Does more complex language in FOMC decisions impact financial markets?
Journal article
Smales, Lee and Apergis, Nicholas 2017. Does more complex language in FOMC decisions impact financial markets? Journal of International Financial Markets, Institutions & Money. https://doi.org/10.1016/j.intfin.2017.08.003
| Authors | Smales, Lee and Apergis, Nicholas |
|---|---|
| Abstract | This paper is built around a simple premise that is based on the theoretical models of Harris and Raviv (1993) and Kandel and Pearson (1995). Complex statements are more difficult to interpret and may be construed in different ways by different agents. This creates heterogeneity of beliefs among market participants that manifests in increased market activity. We introduce novel measures of linguistic complexity (readability and word count) for the FOMC statements that accompany monetary policy decisions. The empirical evidence shows that monetary policy surprises have a significant impact on financial markets, and clearly demonstrates that more complex language significantly increases the trading volume, and volatility of returns, in stock, bond, and currency markets. We also establish that financial markets are more responsive to monetary policy decisions (and the language of those statements) during recession. |
| Keywords | Monetary policy decisions; Monetary policy decisionsFinancial markets; FOMC statements; Linguistic complexity |
| Year | 2017 |
| Journal | Journal of International Financial Markets, Institutions & Money |
| Publisher | Elsevier |
| ISSN | 1042-4431 |
| Digital Object Identifier (DOI) | https://doi.org/10.1016/j.intfin.2017.08.003 |
| Web address (URL) | http://hdl.handle.net/10545/623293 |
| http://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| hdl:10545/623293 | |
| Publication dates | 10 Oct 2017 |
| Publication process dates | |
| Deposited | 14 Jan 2019, 15:05 |
| Accepted | 25 Aug 2017 |
| Contributors | Curtin University and University of Piraeus |
| File | File Access Level Open |
| File | File Access Level Open |
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Apergis, Nicholas and Rezitis, Antonios 2003. Mean spillover effects in agricultural prices: Evidence from changes in policy regimes. nternational Advances in Economic Research.The inflation–output volatility trade-off: a case where anti-inflation monetary policy turns out to be successful, a historical assessment
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Apergis, Nicholas and Eleftheriou, Sofia 2001. Stock returns and volatility: Evidence from the Athens Stock market index. Journal of Economics and Finance.Cost structure, technological change, and productivity growth in the Greek banking sector
Apergis, Nicholas and Rezitis, Antonios 2004. Cost structure, technological change, and productivity growth in the Greek banking sector. International Advances in Economic Research.Mean spillover effects in agricultural prices: The case of Greece
Apergis, Nicholas and Rezitis, Antonios 2003. Mean spillover effects in agricultural prices: The case of Greece. Agribusiness.Convergence in public expenditures across EU countries: evidence from club convergence
Apergis, Nicholas, Christou, Christina and Hassapis, Christis 2013. Convergence in public expenditures across EU countries: evidence from club convergence. Economics and Finance Research."Meteor showers" and "heat waves" in Greek financial markets.
Apergis, Nicholas, Katrakilidis, Costas and Papastamatis, Stamatis 1997. "Meteor showers" and "heat waves" in Greek financial markets. International Advances in Economic Research. https://doi.org/10.1007/BF02295214Macroeconomic rationality and Lucas’ misperceptions model: further evidence from 41 countries.
Apergis, Nicholas and Miller, Stephen 2004. Macroeconomic rationality and Lucas’ misperceptions model: further evidence from 41 countries. Journal of Economics and Business. https://doi.org/10.1016/j.jeconbus.2003.10.002The dynamic linkage between renewable energy, tourism, CO2 emissions, economic growth, foreign direct investment, and trade.
Apergis, Nicholas, Jebli, Mehdi Ben and Youssef, Slim Ben 2019. The dynamic linkage between renewable energy, tourism, CO2 emissions, economic growth, foreign direct investment, and trade. Latin American Economic Review. https://doi.org/10.1186/s40503-019-0063-7A new macro stress testing approach for financial realignment in the Eurozone
Apergis, Nicholas, Apergis, Emmanuel and Apergis, Hercules 2019. A new macro stress testing approach for financial realignment in the Eurozone. Journal of International Financial Markets, Institutions & Money. https://doi.org/10.1016/j.intfin.2019.02.002An estimation of the natural rate of unemployment in Greece.
