create a website

The role of central bank communication in the long-term stock-bond correlations: Evidence from China. (2024). Wang, Yanning.
In: Finance Research Letters.
RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009231.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 32

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Andersson, M. ; Dillén, H. ; Sellin, P. Monetary policy signaling and movements in the term structure of interest rates. 2006 J. Monet. Econ.. 53 1815-1855

  2. Aslanidis, N. ; Christiansen, C. ; Savva, C.S. Flight-to-safety and the risk-return trade-off: European evidence. 2020 Finance Res. Lett.. 35 -

  3. Baele, L. ; Bekaert, G. ; Inghelbrecht, K. ; Wei, M. Flights to safety. 2020 Rev. Financ. Stud.. 33 689-746
    Paper not yet in RePEc: Add citation now
  4. Baranowski, P. ; Bennani, H. ; Doryń, W. Stock price reaction to ECB communication: introductory Statements vs. Questions & Answers. 2023 Finance Res. Lett.. 52 -

  5. Barsky, R.B. Why don't the prices of stocks and bonds move together?. 1989 Am. Econ. Rev.. 79 1132-1145

  6. Bennani, H. Does people's bank of China communication matter? evidence from stock market reaction. 2019 Emerg. Mark. Rev.. 40 10061-

  7. Boyd, J.H. ; Hu, J. ; Jagannathan, R. The stock market's reaction to unemployment news: why bad news is usually good for stocks. 2005 J. Finance.. 60 649-672

  8. Campbell, J.Y. ; Ammer, J. What moves the stock and bond markets? a variance decomposition for long-term asset returns. 1993 J. Finance.. 48 3-37

  9. Colacito, R. ; Engle, R.F. ; Ghysels, E. A component model for dynamic correlations. 2011 J. Econom.. 164 45-59

  10. Conrad, C. ; Loch, K. ; Rittler, D. On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets. 2014 J. Empir. Finance.. 29 26-40

  11. David, A. ; Veronesi, P. What ties return volatilities to price valuations and fundamentals?. 2013 J. Polit. Econ.. 121 682-746

  12. de Haan, J. ; Hoogduin, L. ECB communication policies: an overview and comparison with the Federal Reserve. 2024 J. Int. Money Finance.. 142 -

  13. Deng, C. ; Su, X. ; Wang, G. ; Peng, C. The existence of flight-to-quality under extreme conditions: evidence from a nonlinear perspective in Chinese stocks and bonds’ sectors. 2022 Econ. Model.. 113 -

  14. Du, X. ; Cheng, J. ; Zhu, D. ; Xing, M. Does central bank communication on financial stability work? ——An empirical study based on Chinese stock market. 2023 Int. Rev. Econ. Finance.. 85 390-407

  15. Ehrmann, M. ; Talmi, J. Starting from a blank page? Semantic similarity in central bank communication and market volatility. 2020 J. Monet. Econ.. 111 48-62

  16. Galvani, V. The value premium during flights. 2021 Finance Res. Lett.. 39 -

  17. Gertler, P. ; Horváth, R. ; Jonášová, J. Central bank communication and financial market comovements in the euro area. 2020 Open Econ. Rev.. 31 257-272

  18. Hansen, S. ; McMahon, M. Shocking language: understanding the macroeconomic effects of central bank communication. 2016 J. Int. Econ.. 99 S114-S133

  19. Hansen, S. ; McMahon, M. ; Prat, A. Transparency and deliberation within the FOMC: a computational linguistics approach*. 2018 Q. J. Econ.. 133 801-870

  20. Hodrick, R.J. ; Prescott, E.C. Postwar U.S. business cycles: an empirical investigation. 1997 J. Money Credit Bank.. 29 1-16

