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Measuring the impact of monetary policy attention on global asset volatility using search data
- Wohlfarth, Paul
- Economics letters 2018 v.173 pp. 15-18
- assets, income, markets, monetary policy, United States
- We study monetary policy introducing a novel index for policy attention based on daily Google Trends data. This index is used in a high-frequency analysis of volatility spill-overs on US and European fixed income markets. Policy attention contains significant information on asset variances and the international transmission of policy.