Apergis, Nicholas 2005. An estimation of the natural rate of unemployment in Greece. Journal of Policy Modeling. https://doi.org/10.1016/j.jpolmod.2005.01.001Testing the intertemporal substitution hypothesis: The impact of income uncertainty on savings
Apergis, Nicholas and Katrakilidis, Costas 2001. Testing the intertemporal substitution hypothesis: The impact of income uncertainty on savings. Review of World Economics. https://doi.org/10.1007/BF02707630What opportunity cost of holding real balances? The case of Greece 1978–1993.
Apergis, Nicholas 2006. What opportunity cost of holding real balances? The case of Greece 1978–1993. Applied Economics Letters. https://doi.org/10.1080/758540811Stock price reactions to wire news from the European Central Bank: evidence from changes in the sentiment tone and international market indexes.
Apergis, Nicholas and Pragidis, Ioannis 2019. Stock price reactions to wire news from the European Central Bank: evidence from changes in the sentiment tone and international market indexes. Atlantic Economic Journal.. https://doi.org/10.1007/s11294-019-09721-yCan gold prices forecast the Australian dollar movements?
Apergis, Nicholas 2014. Can gold prices forecast the Australian dollar movements? International Review of Economics and Finance.Causality between energy consumption and GDP in the U.S.: evidence from wavelet analysis.
Aslan, Alper, Apergis, Nicholas and Yildirim, Selim 2013. Causality between energy consumption and GDP in the U.S.: evidence from wavelet analysis. Frontiers in Energy.Country and industry convergence of equity markets: International evidence from club convergence and clustering.
Apergis, Nicholas, Christou, Christina and Miller, Stephen 2014. Country and industry convergence of equity markets: International evidence from club convergence and clustering. The North American journal of Economics and Finance.Does Happiness Converge?
Apergis, Nicholas and Georgellis, Yiannis 2014. Does Happiness Converge? Journal of Happiness Studies.Banking development and energy consumption: Evidence from a panel of Middle Eastern countries
Aslan, Alper, Apergis, Nicholas and Topcu, Mert 2014. Banking development and energy consumption: Evidence from a panel of Middle Eastern countries. Energy.The role of FOMC minutes for US asset prices before and after the 2008 crisis: Evidence from GARCH volatility modeling.
Apergis, Nicholas 2014. The role of FOMC minutes for US asset prices before and after the 2008 crisis: Evidence from GARCH volatility modeling. The Quarterly Review of Economics and Finance.Accounting standards convergence dynamics: International evidence from club convergence and clustering
Apergis, Nicholas, Christou, Christina and Hassapis, Christis 2014. Accounting standards convergence dynamics: International evidence from club convergence and clustering. Accounting Research Journal.Convergence in provincial‐level South African house prices: evidence from the club convergence and clustering procedure.
Apergis, Nicholas, Simo‐Kengne, Beatrice and Gupta, Ragan 2015. Convergence in provincial‐level South African house prices: evidence from the club convergence and clustering procedure. Review of Urban & Regional Development Studies.The bank lending channel and monetary policy rules for Eurozone banks: further extensions
Apergis, Nicholas, Miller, Stephen and Alevizopoulou, Effrosyni 2014. The bank lending channel and monetary policy rules for Eurozone banks: further extensions. The B.E. Journal of Macroeconomics.An empirical note on entrepreneurship and unemployment: Further evidence from U.S. States
Apergis, Nicholas and Payne, James 2016. An empirical note on entrepreneurship and unemployment: Further evidence from U.S. States. Journal of Entrepreneurship and Public Policy. https://doi.org/10.1108/JEPP-10-2015-0029Renewable energy, output, CO2 emissions, and fossil fuel prices in Central America: Evidence from a nonlinear panel smooth transition vector error correction model
Apergis, Nicholas and Payne, James 2014. Renewable energy, output, CO2 emissions, and fossil fuel prices in Central America: Evidence from a nonlinear panel smooth transition vector error correction model. Energy Economics. https://doi.org/10.1016/j.eneco.2014.01.003Financial portfolio choice: Do business cycle regimes matter? Panel evidence from international household surveys.