  21. Jiang, F. ; Lee, J. ; Martin, X. ; Zhou, G. Manager sentiment and stock returns. 2019 J. Financ. Econ.. 132 126-149

  22. Kozak, S. Dynamics of bond and stock returns. 2022 J. Monet. Econ.. 126 188-209

  23. Liu, H.H. ; Wang, T.K. ; Li, W. Dynamical volatility and correlation among us stock and treasury bond cash and futures markets in presence of financial crisis: a copula approach. 2019 Res. Int. Bus. Finance.. 48 381-396

  24. Odu, A.T. ; Aminu, U. ; Ado, N. New evidence from the monetary policy communication and inflation expectations nexus in Africa. 2024 Sci. Afr.. 23 e01993-
    Paper not yet in RePEc: Add citation now
  25. Perego, E.R. ; Vermeulen, W.N. Macro-economic determinants of European stock and government bond correlations: a tale of two regions. 2016 J. Empir. Finance.. 37 214-232

  26. Ponrajah, J. ; Ning, C. Stock–bond dependence and flight to/from quality. 2023 Int. Rev. Financ. Anal.. 86 -
    Paper not yet in RePEc: Add citation now
  27. Schmeling, M. ; Wagner, C. Does central bank tone move asset prices?. 2024 J. Financ. Quant. Anal.. 1-48
    Paper not yet in RePEc: Add citation now
  28. Si, D.K. ; Liu, X.H. ; Kong, X. The co-movement and causality between stock market cycle and business cycle in China: evidence from a wavelet analysis. 2019 Econ. Model.. 83 17-30

  29. Skintzi, V.D. Determinants of stock-bond market comovement in the Eurozone under model uncertainty. 2019 Int. Rev. Financ. Anal.. 61 20-28

  30. Vayanos, D. Flight to Quality, Flight to Liquidity, and the Pricing of Risk. 2004 National Bureau of Economic Research: Cambridge, MA

  31. Xiong, Y. ; Shen, J. ; Yoon, S.M. ; Dong, X. Macroeconomic determinants of the long-term correlation between stock and exchange rate markets in China: a DCC-MIDAS-X approach considering structural breaks. 2024 Finance Res. Lett.. 61 -

  32. Yang, J. ; Zhou, Y. ; Wang, Z. The stock-bond correlation and macroeconomic conditions: one and a half centuries of evidence. 2009 J. Bank. Finance.. 33 670-680

Cocites

Documents in RePEc which have cited the same bibliography

  1. Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending. (2017). Zhang, Xin ; Hull, Isaiah ; Bertsch, Christoph.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:442.

    Full description at Econpapers || Download paper

  2. Effects of monetary policy announcements on exchange rate volatility: an analysis for Colombia, 2008-2015. (2017). Galvis Ciro, Juan Camilo ; de Moraes, Claudio ; Anzoátegui Zapata, Juan ; Anzoategui, Juan .
    In: Lecturas de Economía.
    RePEc:lde:journl:y:2017:i:87:p:67-95.

    Full description at Econpapers || Download paper

  3. Central bank transparency and cross-border banking. (2017). Tonzer, Lena ; Eichler, Stefan.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:74:y:2017:i:c:p:1-30.

    Full description at Econpapers || Download paper

  4. Efectos de los anuncios de política monetaria sobre la volatilidad de la tasa de cambio: un análisis para Colombia, 2008-2015. (2017). Galvis Ciro, Juan Camilo ; de Moraes, Claudio ; Anzoátegui Zapata, Juan ; Anzoategui, Juan Camilo.
    In: Revista Lecturas de Economía.
    RePEc:col:000174:015708.

    Full description at Econpapers || Download paper

  5. Qualitative and quantitative central bank communication and inflation expectations. (2017). Hubert, Paul ; Paul, Hubert.
    In: The B.E. Journal of Macroeconomics.
    RePEc:bpj:bejmac:v:17:y:2017:i:1:p:41:n:7.

