Adra, S. orcid.org/0000-0002-0187-2607 and Menassa, E. (2021) Monetary policy and information production in the secondary market. Economics Letters, 207. 110044. ISSN 0165-1765
Abstract
This paper studies the effect of Federal Reserve decisions on information production in the secondary market. We distinguish conventional monetary shocks from those conveying new economic information. Monetary contraction in the conventional sense leads information-driven traders to intensify their information production activity. In contrast, monetary contraction that conveys positive economic news reduces information production in the secondary market. In terms of influencing price informativeness, the Fed’s information shocks are more impactful than the conventional shocks.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | Crown Copyright © 2021 Published by Elsevier B.V. This is an author produced version of a paper subsequently published in Economics Letters. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/). |
Keywords: | Federal Reserve; Informed trading; Monetary policy; Information shocks |
Dates: |
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Institution: | The University of Sheffield |
Academic Units: | The University of Sheffield > Faculty of Social Sciences (Sheffield) > Management School (Sheffield) |
Depositing User: | Symplectic Sheffield |
Date Deposited: | 13 Sep 2021 09:03 |
Last Modified: | 23 Feb 2023 01:13 |
Status: | Published |
Publisher: | Elsevier BV |
Refereed: | Yes |
Identification Number: | 10.1016/j.econlet.2021.110044 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:178111 |