Similar Search Results

Can central bank communication help to stabilise inflation expectations?

Jung, Alexander; Kühl, Patrick - 2021

information and news channel. A novelty of the study is its use of data from Google Analytics on ECB website traffic as proxy for … communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that …-term professional inflation expectations. Our findings add to the theoretical evidence on the existence of an information and news …

Persistent link: https://www.econbiz.de/10012511097

Inflation risk premia, yield volatility and macro factors

Berardi, Andrea; Plazzi, Alberto - 2018

We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999-2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds and survey...

Persistent link: https://www.econbiz.de/10011877284

Risk-Free Rates and Convenience Yields Around the World

Diamond, William; Van Tassel, Peter - 2022

This paper constructs risk-free interest rates implicit in index option prices for ten of the major G11 currencies. We compare these rates to the yields of government bonds to provide international estimates of the convenience yield earned by safe assets. Average convenience yields across...

Persistent link: https://www.econbiz.de/10014030002

Hedge fund stock trading in the financial crisis of 2007 - 2009

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2011 - Rev. version May 2011

Hedge funds significantly reduced their equity holdings during the recent financial crisis. In 2008Q3-Q4, hedge funds sold about 29% of their aggregate portfolio. Redemptions and margin calls were the primary drivers of selloffs. Consistent with forced deleveraging, the selloffs took place in...

Persistent link: https://www.econbiz.de/10009009543

Treasury Safety, Liquidity, and Money Premium Dynamics : Evidence from Recent Debt Limit Impasses

Cashin, David B. - 2020

liquidity dynamics are generally consistent with the theory of the information sensitivity of debt … the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more …

Persistent link: https://www.econbiz.de/10012834175

Flights to Safety

Baele, Lieven - 2014

Using only daily data on bond and stock returns, we identify and characterize flight to safety (FTS) episodes for 23 countries. On average, FTS days comprise less than 3% of the sample, and bond returns exceed equity returns by 2.5 to 4%. The majority of FTS events are country-specific not...

Persistent link: https://www.econbiz.de/10013051878

Monetary Policy and the Corporate Bond Market : How Important is the Fed Information Effect?

Smolyansky, Michael; Suarez, Gustavo - 2021

explanation—known as the "Fed information effect". Following an unanticipated monetary policy tightening (easing), returns on … interpreted by market participants as signaling information about the state of the economy …

Persistent link: https://www.econbiz.de/10013231924

Repo Market Effects of the Term Securities Lending Facility

Fleming, Michael J. - 2010

The Term Securities Lending Facility (TSLF) was introduced by the Federal Reserve to promote liquidity in the financing markets for Treasury and other collateral. We evaluate one aspect of the program - the extent to which it has narrowed repo spreads between Treasury collateral and less liquid...

Persistent link: https://www.econbiz.de/10013148779

ECB Monetary Operations and the Interbank Repo Market

Dunne, Peter G. - 2014

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/10013061127

Where do institutional investors seek shelter when disaster strikes? : evidence from COVID-19

Glossner, Simon; Matos, Pedro; Ramelli, Stefano; … - 2020

During the COVID-19 market crash, U.S. stocks with higher institutional ownership -- in particular, those held more by active, short-term, and more exposed institutions -- performed worse. Portfolio changes through the first quarter of 2020 reveal that institutional investors prioritized...

Persistent link: https://www.econbiz.de/10012271074

1
2
3
4
5
6
7
8
9
10
Next
Last