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Interest rate skewness and biased beliefs

Bauer, Michael; Chernov, Mikhail - 2021

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high … COVID pandemic did not disrupt these relations: historically high skewness correctly anticipated the run-up in long …

Persistent link: https://www.econbiz.de/10012588480

Interest Rate Skewness and Biased Beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021

Persistent link: https://www.econbiz.de/10012599237

Time variation in asset price response to macro announcements

Goldberg, Linda S.; Grisse, Christian - 2013

Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....

Persistent link: https://www.econbiz.de/10010333621

A portfolio-balance approach to the nominal term structure

King, Thomas B. - 2013

Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a portfolio balance mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a numerical...

Persistent link: https://www.econbiz.de/10010352163

Quantifying "quantitative tightening" (QT): How many rate hikes is QT equivalent to?

Wei, Bin - 2022

How many interest rate hikes is quantitative tightening (QT) equivalent to? In this paper, I examine this question based on the preferred-habitat model in Vayanos and Vila (2021). I define the equivalence between rate hikes and QT such that they both have the same impact on the 10-year yield....

Persistent link: https://www.econbiz.de/10014278183

ECB monetary operations and the interbank repo market

Dunne, Peter G.; Fleming, Michael J.; Zholos, Andrey - 2013

We examine the relationship between monetary policy operations and interbank borrowing and lending of funds using sovereign bonds as collateral. We first establish that, in the precrisis period, there are important but rather weak relations between these funding sources and that this...

Persistent link: https://www.econbiz.de/10010333597

Forward Guidance Through Interest Rate Projections: Does It Work?

Brubakk, Leif; Xu, Hong; ter Ellen, Saskia - 2017

Based on high-frequency data for Norway and Sweden, we investigate to what extent explicit forward guidance from monetary policy makers, by means of publishing the path of expected future policy rates, affects the market yield curve. We summarise movements in the yield curve by two latent...

Persistent link: https://www.econbiz.de/10012143905

ECB Spillovers and Domestic Monetary Policy Effectiveness in Small Open Economies

ter Ellen, Saskia; Jansen, Edvard; Midthjell, Nina Larsson - 2018

In this paper we study financial spillovers from the European Central Bank's (ECB) monetary policy and communication, and whether they have consequences for the effectiveness of domestic monetary policy of small open economies. Recent work suggests that the "trilemma" in international economics...

Persistent link: https://www.econbiz.de/10012143934

A Note on Temporary Supply Shocks with Aggregate Demand Inertia

Caballero, Ricardo J.; Simsek, Alp - 2022

We study optimal monetary policy during temporary supply contractions when aggregate demand has inertia and expansionary policy is constrained. In this environment, it is optimal to run the economy hot until supply recovers. Positive output gaps in the low-supply phase lessen the negative output...

Persistent link: https://www.econbiz.de/10013177637

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/10013177666