Apergis, Nicholas 2014. Financial portfolio choice: Do business cycle regimes matter? Panel evidence from international household surveys. Journal of International Financial Markets, Institutions & Money. https://doi.org/10.1016/j.intfin.2014.10.007The oil curse, institutional quality, and growth in MENA countries: Evidence from time-varying cointegration
Apergis, Nicholas and Payne, James 2014. The oil curse, institutional quality, and growth in MENA countries: Evidence from time-varying cointegration. Energy Economics.The long-term role of non-traditional banking in profitability and risk profiles: Evidence from a panel of U.S. banking institutions
Apergis, Nicholas 2014. The long-term role of non-traditional banking in profitability and risk profiles: Evidence from a panel of U.S. banking institutions. Journal of International Money and Finance.Dutch disease effect of oil rents on agriculture value added in Middle East and North African (MENA) countries
Apergis, Nicholas, El-Montasser, Ghassen, Sekyere, Emmanuel and Gupta, Rangan 2014. Dutch disease effect of oil rents on agriculture value added in Middle East and North African (MENA) countries. Energy Economics.Inflation and Uncertainty: Does the EMS P a rticipation Play Any Role?
Apergis, Nicholas 1998. Inflation and Uncertainty: Does the EMS P a rticipation Play Any Role? Journal of Economic Integration.Monetary policy rules and the equity risk premium: Evidence from the US experience.
Apergis, Nicholas and Payne, James 2018. Monetary policy rules and the equity risk premium: Evidence from the US experience. Review of Financial Economics. https://doi.org/10.1002/rfe.1021The determinants of business start-ups in tertiary education: evidence for Greece through a panel data approach
Apergis, Nicholas and Fafaliou, Irene 2011. The determinants of business start-ups in tertiary education: evidence for Greece through a panel data approach. Journal of Economics and Finance.The impact of fracking activities on Oklahoma’s housing prices: a panel cointegration analysis.
Apergis, Nicholas 2019. The impact of fracking activities on Oklahoma’s housing prices: a panel cointegration analysis. Energy Policy..Downstream integration of natural gas prices across U.S. states: Evidence from deregulation regime shifts.
Apergis, Nicholas, Bowden, Nicholas and Payne, James 2015. Downstream integration of natural gas prices across U.S. states: Evidence from deregulation regime shifts. Energy Economics. https://doi.org/10.1016/j.eneco.2015.01.020Newswire messages and sovereign credit ratings: Evidence from European countries under austerity reform programmes.
Apergis, Nicholas 2015. Newswire messages and sovereign credit ratings: Evidence from European countries under austerity reform programmes. International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2015.01.003Explosive bubbles in the US–China exchange rate? Evidence from right-tailed unit root tests.
Fry, John, Apergis, Nicholas and El Montasser, Ghassen 2016. Explosive bubbles in the US–China exchange rate? Evidence from right-tailed unit root tests. China Economic Journal. https://doi.org/10.1080/17538963.2015.1125591Energy efficiency of selected OECD countries: A slacks based model with undesirable outputs.
Apergis, Nicholas, Aye, Goodness, Barros, Carlos Pestana, Gupta, Ragan and Wanke, Peter 2015. Energy efficiency of selected OECD countries: A slacks based model with undesirable outputs. Energy Economics. https://doi.org/10.1016/j.eneco.2015.05.022Does stock market liquidity explain real economic activity? New evidence from two large European stock markets.
Apergis, Nicholas, Artikis, Panagiotis and Kyriazis, Dimitrios 2015. Does stock market liquidity explain real economic activity? New evidence from two large European stock markets. Journal of International Financial Markets, Institutions & Money. https://doi.org/10.1016/j.intfin.2015.05.002Asymmetric interest rate pass-through in the U.S., the U.K. and Australia: New evidence from selected individual banks.
Apergis, Nicholas and Cooray, Arusha 2015. Asymmetric interest rate pass-through in the U.S., the U.K. and Australia: New evidence from selected individual banks. Journal of Macroeconomics. https://doi.org/10.1016/j.jmacro.2015.04.010Spillover effects between lit and dark stock markets: Evidence from a panel of London Stock Exchange transactions.
