Traditional Monte Carlo simulation using linear correlations induces estimation bias in measuring portfolio value-at-risk (VaR) due to the well-documented existence of fat-tail, skewness, truncations, and non-linear relations of return distributions. In this paper, we evaluate the effectiveness...

This paper studies the effect of monetary policy on bond yields using the narrative shocks derived from the work of Romer and Romer (AER, 2004). Monetary shocks are orthogonalized against authorities' forward-looking behaviors, thereby capturing the true monetary effect on the economy. The...

This paper examines the rigidity of bank retail interest rates using the data from seven developing Asian countries. Empirical results, based on an error correction model, suggest that the retail bank rates in these countries follow similar sluggish adjustment processes as those in the euro...

This paper presents a test of the responses of REIT returns to Federal Reserve policy shocks using a time varying Markov regime switching framework. Following Kuttner (2001) and Gurkaynak et al. (2005), I use high-frequency Federal funds futures data to extract monetary shocks. The model...