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Monetary policy through production networks : evidence from the stock market

Ozdagli, Ali; Weber, Michael - 2017 - This version: May 2017

Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...

Persistent link: https://www.econbiz.de/10011657891

Monetary policy and wealth effects : the role of risk and heterogeneity

Caramp, Nicolas; Silva, Dejanir H. - 2024

We study the role of asset revaluation in the monetary transmission mechanism. We build an analytical heterogeneous-agents model with two main ingredients: i) rare disasters; ii) heterogeneous beliefs. The model captures time-varying risk premia and precautionary savings in a setting that nests...

Persistent link: https://www.econbiz.de/10014514921

Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect

Caballero, Ricardo J.; Simsek, Alp - 2022

We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...

Persistent link: https://www.econbiz.de/10013093040

Regional heterogeneity, the rise of public debt and monetary policy in post-bubbles Japan : lessons for the EMU

Fischer, Raphael; Schnabl, Gunther - 2016

Both Japan and parts of the European Monetary Union have experienced boom and bust in stock and real estate markets … public debt and monetary policy in the context of crisis. It is shown for Japan that the attempts to maintain regional … expansion. Econometric estimations show that in Japan regional redistribution of funds has ensured homogeneous living conditions …

Persistent link: https://www.econbiz.de/10011476067

Missing events in event studies : identifying the effects of partially-measured news surprises

Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Wright, … - 2018

Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...

Persistent link: https://www.econbiz.de/10011900777

Monetary policy and the stock market : time-series evidence

Neuhierl, Andreas; Weber, Michael - 2016

We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...

Persistent link: https://www.econbiz.de/10011566444

Asset price shocks, real expenditures, and financial structure : a multi-country analysis

Chirinko, Robert S. (contributor); Haan, Leo de (contributor) - 2008

countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural …

Persistent link: https://www.econbiz.de/10003730274

Was Bernanke right? : targeting asset prices may not be a good Idea after all

Assenza, Tiziana; Berardi, Michele; Delli Gatti, Domenico - 2011

Should the central bank prevent "excessive" asset price dynamics or should it wait until the boom spontaneously turns into a crash and intervene only afterwards? The debate over this issue goes back at least to the exchange between Bernanke-Gertler (BG) and Cecchetti but has not settled yet. In...

Persistent link: https://www.econbiz.de/10009377794

Quantitative easing in the euro area : an event study approach

Urbschat, Florian; Watzka, Sebastian - 2017

We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases....

Persistent link: https://www.econbiz.de/10011743065

The Fed's response to economic news explains the "Fed information effect”

Bauer, Michael D.; Swanson, Eric T. - 2020

High-frequency changes in interest rates around FOMC announcements are a standard method of measuring monetary policy shocks. However, some recent studies have documented puzzling effects of these shocks on private-sector forecasts of GDP, unemployment, or inflation that are opposite in sign to...

Persistent link: https://www.econbiz.de/10012174827