Money Supply Announcements and the Ex Ante Volatility of Asset Prices
研究货币供给公告如何影响资产价格的事前波动性，发现M1数据意外成分与股票、国债、黄金及外汇期权价格波动性修正显著相关，且货币公告通过消除不确定性降低了波动性。
Previous empirical studies have documented more volatile money grow th and money surprises, more volatile asset price changes, and increased responsiveness of asset prices to money surprises since the October 1 979 change in Fed policy. This paper studies the associations between money announcements and the ex ante volatility of asset prices in th e recent past. Results indicate that revisions of ex ante asset price volatility, as measured from prices of stock index, government debt, gold, and foreign currency options, are significantly correlated with the surprise component of the weekly M1 release. There is also evidence that money releases reduce volatility by resolving uncertainty. Copyright 1988 by Ohio State University Press.