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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 difference between text-implied and actual values of key market variables. Positive FDIF of countercyclical variables (e.g., credit spreads) is associated with negative...

Persistent link: https://www.econbiz.de/10013334428

American Disclosure Options

Back, Kerry E.; Carlin, Bruce Ian; Kazempour, Seyed Mohammad - National Bureau of Economic Research - 2023

We study strategic disclosure timing by correlated firms in the presence of risk-averse investors. Firms delay disclosures in the hope that positively correlated firms will announce especially good news and lift their own price. Risk premia rise before disclosures, drop when disclosures occur,...

Persistent link: https://www.econbiz.de/10014447256

Movements in Yields, not the Equity Premium : Bernanke-Kuttner Redux

Nagel, Stefan; Xu, Zhengyang - National Bureau of Economic Research - 2024

We show that the stock market price reaction to monetary policy surprises upon announcements of the Federal Open Market Committee (FOMC) is explained mostly by changes in the default-free term structure of yields, not by changes in the equity premium. We reach this conclusion based on a new...

Persistent link: https://www.econbiz.de/10015056210

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

Fiscal Redistribution Risk in Treasury Markets

Cram, Roberto Gómez; Kung, Howard; Lustig, Hanno; … - National Bureau of Economic Research - 2025

Unfunded fiscal shocks are a significant source of risk premia in Treasury markets when central banks and governments decide to insulate taxpayers and expose bondholders' wealth to government funding needs. We illustrate this bond risk premium mechanism analytically in a two-agent model...

Persistent link: https://www.econbiz.de/10015409800

Equity Prices, Market Power, and Optimal Corporate Tax Policy

González, Ignacio; Montecino, Juan A.; Stiglitz, Joseph E. - National Bureau of Economic Research - 2025

We study the optimal design of corporate tax policy in a textbook life-cycle model featuring two key deviations: (i) firms are imperfectly competitive and (ii) households save by purchasing equity shares in a stock market. In this simple environment, the financial wealth of savers is equal to...

Persistent link: https://www.econbiz.de/10015361419

Convergence? Thoughts About the Evolution of Mainstream Macroeconomics Over the Last 40 Years

Blanchard, Olivier - National Bureau of Economic Research - 2025

This year marks the 40th anniversary of the NBER Macro Annual Conference, founded in 1986. This paper reviews the evolution of mainstream macroeconomics since then. It presents my views, informed by a survey of a number of researchers who have made important contributions to the field. I develop...

Persistent link: https://www.econbiz.de/10015409834

Boomerang College Kids : Unemployment, Job Mismatch and Coresidence

Albanesi, Stefania; Gihleb, Rania; Zhang, Ning - National Bureau of Economic Research - 2022

more of them are residing with their parents. The unemployment rate at 23-27 year old for the 1996 college graduation … explain two thirds of the rise in unemployment and coresidence between the 2013 and 1996 graduation cohorts. Rising wage … dispersion is also important for the increase in unemployment, while declining parental income, rising student loan balances and …

Persistent link: https://www.econbiz.de/10013362051

The Credit Supply Channel of Monetary Policy Tightening and its Distributional Impacts

Bosshardt, Joshua; Di Maggio, Marco; Kakhbod, Ali; … - National Bureau of Economic Research - 2023

This paper studies how tightening monetary policy transmits to the economy through the mortgage market and sheds new light on the distributional consequences at both the individual and regional levels. We find that credit supply factors, specifically restrictions on the debt-to-income (DTI)...

Persistent link: https://www.econbiz.de/10014322851

The Puzzling Behavior of Spreads during Covid

Fourakis, Stelios S.; Karabarbounis, Loukas - National Bureau of Economic Research - 2024

Advanced economies borrowed substantially during the Covid recession to fund their fiscal policy. The Covid recession differed from the Great Recession in that sovereign debt markets remained calm and spreads barely responded. We study the experience of Greece, the most extreme manifestation of...

Persistent link: https://www.econbiz.de/10014468244