Transparency of the Federal Reserve, a Force of Stability or Volatility in Financial Markets Post 2008 and Prior to COVID-19?
The purpose of this article is to analyze how the Central Bank of the United States, the Federal Reserve’s decision to provide greater transparency after the Financial Crisis of 2008 impacted the volatility in financial markets. This study uses five Chicago Board Options Exchange Volatility Indices...
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| Main Authors: | , |
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| Format: | Article |
| Language: | deu |
| Published: |
Lodz University Press
2024-12-01
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| Series: | Finanse i Prawo Finansowe |
| Subjects: | |
| Online Access: | https://czasopisma.uni.lodz.pl/fipf/article/view/24779 |
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| _version_ | 1832582645527085056 |
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| author | Carolyne C. Soper Monika K. Sywak |
| author_facet | Carolyne C. Soper Monika K. Sywak |
| author_sort | Carolyne C. Soper |
| collection | DOAJ |
| description | The purpose of this article is to analyze how the Central Bank of the United States, the Federal Reserve’s decision to provide greater transparency after the Financial Crisis of 2008 impacted the volatility in financial markets. This study uses five Chicago Board Options Exchange Volatility Indices as a proxy for overall market volatility and attempts to capture their deviances from expected returns. The event dates identified are when the United States Federal Reserve met and released their “summary of economic predictions”.
The methodology deployed uses an event study framework on daily financial market data from the Federal Open Market Committee (FOMC) meeting days, to determine how an increased availability of information impacted financial markets in the period of January 2008 – January 2020.
The results of the empirical analysis do not reveal abnormal returns pre or post the event dates. This finding suggests that the FOMC announcements did not lead to significant abnormal returns of the analyzed assets. |
| format | Article |
| id | doaj-art-7b94522c0def4391ab599854f5e4e4a1 |
| institution | Kabale University |
| issn | 2391-6478 2353-5601 |
| language | deu |
| publishDate | 2024-12-01 |
| publisher | Lodz University Press |
| record_format | Article |
| series | Finanse i Prawo Finansowe |
| spelling | doaj-art-7b94522c0def4391ab599854f5e4e4a12025-01-29T13:37:24ZdeuLodz University PressFinanse i Prawo Finansowe2391-64782353-56012024-12-01294010.18778/2391-6478.S1.2024.0225349Transparency of the Federal Reserve, a Force of Stability or Volatility in Financial Markets Post 2008 and Prior to COVID-19?Carolyne C. Soper0https://orcid.org/0000-0001-9037-138XMonika K. Sywak1https://orcid.org/0000-0002-3885-0532Department of Economics, Central Connecticut State University New BritainDepartment of Finance and Real Estate Villanova, Villanova University The purpose of this article is to analyze how the Central Bank of the United States, the Federal Reserve’s decision to provide greater transparency after the Financial Crisis of 2008 impacted the volatility in financial markets. This study uses five Chicago Board Options Exchange Volatility Indices as a proxy for overall market volatility and attempts to capture their deviances from expected returns. The event dates identified are when the United States Federal Reserve met and released their “summary of economic predictions”. The methodology deployed uses an event study framework on daily financial market data from the Federal Open Market Committee (FOMC) meeting days, to determine how an increased availability of information impacted financial markets in the period of January 2008 – January 2020. The results of the empirical analysis do not reveal abnormal returns pre or post the event dates. This finding suggests that the FOMC announcements did not lead to significant abnormal returns of the analyzed assets.https://czasopisma.uni.lodz.pl/fipf/article/view/24779federal open market committeetransparencycentral bankmonetary policyfinancial marketsvolatilitymarket efficiency |
| spellingShingle | Carolyne C. Soper Monika K. Sywak Transparency of the Federal Reserve, a Force of Stability or Volatility in Financial Markets Post 2008 and Prior to COVID-19? Finanse i Prawo Finansowe federal open market committee transparency central bank monetary policy financial markets volatility market efficiency |
| title | Transparency of the Federal Reserve, a Force of Stability or Volatility in Financial Markets Post 2008 and Prior to COVID-19? |
| title_full | Transparency of the Federal Reserve, a Force of Stability or Volatility in Financial Markets Post 2008 and Prior to COVID-19? |
| title_fullStr | Transparency of the Federal Reserve, a Force of Stability or Volatility in Financial Markets Post 2008 and Prior to COVID-19? |
| title_full_unstemmed | Transparency of the Federal Reserve, a Force of Stability or Volatility in Financial Markets Post 2008 and Prior to COVID-19? |
| title_short | Transparency of the Federal Reserve, a Force of Stability or Volatility in Financial Markets Post 2008 and Prior to COVID-19? |
| title_sort | transparency of the federal reserve a force of stability or volatility in financial markets post 2008 and prior to covid 19 |
| topic | federal open market committee transparency central bank monetary policy financial markets volatility market efficiency |
| url | https://czasopisma.uni.lodz.pl/fipf/article/view/24779 |
| work_keys_str_mv | AT carolynecsoper transparencyofthefederalreserveaforceofstabilityorvolatilityinfinancialmarketspost2008andpriortocovid19 AT monikaksywak transparencyofthefederalreserveaforceofstabilityorvolatilityinfinancialmarketspost2008andpriortocovid19 |