    Full description at Econpapers || Download paper

  6. RESPONSES OF TERM STRUCTURE OF INTEREST RATES AND ASSET PRICES TO MONETARY POLICY SHOCKS: EVIDENCE FROM TURKEY. (2017). Yildirim-Karaman, Secil ; Eroglu, Burak.
    In: Working Papers.
    RePEc:bli:wpaper:1705.

    Full description at Econpapers || Download paper

  7. Openness and Structural Labour Market Reforms: Counterfactuals for Lithuania. (2016). Lastauskas, Povilas ; Enas, Julius Stak.
    In: Bank of Lithuania Discussion Paper Series.
    RePEc:lie:dpaper:1.

    Full description at Econpapers || Download paper

  8. Expectations Hypothesis and Term Structure of Interest Rates: An Evidence from Emerging Market. (2016). Shijin, Santhakumar ; Shareef, Hassan .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:23:y:2016:i:2:d:10.1007_s10690-016-9212-z.

    Full description at Econpapers || Download paper

  9. Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility. (2016). Talmi, Jonathan ; Ehrmann, Michael.
    In: Staff Working Papers.
    RePEc:bca:bocawp:16-37.

    Full description at Econpapers || Download paper

  10. DOES CENTRAL BANK’S PERCEPTION REGARDING THE STATE OF THE ECONOMY AFFECT ENTREPRENEURS’ EXPECTATIONS? ARE ENTREPRENEURS’ EXPECTATIONS IMPORTANT FOR INVESTMENT? EMPIRICAL EVIDENCE FROM BRAZIL. (2016). Montes, Gabriel ; Cacicedo, Thiago ; Cidad, Thiago Cacicedo .
    In: Anais do XLIII Encontro Nacional de Economia [Proceedings of the 43rd Brazilian Economics Meeting].
    RePEc:anp:en2015:035.

    Full description at Econpapers || Download paper

  11. Financial market reaction to Federal Reserve communications: Does the global financial crisis make a difference?. (2015). Neuenkirch, Matthias ; Kutan, Ali ; Hayo, Bernd.
    In: Empirica.
    RePEc:kap:empiri:v:42:y:2015:i:1:p:185-203.

    Full description at Econpapers || Download paper

  12. Central bank’s perception on inflation and inflation expectations of experts. (2015). Nicolay, Rodolfo ; Montes, Gabriel ; da Fonseca, Rodolfo Tomas.
    In: Journal of Economic Studies.
    RePEc:eme:jespps:v:42:y:2015:i:6:p:1142-1158.

    Full description at Econpapers || Download paper

  13. Central bank communication in the financial crisis: Evidence from a survey of financial market participants. (2015). Neuenkirch, Matthias ; Hayo, Bernd.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:59:y:2015:i:c:p:166-181.

    Full description at Econpapers || Download paper

  14. How Monetary Policy is Made: Two Canadian Tales. (2014). Siklos, Pierre ; Neuenkirch, Matthias ; Pierre L. Siklos, Matthias Neuenkirch, .
    In: LCERPA Working Papers.
    RePEc:wlu:lcerpa:0075.

    Full description at Econpapers || Download paper

  15. Disentangling qualitative and quantitative central bank influence. (2014). Hubert, Paul.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/2t6uivimtr9438i2qqu6kgfded.

    Full description at Econpapers || Download paper

  16. Disentangling qualitative and quantitative central bank influence. (2014). Hubert, Paul.
    In: Working Papers.
    RePEc:hal:wpaper:hal-01098464.

    Full description at Econpapers || Download paper

  17. Disentangling qualitative and quantitative central bank influence. (2014). Hubert, Paul.
    In: Documents de Travail de l'OFCE.
    RePEc:fce:doctra:1423.

    Full description at Econpapers || Download paper

  18. Dissent in monetary policy decisions. (2014). Ruge-Murcia, Francisco ; Riboni, Alessandro.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:66:y:2014:i:c:p:137-154.

