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    Measuring the impact of monetary policy attention on global asset volatility using search data

    Wohlfarth, Paul (2018) Measuring the impact of monetary policy attention on global asset volatility using search data. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    We study monetary policy introducing a novel measure for policy attention based on Google Trends data. We apply the obtained indices to fixed income data for the US and the Eurozone in a specification motivated by a preferred-habitat model to test for monetary policy transmission domestically and internationally. Our findings suggest an impact of monetary policy on variance processes only and provides evidence for an international channel of monetary transmission on both money and capital markets. This is, to our knowledge, the first attempt to use search-engine data in the context of monetary policy.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BWPEF 1803
    Keyword(s) / Subject(s): Keywords: attention, internet search, Google, monetary policy, ECB, FED, international financial markets, macro-finance, sovereign bonds, international finance, bond markets, preferred habitat models
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 25 Mar 2019 11:26
    Last Modified: 05 Jul 2020 03:16
    URI: http://eprints.bbk.ac.uk/id/eprint/26852

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