Similar Search Results

Chapter 20. Term Structure of Uncertainty in the Macroeconomy

Borovička, J.; Hansen, L.P. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1641-1696). 2016

Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...

Persistent link: https://www.econbiz.de/10014024262

The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks

Gospodinov, Nikolay - 2015

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...

Persistent link: https://www.econbiz.de/10013026088

The response of stock market volatility to futures-based measures of monetary policy shocks

Gospodinov, Nikolaj; Jamali, Ibrahim - 2014

Persistent link: https://www.econbiz.de/10010395968

Fundamental disagreement about monetary policy and the term structure of interest rates

Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021

Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....

Persistent link: https://www.econbiz.de/10012249767

Relationship between monetary policy and financial asset returns in Türkiye : time, frequency, and quantile-based effects

Kartal, Mustafa Tevfik; Pata, Ugur Korkut; Taşkın, Dilvin - In: Borsa Istanbul Review 24 (2024) 3, pp. 474-484

This study analyzes the effect of monetary policy, which are proxied by weighted average cost of funding (WACF) and Borsa Istanbul repurchase interest rate (REPO), on the returns of the main financial assets of monetary policy in Türkiye. Using daily data between January 4, 2011 and August 31,...

Persistent link: https://www.econbiz.de/10014634909

Are yield-curve/monetary cycles' approaches enough to predict recessions?

Iqbal, Azhar; Bullard, Sam; Silvia, John E. - In: Business economics : the journal of the National … 54 (2019) 1, pp. 61-68

Persistent link: https://www.econbiz.de/10012297263

The real-time predictive content of asset price bubbles for macro forecasts

Beckers, Benjamin - 2015

price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought … the bubbles in the sample. Therefore, the paper suggests a combination approach of different bubble indicators which helps … to account for the uncertainty around start and end dates of asset price bubbles. Additionally, the paper then …

Persistent link: https://www.econbiz.de/10011300629

The FOMC risk shift

Kroencke, Tim-Alexander; Schmeling, Maik; Schrimpf, Andreas - 2021 - This version: January 25, 2021

We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call "risk shifts", are uncorrelated, and therefore complementary, to risk-free rate surprises. We show that (i) risk shifts capture the lion's share of...

Persistent link: https://www.econbiz.de/10012424574

Monetary policy, bond returns and debt dynamics

Berndt, Antje; Yeltekin, Şevin - In: Journal of monetary economics 73 (2015), pp. 119-136

Persistent link: https://www.econbiz.de/10011381760

A model of cycles and bubbles under heterogeneous beliefs in financial markets

Burs, Carina - In: Cogent economics & finance 11 (2023) 2, pp. 1-29

, abnormally high asset prices can be caused by financial bubbles. In this model, bubbles can emerge and deflate both in cycles or … rate. This can lead to new stable equilibria, but the emergence and bursting of bubbles cannot be prevented. …

Persistent link: https://www.econbiz.de/10014501110