    Full description at Econpapers || Download paper

  19. Sensitivity analysis for robust design of building energy systems. (2014). Bornatico, Raffaele ; Benz, Michael J. ; Petrini, Flavio ; Ashouri, Araz .
    In: Energy.
    RePEc:eee:energy:v:76:y:2014:i:c:p:264-275.

    Full description at Econpapers || Download paper

  20. Central bank swap line effectiveness during the euro area sovereign debt crisis. (2013). Moessner, Richhild ; Allen, William.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:35:y:2013:i:c:p:167-178.

    Full description at Econpapers || Download paper

  21. Market anticipation of monetary policy actions and interest rate transmission to US Treasury market rates. (2013). Papadamou, Stephanos.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:33:y:2013:i:c:p:545-551.

    Full description at Econpapers || Download paper

  22. Market expectations of the short rate and the term structure of interest rates: a new perspective from the classic model. (2012). Ye, Xiaoxia.
    In: MPRA Paper.
    RePEc:pra:mprapa:41093.

    Full description at Econpapers || Download paper

  23. Monetary policy communication in Turkey. (2012). Özbay Özlü, Pınar ; Kara, Hakan ; Demiralp, Selva.
    In: European Journal of Political Economy.
    RePEc:eee:poleco:v:28:y:2012:i:4:p:540-556.

    Full description at Econpapers || Download paper

  24. Managing financial market expectations: The role of central bank transparency and central bank communication. (2012). Neuenkirch, Matthias.
    In: European Journal of Political Economy.
    RePEc:eee:poleco:v:28:y:2012:i:1:p:1-13.

    Full description at Econpapers || Download paper

  25. Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system. (2012). Tian, Shu ; Fan, Longzhen ; Zhang, Chu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:1:p:239-248.

    Full description at Econpapers || Download paper

  26. Mexico: what is the impact of monetary policy on unemployment rates?. (2012). Cortez, Willy ; Islas, Alejandro.
    In: Revista CEPAL.
    RePEc:ecr:col070:11600.

    Full description at Econpapers || Download paper

  27. Monetary Policy Communication Under Inflation Targeting : Do Words Speak Louder Than Actions?. (2011). Özbay Özlü, Pınar ; Kara, Hakan ; Demiralp, Selva ; Ozlu, Pinar.
    In: Working Papers.
    RePEc:tcb:wpaper:1118.

    Full description at Econpapers || Download paper

  28. Dissent in Monetary Policy Decisions. (2011). Ruge-Murcia, Francisco ; Riboni, Alessandro.
    In: Cahiers de recherche.
    RePEc:mtl:montec:06-2011.

    Full description at Econpapers || Download paper

  29. Dissent in Monetary Policy Decisions. (2011). Ruge-Murcia, Francisco ; Riboni, Alessandro.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2011-05.

    Full description at Econpapers || Download paper

  30. Monetary policy communication under inflation targeting: Do words speak louder than actions?. (2011). Kara, Hakan ; Demiralp, Selva ; zlu, Pnar .
    In: Koç University-TUSIAD Economic Research Forum Working Papers.
    RePEc:koc:wpaper:1128.

    Full description at Econpapers || Download paper

  31. Communication of Central Bank Thinking and Inflation Dynamics. (2011). Yu, Xiangrong ; Tang, Man-Keung.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2011/209.

    Full description at Econpapers || Download paper

  32. Dissent in Monetary Policy Decisions. (2011). Ruge-Murcia, Francesco ; Riboni, Alessandro.
    In: Economics Papers from University Paris Dauphine.
    RePEc:dau:papers:123456789/7718.

    Full description at Econpapers || Download paper

  33. Monetary Policy in the Media. (2011). Fratzscher, Marcel ; Ehrmann, Michael ; Berger, Helge.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8192.

    Full description at Econpapers || Download paper

  34. The reaction of asset markets to Swiss National Bank communication. (2010). Rossi, Enzo ; Ranaldo, Angelo.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:3:p:486-503.

