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dc.contributor.authorSmales, Lee
dc.contributor.authorApergis, N.
dc.identifier.citationSmales, L. and Apergis, N. 2017. Understanding the impact of monetary policy announcements: The importance of language and surprises. Journal of Banking and Finance. 80: pp. 33-50.

© 2017 Elsevier B.V.Monetary policy announcements have a significant impact on financial market liquidity. This study provides a novel perspective on the factors driving this relationship in the market for 10-year Treasury note futures: Target rate surprises and the complexity of the monetary policy statement language are important determinants. Differences of opinion resulting from interpretation of complex language appear to result in more trading volume despite relatively low levels of liquidity (a negative liquidity-volume relationship), while large target rate surprises reduce trading activity (a positive liquidity-volume relationship). The dynamic changes over time, as unconventional polices are adopted by monetary authorities and, high frequency traders become more pervasive. Central bankers may aid market liquidity by minimizing surprises, and issuing statements that are easier to understand (with shorter sentences and more familiar words).

dc.titleUnderstanding the impact of monetary policy announcements: The importance of language and surprises
dc.typeJournal Article
dcterms.source.titleJournal of Banking and Finance
curtin.departmentSchool of Economics and Finance
curtin.accessStatusFulltext not available

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