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The effects of inflation announcements on financial markets: an event study approach
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Resumo(s)
In this study the reactions were examined of an inflation announcement on U.S. equity indices
across sectors during the period from 2001 to 2022 using an event study methodology. The
empirical results show that U.S. sector indices significantly react to an inflation announcement.
The effect of an announcement appears to be positive in times of low inflation rates and favorable
economic conditions, while the effect is negative and more pronounced in times of elevated
inflation rates and difficult economic conditions. In addition, the indices react more strongly when
a distinction is made between an increasing, decreasing, or stable inflation rate.
Descrição
Palavras-chave
Inflation Inflation risk Asset pricing Stock returns Event study