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Uncertainty shocks and inflation dynamics in the U.S.

Haque, Qazi; Magnusson, Leandro M. - 2020

Persistent link: https://www.econbiz.de/10012601651

Empirical evidence on the dynamics of investment under uncertainty in the U.S.

Haque, Qazi; Magnusson, Leandro M.; Tomioka, Kazuki - 2019

Persistent link: https://www.econbiz.de/10012208719

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio … framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other …

Persistent link: https://www.econbiz.de/10011663407

Measuring economic policy uncertainty

Baker, Scott; Bloom, Nicholas; Davis, Steven J. - 2015

Persistent link: https://www.econbiz.de/10011410518

Really uncertain business cycles

Bloom, Nicholas; Floetotto, Max; Jaimovich, Nir; … - 2013

Persistent link: https://www.econbiz.de/10009745095

To sign or not to sign? : on the response of prices to financial and uncertainty shocks

Meinen, Philipp; Röhe, Oke - 2018

Based on SVAR models identified by sign restrictions, we estimate the macroeconomic effects of financial and uncertainty shocks in the euro area and the US, paying particular attention to their effects on prices. While our results confirm that such disturbances are important drivers of output...

Persistent link: https://www.econbiz.de/10011897983

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020

response to lower in-terest rates, and vice versa. Institutional funds' risk-taking increases when interest rates turn negative …

Persistent link: https://www.econbiz.de/10012250652

Time-varying stock return correlation, news shocks, and business cycles

Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022

yield curve and significantly exceeds that of some other widely used financial indicators. The macroeconomic effects of an …

Persistent link: https://www.econbiz.de/10014227600

Scarcity effects of QE : a transaction-level analysis in the Bund market

Schlepper, Kathi; Riordan, Ryan; Hofer, Heiko; … - 2017

This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...

Persistent link: https://www.econbiz.de/10011632212

Monetary policy and risk-taking : evidence from Thai corporate bond markets

Warinthip Worasak; Nuwat Nookhwun; Pongpitch Amatyakul - 2022

Persistent link: https://www.econbiz.de/10013431587

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