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Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024

Existing high-frequency monetary policy shocks explain surprisingly little variation in stock prices and exchange rates around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non-announcement times. We use a heteroskedasticity-based procedure to...

Persistent link: https://www.econbiz.de/10014576665

Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022

We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation …. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why … financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on …

Persistent link: https://www.econbiz.de/10013210100

The US, Economic News, and the Global Financial Cycle

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2023

We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...

Persistent link: https://www.econbiz.de/10014247914

Whatever-It-Takes Policymaking during the Pandemic

Dominguez, Kathryn M.; Foschi, Andrea - National Bureau of Economic Research - 2024

Central banks across the globe introduced large-scale asset purchase programs to address the unprecedented circumstances experienced during the pandemic. Many of these programs were announced as open-ended to shock-and-awe market participants and restore confidence in financial markets. This...

Persistent link: https://www.econbiz.de/10014486207

American Disclosure Options

Back, Kerry E.; Carlin, Bruce Ian; Kazempour, Seyed Mohammad - National Bureau of Economic Research - 2023

We study strategic disclosure timing by correlated firms in the presence of risk-averse investors. Firms delay disclosures in the hope that positively correlated firms will announce especially good news and lift their own price. Risk premia rise before disclosures, drop when disclosures occur,...

Persistent link: https://www.econbiz.de/10014447256

So Many Jumps, So Few News

Aït-Sahalia, Yacine; Li, Chen Xu; Li, Chenxu - National Bureau of Economic Research - 2024

This paper relates jumps in high frequency stock prices to firm-level, industry and macroeconomic news, in the form of machine-readable releases from Thomson Reuters News Analytics. We find that most relevant news, both idiosyncratic and systematic, lead quickly to price jumps, as market...

Persistent link: https://www.econbiz.de/10014635709

War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets

Hirshleifer, David; Mai, Dat; Kuntara Pukthuanthong - National Bureau of Economic Research - 2023

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

Persistent link: https://www.econbiz.de/10014287305

How and When are High-Frequency Stock Returns Predictable?

Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Persistent link: https://www.econbiz.de/10013362020

How Can Asset Prices Value Exchange Rate Wedges?

Lewis, Karen K.; Liu, Edith - National Bureau of Economic Research - 2022

When available financial securities allow investors to optimally diversify risk across countries, standard theory implies that exchange rates should reflect this behavior. However, exchange rates observed in the data deviate from these predictions. In this paper, we develop a framework to value...

Persistent link: https://www.econbiz.de/10013388777

Corporate Social Responsibility

Hong, Harrison G.; Shore, Edward P. - National Bureau of Economic Research - 2022

Is shareholder interest in corporate social responsibility driven by pecuniary motives (abnormal rates of return) or non-pecuniary ones (willingness to sacrifice returns to address various firm externalities)? To answer this question, we categorize the literature into seven tests: (1) costs of...

Persistent link: https://www.econbiz.de/10013477263