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

Author:
Wohlfarth, Paul
Source:
Economics letters 2018 v.173 pp. 15-18
ISSN:
0165-1765
Subject:
assets, income, markets, monetary policy, United States
Abstract:
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.
Agid:
6129841