a 1-Month or 12-month Basis?," NBER Working Papers 23754, National Bureau of Economic Research, Inc.

  9. Georg Strasser & Marketa Halova Wolfe, 2014. "Learning to Argue with Intermediate Macro Theory: A Semester-Long Team Writing Project," The Journal of Economic Education, Taylor & Francis Journals, vol. 45(3), pages 191-210, September.
    See citations under working paper version above.
  10. Strasser, Georg, 2013. "Exchange rate pass-through and credit constraints," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 25-38.
    See citations under working paper version above.
  11. Francis X. Diebold & Georg Strasser, 2013. "On the Correlation Structure of Microstructure Noise: A Financial Economic Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 80(4), pages 1304-1337.
    See citations under working paper version above.
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