Apergis, Nicholas and Voliotis, Dimitrios 2015. Spillover effects between lit and dark stock markets: Evidence from a panel of London Stock Exchange transactions. International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2015.06.002Forecasting Credit Default Swaps (CDSs) spreads with newswire messages: Evidence from European countries under financial distress.
Apergis, Nicholas 2015. Forecasting Credit Default Swaps (CDSs) spreads with newswire messages: Evidence from European countries under financial distress. Economics Letters. https://doi.org/10.1016/j.econlet.2015.08.032Agriculture, trade openness and emissions: an empirical analysis and policy options.
Rafiq, Shudhasattwa, Salim, Ruhul and Apergis, Nicholas 2015. Agriculture, trade openness and emissions: an empirical analysis and policy options. Australian Journal of Agricultural and Resource Economics. https://doi.org/10.1111/1467-8489.12131Financial experts on the board: does it matter for the profitability and risk of the u.k. banking industry?
Apergis, Nicholas 2019. Financial experts on the board: does it matter for the profitability and risk of the u.k. banking industry? Journal of Financial Research..Dynamics of U.S. state cigarette consumption: evidence from panel error correction modeling.
Apergis, Nicholas, Goel, Rajeev and Payne, James 2014. Dynamics of U.S. state cigarette consumption: evidence from panel error correction modeling. Atlantic Economic Journal..Economic Freedom and Income Inequality: Evidence from a Panel of Global Economies— A Linear and a Non‐Linear Long‐Run Analysis
Apergis, Nicholas and Cooray, Arusha 2015. Economic Freedom and Income Inequality: Evidence from a Panel of Global Economies— A Linear and a Non‐Linear Long‐Run Analysis. Manchester School.Structural breaks and electricity prices: Further evidence on the role of climate policy uncertainties in the Australian electricity market.
Apergis, Nicholas and Lau, Chi Keung 2015. Structural breaks and electricity prices: Further evidence on the role of climate policy uncertainties in the Australian electricity market. Energy Economics.Environmental Kuznets curves: New evidence on both panel and country-level CO2 emissions.
Apergis, Nicholas 2015. Environmental Kuznets curves: New evidence on both panel and country-level CO2 emissions. Energy Economics.A time series analysis of oil production, rig count and crude oil price: Evidence from six U.S. oil producing regions.
Apergis, Nicholas, Ewing, Bradley and Payne, James 2016. A time series analysis of oil production, rig count and crude oil price: Evidence from six U.S. oil producing regions. Energy.Oil reserve life and the influence of crude oil prices: An analysis of Texas reserves.
Apergis, Nicholas, Ewing, Bradley and Payne, James 2016. Oil reserve life and the influence of crude oil prices: An analysis of Texas reserves. Energy Economics.The influence of FOMC member characteristics on the monetary policy decision-making process.
Apergis, Nicholas and Smales, Lee 2015. The influence of FOMC member characteristics on the monetary policy decision-making process. Journal of Banking and Finance.The effect of foreign direct investment and stock market growth on clean energy use across a panel of emerging market economies.
Apergis, Nicholas, Paramati, Sudharshan Reddy and Ummalla, Mallesh 2016. The effect of foreign direct investment and stock market growth on clean energy use across a panel of emerging market economies. Energy Economics.Asymmetric oil shocks and external balances of major oil exporting and importing countries.
Apergis, Nicholas, Sgro, Pasquale and Rafiq, Shudhasattwa 2016. Asymmetric oil shocks and external balances of major oil exporting and importing countries. Energy Economics.Mood effects in optimal debt contracts.
Apergis, Nicholas and Voliotis, Dimitrios 2016. Mood effects in optimal debt contracts. Journal of Behavioral and Experimental Finance..Media sentiment and CDS spread spillovers: evidence from the GIIPS countries.
Apergis, Nicholas, Lau, Chi Keung Marco and Yarovaya, Larisa 2016. Media sentiment and CDS spread spillovers: evidence from the GIIPS countries. International Review of Financial Analysis.Asymmetric information and employment: evidence from the U.S. banking sector.
Apergis, Nicholas, Fafaliou, Irene and Stefanitsis, marinos 2016. Asymmetric information and employment: evidence from the U.S. banking sector. The Journal of Economic Asymmetries..Monetary policy and macroprudential policy: new evidence from a world panel of countries.
