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Cross-sector comovements and policy impact in the COVID-19 stock market : a dynamic factor approach

Yang, Joy D. Xiuyao - In: Global finance journal 56 (2023), pp. 1-33

Persistent link: https://www.econbiz.de/10014478952

The Macroeconomics of Sticky Prices with Generalized Hazard Functions

Alvarez, Fernando - 2020

We give a thorough analytic characterization of a large class of sticky-price models where the firm's price setting behavior is described by a generalized hazard function. Such a function provides a tractable description of the firm's price setting behavior and allows for a vast variety of...

Persistent link: https://www.econbiz.de/10012829577

Monetary policy rules : the market's view

Di Pace, Federico; Mangiante, Giacomo; Masolo, Riccardo - 2024

We study the market-perceived monetary policy rule of the Bank of England (BoE) using financial market data and macroeconomic surprises. Leveraging exogenous variations in inflation and industrial production (IP) surprises around Office for National Statistics releases, we estimate gilt yield...

Persistent link: https://www.econbiz.de/10015156706

Inferring Equity Durations Around FOMC Surprises : Estimates and Implications

Chen, Zhanhui - 2020

because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect … from the discount-rate channel. I propose a novel duration measure, the effective equity duration, to capture the effects … is hump-shaped because expected future cash flow growth increases with the discount rates. The effective equity duration …

Persistent link: https://www.econbiz.de/10012851441

Do stock prices impact consumption and interest rate in South Africa? : evidence from a time-varying vector autoregressive model

Aye, Goodness C.; Gupta, Rangan; Modise, Mampho P. - In: Journal of emerging market finance 14 (2015) 2, pp. 176-196

Persistent link: https://www.econbiz.de/10011378505

Unemployment duration, fiscal and monetary policies, and the output gap : how do the quantile relationships look like?

Zamanzadeh, Akbar; Chan, Marc K.; Ehsani, Mohammad Ali; … - In: Economic modelling 91 (2020), pp. 613-632

Persistent link: https://www.econbiz.de/10012429142

Probability models and robust policy rules

Levine, Paul; McAdam, Peter; Pearlman, Joseph - In: European economic review : EER 56 (2012) 2, pp. 246-262

Persistent link: https://www.econbiz.de/10009521685

Markov switching monetary policy in a two-country DSGE model

Mavromatis, Konstantinos - 2012

Persistent link: https://www.econbiz.de/10009541712

A money-based indicator for deflation risk : conference paper

Amisano, Gianni; Colavecchio, Roberta; Fagan, Gabriel - 2014 - Preliminary. This Version: February 2014

We employ a money-based early warning model in order to analyse the risk of a low inflation regime in the Euro Area, Japan and the US. The model specification allows for three different inflation regimes: "Low", "Medium" and "High" inflation, while state transition probabilities vary over time...

Persistent link: https://www.econbiz.de/10010490648

Characterizing monetary and fiscal policy rules and interactions when commodity prices matter

Chuku, Chuku Agbai; Middleditch, Paul - 2016

Persistent link: https://www.econbiz.de/10011539226