Impact of uncertainty on high frequency response of the U.S. stock markets to the Fed's policy surprises

• Main Author: Marfatia, Hardik A.
• Format: Article in Journal/Newspaper
• Language: unknown
• Subjects: Lucas Island
• Online Access: http://www.sciencedirect.com/science/article/pii/S1062976913000975

This paper examines the impact of uncertainty on estimated response of stock returns to U.S. monetary policy surprise. This is motivated by the Lucas island model which suggests an inverse relationship between the effectiveness of a policy and the level of uncertainty in the economy. Using high freq...