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Inflation Hedging on Main Street? Evidence from Retail TIPS Fund Flows
Nagel, Stefan; Yan, Zhen - National Bureau of Economic Research - 2022
Households participating in financial markets pay attention to inflation news when making their investment decisions, even in an environment of mostly low and stable inflation. ETFs and open-ended mutual funds holding Treasury Inflation-Protected Securities (TIPS) receive inflows from retail...
Persistent link: https://www.econbiz.de/10013462740
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Price Discovery in the U.S. Treasury Market : The Impact of Orderflow and Liquidity on the Yield Curve
Brandt, Michael W. - 2003
We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) can account for as much as 26 percent of the day-to-day variation in...
Persistent link: https://www.econbiz.de/10012469173
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The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices
Longstaff, Francis A. - 2002
We examine whether there is a flight-to-liquidity premium in Treasury bond prices by comparing them with prices of bonds issued by Refcorp, a U.S. Government agency, which are guaranteed by the Treasury. We find a large liquidity premium in Treasury bonds, which can be more than fifteen percent...
Persistent link: https://www.econbiz.de/10012469394
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Stock Volatility and the War Puzzle
Cortes, Gustavo Silva; Vossmeyer, Angela; Weidenmier, … - National Bureau of Economic Research - 2022
and II, which would seemingly increase uncertainty. In a seminal paper, Schwert (1989) identified the "war puzzle" as one …
Persistent link: https://www.econbiz.de/10013172137
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The Effects of War Risk on U.S. Financial Markets
Rigobon, Roberto - 2003
This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity …-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices …, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor …
Persistent link: https://www.econbiz.de/10012469089
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War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets
Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023
rare. Our methodology avoids look-ahead bias and addresses semantic shifts. War discourse positively predicts market …-grade corporate bonds. The predictive power of war discourse increases in more recent time periods …
Persistent link: https://www.econbiz.de/10014287305
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Business News and Business Cycles
Bybee, Leland; Kelly, Bryan T.; Manela, Asaf; Xiu, Dacheng - National Bureau of Economic Research - 2021
We propose an approach to measuring the state of the economy via textual analysis of business news. From the full text of 800,000 Wall Street Journal articles for 1984-2017, we estimate a topic model that summarizes business news into interpretable topical themes and quantifies the proportion of...
Persistent link: https://www.econbiz.de/10012660022
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Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock
Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024
Existing high-frequency monetary policy shocks explain surprisingly little variation in stock prices and exchange rates around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non-announcement times. We use a heteroskedasticity-based procedure to...
Persistent link: https://www.econbiz.de/10014576665
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So Many Jumps, So Few News
Aït-Sahalia, Yacine; Li, Chen Xu; Li, Chenxu - National Bureau of Economic Research - 2024
This paper relates jumps in high frequency stock prices to firm-level, industry and macroeconomic news, in the form of machine-readable releases from Thomson Reuters News Analytics. We find that most relevant news, both idiosyncratic and systematic, lead quickly to price jumps, as market...
Persistent link: https://www.econbiz.de/10014635709
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U.S. Banks, Crises, and Bailouts : From Mexico to LTCM
Stulz, Rene M. - 2000
This paper investigates the impact on bank stock prices of emerging market currency crises and bailouts. The stock market distinguishes between banks with exposure to a crisis country and other banks. In general, banks with exposures to a crisis country are affected adversely by currency events...
Persistent link: https://www.econbiz.de/10012471245