TY - JOUR
T1 - Central bank policy announcements and changes in trading behavior
T2 - Evidence from bond futures high frequency price data
AU - Kamada, Koichiro
AU - Kurosaki, Tetsuo
AU - Miura, Ko
AU - Yamada, Tetsuya
N1 - Funding Information:
☆ The presented research started when Kamada and Kurosaki were affiliated with the Bank of Japan. The authors would like to thank Sergio Mayordomo Gomez, Kentaro Iwatsubo, Fabio Moneta, Makoto Nirei, Yosuke Takeda, the participants in the Financial Workshop held at the Bank of Japan on April 19, 2017, the 16th International Conference on Credit Risk Evaluation Designed for Institutional Targeting in finance on September 28–29, 2017, the Bank of Japan/Institute for Monetary and Economic Studies – Bank of Korea/Economic Research Institute Workshop on December 5, 2017, and the 5th International Conference on Sovereign Bond Markets on April 23–24, 2018, the 26th Annual Conference of Nippon Finance Association on June 24, 2018, the two anonymous referees, and the staff of the Bank of Japan for their helpful comments and discussion. Views expressed in this paper are those of the authors and do not necessarily reflect the official views of the Bank of Japan or the International Monetary Fund, its Executive Board, or its management.
Publisher Copyright:
© 2021 Elsevier Inc.
PY - 2022/1
Y1 - 2022/1
N2 - We present an analytical framework to investigate surprises in financial markets. The framework enables us to simultaneously identify and quantify surprises in security price data. By applying the framework to the tick-by-tick data on Japanese government bond futures prices, we find that the Bank of Japan's introduction of quantitative and qualitative monetary easing in 2013 was one of the most surprising episodes during the period from 2005 to 2016. We also show that traders’ sensitivity to the Bank's announcements has strengthened since the introduction of the negative interest rate policy in 2016, whereas their sensitivity to economic indicators and surveys has weakened substantially.
AB - We present an analytical framework to investigate surprises in financial markets. The framework enables us to simultaneously identify and quantify surprises in security price data. By applying the framework to the tick-by-tick data on Japanese government bond futures prices, we find that the Bank of Japan's introduction of quantitative and qualitative monetary easing in 2013 was one of the most surprising episodes during the period from 2005 to 2016. We also show that traders’ sensitivity to the Bank's announcements has strengthened since the introduction of the negative interest rate policy in 2016, whereas their sensitivity to economic indicators and surveys has weakened substantially.
KW - Central bank announcements
KW - Government bond futures
KW - Herding behavior
KW - Information efficiency
KW - Market microstructure
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U2 - 10.1016/j.najef.2021.101569
DO - 10.1016/j.najef.2021.101569
M3 - Article
AN - SCOPUS:85118900501
SN - 1062-9408
VL - 59
JO - North American Journal of Economics and Finance
JF - North American Journal of Economics and Finance
M1 - 101569
ER -