Apergis, Nicholas 2017. Monetary policy and macroprudential policy: new evidence from a world panel of countries. Oxford Bulletin of Economics and Statistics..Financing clean energy projects through domestic and foreign capital: the role of political cooperation among the EU, the G20 and OECD countries
Paramati, Sudharshan Reddy, Apergis, Nicholas and Ummalla, Mallesh 2016. Financing clean energy projects through domestic and foreign capital: the role of political cooperation among the EU, the G20 and OECD countries. Energy Economics. https://doi.org/10.1016/j.eneco.2016.11.001Integration of regional electricity markets in Australia: a price convergence assessment
Apergis, Nicholas, Fontini, Fulvio and Inchauspe, Julian 2016. Integration of regional electricity markets in Australia: a price convergence assessment. Energy Economics. https://doi.org/10.1016/j.eneco.2016.06.022The role of rare earth prices in renewable energy consumption: the actual driver for a renewable energy world
Apergis, Nicholas and Apergis, Emmanuel 2016. The role of rare earth prices in renewable energy consumption: the actual driver for a renewable energy world. Energy Economics. https://doi.org/10.1016/j.eneco.2016.12.015New evidence on the ability of asset prices and real economic activity forecast errors to predict inflation forecast errors.
Apergis, Nicholas 2016. New evidence on the ability of asset prices and real economic activity forecast errors to predict inflation forecast errors. Journal of Forecasting. https://doi.org/10.1002/for.2453Per capita carbon dioxide emissions across U.S. states by sector and fossil fuel source: evidence from club convergence tests
Apergis, Nicholas and Payne, James E. 2017. Per capita carbon dioxide emissions across U.S. states by sector and fossil fuel source: evidence from club convergence tests. Energy Economics. https://doi.org/10.1016/j.eneco.2016.11.027Health behaviour convergence: evidence from fractional (long memory) convergence and British microdata.
Apergis, Nicholas 2017. Health behaviour convergence: evidence from fractional (long memory) convergence and British microdata. The Manchester School. https://doi.org/10.1111/manc.12185How deviations from FOMC’s monetary policy decisions from a benchmark monetary policy rule affect bank profitability: evidence from U.S. banks
Apergis, Nicholas and Lau, Chi Keung Marco 2017. How deviations from FOMC’s monetary policy decisions from a benchmark monetary policy rule affect bank profitability: evidence from U.S. banks. Journal of Financial Economic Policy. https://doi.org/10.1108/JFEP-02-2017-0008Do gold prices respond to real interest rates? Evidence from the Bayesian Markov switching VECM model
Apergis, Nicholas, Apergis, Hercules, Cooray, Arusha and Khraief, Naceur 2019. Do gold prices respond to real interest rates? Evidence from the Bayesian Markov switching VECM model. Journal of International Financial Markets, Institutions & Money. https://doi.org/10.1016/j.intfin.2018.12.014Good volatility, bad volatility: what drives the asymmetric connectedness of Australian electricity markets?
Apergis, Nicholas, Baruník, Jozef and Lau, Chi Keung Marco 2017. Good volatility, bad volatility: what drives the asymmetric connectedness of Australian electricity markets? Energy Economics. https://doi.org/10.1016/j.eneco.2017.06.010Convergence of health care expenditures across the US States: a reconsideration.
Apergis, Nicholas, Chang, Tsangyao, Christou, Christina and Gupta, Ragan 2016. Convergence of health care expenditures across the US States: a reconsideration. Social Indicators Research. https://doi.org/10.1007/s11205-016-13577An application of nonparametric regression to missing data in large market surveys
Madden, Gary, Apergis, Nicholas, Rappoport, Paul and Banerjee, Anniruddha 2017. An application of nonparametric regression to missing data in large market surveys. Journal of Applied Statistics. https://doi.org/10.1080/02664763.2017.1369498Does geopolitical risks predict stock returns and volatility of leading defense companies? Evidence from a nonparametric approach.
Apergis, Nicholas, Bonato, Matteo, Gupta, Ragan and Kyei, Clement 2017. Does geopolitical risks predict stock returns and volatility of leading defense companies? Evidence from a nonparametric approach. Defence and Peace Economics. https://doi.org/10.1080/10242694.2017.1292097Can (unusual) weather conditions in New York predict South African stock returns?
