Showing 1 - 10 of 3,343
This paper develops a macro-finance model of the yield curve and uses this to explain the behavior of the US Treasury market. Unlike previous macro-finance models which assume a homoscedastic error process and suppose that the one-period return is directly observable, I develop a general affine...
Persistent link: https://www.econbiz.de/10013004466
The paper argues that bond investors (and, implicitly large creditors in general), may not necessarily demonstrate the “Investors' Smartness” that some previous studies attributed to large institutional holders, when it comes to pricing-in for economic shocks likely to occur in future. This...
Persistent link: https://www.econbiz.de/10013100689
This paper examines the response of US stock returns to Federal Funds rate (FFR) surprises between 1989 and 2012, focusing on the impact of the recent financial crisis. We find that outside the crisis period, stock prices increased as a response to unexpected FFR cuts. State dependence is...
Persistent link: https://www.econbiz.de/10013020193
This paper examines the impact of unconventional monetary policy of ECB measured by its balance sheet expansion on euro area equity market uncertainty and investors risk aversion within a structural VAR framework. An expansionary balance sheet shock decreases both risk aversion and uncertainty...
Persistent link: https://www.econbiz.de/10012954979
Since the early 2000s, global liquidity has experienced very strong growth. Emerging Markets (EMs) have accumulated large foreign exchange reserves while developed markets have dramatically eased their monetary policies. Global excess liquidity has resulted in an increase in the size of...
Persistent link: https://www.econbiz.de/10013024049
This paper examines the impact of unconventional monetary policy of ECB measured by its balance sheet expansion on euro area equity market uncertainty and investors risk aversion within a structural VAR framework. An expansionary balance sheet shock decreases both risk aversion and uncertainty...
Persistent link: https://www.econbiz.de/10013492572
We study the response of stock prices to monetary policy, distinguishing effects of exogenous shocks from "Delphic" shocks that reveal the Federal Reserve's macroeconomic forecasts. To decompose monetary policy surprises into these separate components we construct a measure of Federal Reserve...
Persistent link: https://www.econbiz.de/10014121896
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/10012953959
We study the importance of production networks for the transmission of macroeconomic shocks using the stock market reaction to monetary policy shocks as a laboratory. We decompose the overall effect of monetary policy shocks into a direct effect and a network effect and attribute 50 to 85...
Persistent link: https://www.econbiz.de/10012956564
We study the importance of production networks for the transmission of macroeconomic shocks using the stock market reaction to monetary policy shocks as a laboratory. We decompose the overall effect of monetary policy shocks into a direct effect and a network effect and attribute 60 to 85...
Persistent link: https://www.econbiz.de/10012903810