Global Spillovers of the Fed Information Effect

2021 ◽  
Author(s):  
Marco Pinchetti ◽  
Andrzej Szczepaniak
Keyword(s):  
Information Effect

Is bigger more effective? shock size and the efficacy of monetary policy

2021 ◽  
pp. 1-10
Author(s):  
Toyoichiro Shirota
Keyword(s):  
Monetary Policy ◽  
Projection Method ◽  
Monetary Policy Shocks ◽  
Information Effect ◽  
Local Projection ◽  
Policy Effects ◽  
Potential Source ◽  
The Us ◽  
Policy Shocks ◽  
Us Monetary Policy

Abstract This study empirically examines whether shock size matters for the US monetary policy effects. Using a nonlinear local projection method, I find that large monetary policy shocks are less powerful than smaller monetary policy shocks, with the information effect being the potential source of the observed asymmetry in monetary policy efficacy.

scholarly journals Japan’s voluntary lockdown: further evidence based on age-specific mobile location data

2021 ◽  
Author(s):  
Tsutomu Watanabe ◽  
Tomoyoshi Yabu
Keyword(s):  
Age Groups ◽  
Evidence Based ◽  
Intervention Effect ◽  
Information Effect ◽  
Mobile Location ◽  
Serious Illness ◽  
Location Data ◽  
Voluntary Response ◽  
Younger Age ◽  
Age Profile

AbstractChanges in people’s behavior during the COVID-19 pandemic can be regarded as the result of two types of effects: the “intervention effect” (changes resulting from government orders for people to change their behavior) and the “information effect” (voluntary changes in people’s behavior based on information about the pandemic). Using age-specific mobile location data, we examine how the intervention and information effects differ across age groups. Our main findings are as follows. First, the age profile of the intervention effect shows that the degree to which people refrained from going out was smaller for older age groups, who are at a higher risk of serious illness and death, than for younger age groups. Second, the age profile of the information effect shows that the degree to which people stayed at home tended to increase with age for weekends and holidays. Thus, while Acemoglu et al. (2020) proposed targeted lockdowns requiring stricter lockdown policies for the oldest group in order to protect those at a high risk of serious illness and death, our findings suggest that Japan’s government intervention had a very different effect in that it primarily reduced outings by the young, and what led to the quarantining of older groups at higher risk instead was people’s voluntary response to information about the pandemic. Third, the information effect has been on a downward trend since the summer of 2020. It is relatively more pronounced among the young, so that the age profile of the information effect remains upward sloping.

scholarly journals Liquidity Benefits from IPO Underpricing: Ownership Dispersion or Information Effect

2015 ◽  
Vol 44 (4) ◽  
pp. 785-810 ◽  
Author(s):  
Nesrine Bouzouita ◽  
Jean-François Gajewski ◽  
Carole Gresse
Keyword(s):  
Ipo Underpricing ◽  
Information Effect

scholarly journals Information Effect of Entry into Credit Ratings Market: The Case of Insurers' Ratings

2011 ◽  
Author(s):  
Neil A. Doherty ◽  
Anastasia V. Kartasheva ◽  
Richard D. Phillips
Keyword(s):  
Credit Ratings ◽  
Information Effect

Block trading, information asymmetry, and the informativeness of trading

2015 ◽  
Vol 5 (3) ◽  
pp. 215-235 ◽  
Author(s):  
Ningning Pan ◽  
Hongquan Zhu
Keyword(s):  
Information Asymmetry ◽  
High Frequency ◽  
Stock Return ◽  
High Frequency Data ◽  
Individual Investors ◽  
Specific Information ◽  
Frequency Data ◽  
Information Effect ◽  
Content Type ◽  
Two Measures

Purpose – The purpose of this paper is to investigate how block trading and asymmetric information contribute to the firm-specific information measured by the stock return synchronicity. Based on China stock market which is dominated by individual investors, this study focus on whether traders of block trading, which are usually institutional investors, are “information trader.” Design/methodology/approach – Based on the high frequency data, the paper constructs two measures of information asymmetry, intraday measure and inter-day measure. Then the paper constructs a multiple regression model and examine how block trading and information asymmetry contribute to the firm-specific information measured by the stock return synchronicity. Findings – The results show that: on the one hand, block trading transmits more firm-specific information, and can reduce the synchronicity; on the other hand, when the degree of information asymmetry is higher, block trading contains more firm-specific information and has a stronger effect on synchronicity. The effect of information asymmetry specifically displays as: block trading during the first half-hour of the trading day has a stronger effect on synchronicity; and block trading occurred in the days with publicly announced trading information has greater impact on synchronicity. Practical implications – The conclusions have important practical implications: for market regulators, monitoring for block trading can improve the recognition and prevention of insider trading; for individual investors, especially the risk aversion investors, recognition of intraday and inter-day information asymmetry is beneficial for them to avoid the risk of asymmetric information. Originality/value – First, the domestic and foreign research mostly concentrated impact of block trading on stock prices. However, reasons of stock price changes include the information effect and non-information effect, this paper selects stock return synchronicity as firm-specific information measure, and mainly focus on the information effect of block trading. Second, based on the high frequency data, the paper constructs two measures of information asymmetry, intraday measure and inter-day measure. Compared with general measure of information asymmetry, such as firm size, earnings quality, the two measures based on high frequency data are more precisely.

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