Apergis, Nicholas and Gupta, Ragan 2017. Can (unusual) weather conditions in New York predict South African stock returns? Research in International Business and Finance. https://doi.org/10.1016/j.ribaf.2017.04.052Do energy prices affect U.S. investor sentiment?
Apergis, Nicholas, Cooray, Arusha and Rehman, Mobeen Ur 2017. Do energy prices affect U.S. investor sentiment? Journal of Behavioral Finance. https://doi.org/10.1080/15427560.2017.1373354US political corruption: identifying the channels of bribes for firms' financial policies.
Apergis, Nicholas and Apergis, Emmanuel 2017. US political corruption: identifying the channels of bribes for firms' financial policies. International Review of Financial Analysis. https://doi.org/10.1016/j.irfa.2017.09.010The impact of greenhouse gas emissions on personal well-being: evidence from a panel of 58 countries and aggregate and regional country samples.
Apergis, Nicholas 2016. The impact of greenhouse gas emissions on personal well-being: evidence from a panel of 58 countries and aggregate and regional country samples. Journal of Happiness Studies. https://doi.org/10.1007/s10902-016-9809-yThe role of the debt-service ratio as a leading indicator of households consumption.
Apergis, Nicholas 2019. The role of the debt-service ratio as a leading indicator of households consumption. Manchester School.The behaviour of interest rate spreads prior to and after the financial crisis: evidence across OECD countries.
Apergis, Nicholas and Cooray, Arusha 2018. The behaviour of interest rate spreads prior to and after the financial crisis: evidence across OECD countries. The Manchester School. https://doi.org/10.1111/manc.12216Is CAPM a Behavioral Model? Estimating Sentiments from Rationalism
Apergis, Nicholas and Rehman, Mobeen Ur 2018. Is CAPM a Behavioral Model? Estimating Sentiments from Rationalism. Journal of Behavioral Finance. https://doi.org/10.1080/15427560.2018.1431885Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model.
Apergis, Nicholas, Gozgor, Giray, Lau, Chi Keung Marco and Wang, Shixuan 2018. Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model. Energy Economics. https://doi.org/10.1016/j.eneco.2018.10.038Does convergence really matter for the environment? An application based on club convergence and on the ecological footprint concept for the EU countries.
Ulucak, Recep and Apergis, Nicholas 2017. Does convergence really matter for the environment? An application based on club convergence and on the ecological footprint concept for the EU countries. Environmental Science & Policy. https://doi.org/10.1016/j.envsci.2017.11.002The role of stock markets on environmental degradation: A comparative study of developed and emerging market economies across the globe
Paramati, Sudharshan Reddy, Alam, Md. Samsul and Apergis, Nicholas 2017. The role of stock markets on environmental degradation: A comparative study of developed and emerging market economies across the globe. Emerging Markets Review. https://doi.org/10.1016/j.ememar.2017.12.004Effects of export concentration on CO2 emissions in developed countries: an empirical analysis.
Apergis, Nicholas, Can, Muhlis, Gozgor, Giray and Lau, Chi Keung Marco 2018. Effects of export concentration on CO2 emissions in developed countries: an empirical analysis. Environmental Science and Pollution Research. https://doi.org/10.1007/s11356-018-1634-xDoes renewable energy consumption and health expenditures decrease carbon dioxide emissions? Evidence for sub-Saharan Africa countries.
Apergis, Nicholas, Jebli, Mehdi Ben and Youssef, Slim Ben 2018. Does renewable energy consumption and health expenditures decrease carbon dioxide emissions? Evidence for sub-Saharan Africa countries. Renewable Energy. https://doi.org/10.1016/j.renene.2018.05.043Globalisation, economic growth and energy consumption in the BRICS region: the importance of asymmetries.
Shahbaz, Muhammad, Shahzad, Syed Jawad Hussain, Alam, Shaista and Apergis, Nicholas 2018. Globalisation, economic growth and energy consumption in the BRICS region: the importance of asymmetries. Journal of International Trade & Economic Development. https://doi.org/10.1080/09638199.2018.1481991