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A Monetary Policy Asset Pricing Model
Caballero, Ricardo J.; Simsek, Alp - National Bureau of Economic Research - 2022
We propose a model where monetary policy is the key determinant of aggregate asset prices (financial conditions). Spending decisions are made by a group of agents ("households") that respond to aggregate asset prices, but with noise, delays, and inertia. Asset pricing is determined by a...
Persistent link: https://www.econbiz.de/10013334351
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Fed Implied Market Prices and Risk Premia
Calomiris, Charles W.; Harris, Joanna; Mamaysky, Harry; … - National Bureau of Economic Research - 2022
We introduce FDIF, a measure of Fed communication surprise based on the text of FOMC statements. FDIF measures the ….g., credit spreads) is associated with negative macroeconomic forecast revisions; the opposite holds for procyclical variables …. Industries that hedge bad FDIF news earn low returns on FOMC announcement days, but high returns on non-FOMC days. The opposite …
Persistent link: https://www.econbiz.de/10013334428
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Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach
Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022
We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why markets react to central bank communications. We find that...
Persistent link: https://www.econbiz.de/10013210100
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Inflation Past, Present and Future : Fiscal Shocks, Fed Response, and Fiscal Limits
Cochrane, John H. - National Bureau of Economic Research - 2022
Our current inflation stemmed from a fiscal shock. The Fed is slow to react. Why? Will the Fed's slow reaction spur more inflation? I write a simple model that encompasses the Fed's mild projections and its slow reaction, and traditional views that inflation will surge without swift rate rises....
Persistent link: https://www.econbiz.de/10013210124
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Discount Factors and Monetary Policy : Evidence from Dual-Listed Stocks
Vandeweyer, Quentin; Yang, Minghao; Yannelis, Constantine - National Bureau of Economic Research - 2024
This paper studies the transmission of monetary policy to the stock market through investors' discount factors. To isolate this channel, we investigate the effect of US monetary policy surprises on the ratio of prices of the same stock listed simultaneously in Hong Kong and Mainland China, and...
Persistent link: https://www.econbiz.de/10014544777
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Fiscal Consequences of Central Bank Losses
Cecchetti, Stephen G.; Hilscher, Jens - National Bureau of Economic Research - 2024
In response to the Global Financial Crisis, central banks engaged in large-scale asset purchases funded by the issuance of reserves. These "unconventional" policies continued during the pandemic, so that by 2022 central banks' balance sheets had grown up to ten-fold. As a result of rapidly...
Persistent link: https://www.econbiz.de/10014544756
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The Long and Variable Lags of Monetary Policy : Evidence from Disaggregated Price Indices
Aruoba, S. Borağan; Drechsel, Thomas - National Bureau of Economic Research - 2024
We study how monetary policy affects subcomponents of the Personal Consumption Expenditures Price Index (PCEPI) using local projections. Following a monetary policy contraction, the response of aggregate PCEPI turns significantly negative after over three years. There are stark differences in...
Persistent link: https://www.econbiz.de/10014576652
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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
around FOMC announcements. Further, both of these asset classes display heightened volatility relative to non …
Persistent link: https://www.econbiz.de/10014576665
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Asymmetries in Federal Reserve Objectives
Kocherlakota, Narayana Rao - National Bureau of Economic Research - 2023
This paper uses evidence from the Federal Open Market Committee's Summary of Economic Projections to show that US monetary policymakers have objectives over unemployment and inflation outcomes that are not well-approximated through a conventional quadratic loss function. Rather, policymakers...
Persistent link: https://www.econbiz.de/10014247923
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Does Monetary Policy Matter? The Narrative Approach after 35 Years
Romer, Christina; Romer, David - National Bureau of Economic Research - 2023
The narrative approach to macroeconomic identification uses qualitative sources, such as newspapers or government records, to provide information that can help establish causal relationships. This paper discusses the requirements for rigorous narrative analysis using fresh research on the impact...
Persistent link: https://www.econbiz.de/10014250187