    Full description at Econpapers || Download paper

  35. Chinas official rates and bond yields. (2010). Johansson, Anders ; Fan, Longzhen.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:5:p:996-1007.

    Full description at Econpapers || Download paper

  36. WHAT MOVES BOND YIELDS IN CHINA?. (2009). Johansson, Anders ; Fan, Longzhen.
    In: Working Paper Series.
    RePEc:hhs:hacerc:2009-009.

    Full description at Econpapers || Download paper

  37. CHINAS OFFICIAL RATES AND BOND YIELDS. (2009). Johansson, Anders ; Fan, Longzhen.
    In: Working Paper Series.
    RePEc:hhs:hacerc:2009-003.

    Full description at Econpapers || Download paper

  38. ECB Monetary Policy and Term Structure of Interest Rates in the Euro Area: an Empirical Analysis. (2009). Guidi, Francesco ; Cossetti, Filippo.
    In: Working Papers.
    RePEc:anc:wpaper:334.

    Full description at Econpapers || Download paper

  39. Talking about Monetary Policy: The Virtues (and Vices?) of Central Bank Communication. (2008). Blinder, Alan S.
    In: Working Papers.
    RePEc:pri:cepsud:164blinder.pdf.

    Full description at Econpapers || Download paper

  40. Talking about Monetary Policy: The Virtues (and Vices?) of Central Bank Communication. (2008). .
    In: Working Papers.
    RePEc:pri:cepsud:164blinder.

    Full description at Econpapers || Download paper

  41. Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence. (2008). Ehrmann, Michael ; Fratzscher, Marcel ; de Haan, Jakob ; Jansen, David-Jan ; Blinder, Alan S.
    In: Working Papers.
    RePEc:pri:cepsud:161blinder.pdf.

    Full description at Econpapers || Download paper

  42. Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence. (2008). Fratzscher, Marcel ; de Haan, Jakob ; Jansen, David-Jan.
    In: Working Papers.
    RePEc:pri:cepsud:161blinder.

    Full description at Econpapers || Download paper

  43. Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence. (2008). Jansen, David-Jan ; Fratzscher, Marcel ; Ehrmann, Michael ; de Haan, Jakob ; Blinder, Alan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13932.

    Full description at Econpapers || Download paper

  44. It’s not only WHAT is said, it’s also WHO the speaker is. Evaluating the effectiveness of central bank communication. (2008). Rozkrut, Marek.
    In: NBP Working Papers.
    RePEc:nbp:nbpmis:47.

    Full description at Econpapers || Download paper

  45. Daily monetary policy shocks and new home sales. (2008). Hamilton, James.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:55:y:2008:i:7:p:1171-1190.

    Full description at Econpapers || Download paper

  46. Central Bank communication and monetary policy: a survey of theory and evidence. (2008). Jansen, David-Jan ; Fratzscher, Marcel ; Ehrmann, Michael ; de Haan, Jakob ; Blinder, Alan.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2008898.

    Full description at Econpapers || Download paper

  47. Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence. (2008). Blinder, Alan.
    In: Working Papers.
    RePEc:dnb:dnbwpp:170.

    Full description at Econpapers || Download paper

  48. Central Bank Communication and Monetary Policy: A Survey of Theory and Evidence. (2008). Jansen, David-Jan ; Fratzscher, Marcel ; Ehrmann, Michael ; de Haan, Jakob ; Blinder, Alan.
    In: Journal of Economic Literature.
    RePEc:aea:jeclit:v:46:y:2008:i:4:p:910-45.

    Full description at Econpapers || Download paper

  49. Social value of public information: testing the limits to transparency. (2007). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2007821.

    Full description at Econpapers || Download paper

  50. Explaining monetary policy in press conferences. (2007). Fratzscher, Marcel ; Ehrmann, Michael.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2007767.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-22 00:45:21 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.