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Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen; Wei, Min - 2012

Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...

Persistent link: https://www.econbiz.de/10011590578

Liquidity and Expected Returns : Lessons from Emerging Markets

Bekaert, Geert - 2012

Given the cross-sectional and temporal variation in their liquidity, emerging equity markets provide an ideal setting … to examine the impact of liquidity on expected returns. Our main liquidity measure is a transformation of the proportion … of zero daily firm returns, averaged over the month. We find that our liquidity measures significantly predict future …

Persistent link: https://www.econbiz.de/10012755671

Risk, uncertainty and monetary policy

Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2012

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), we find that a lax monetary policy decreases...

Persistent link: https://www.econbiz.de/10011590620

The response of euro area sovereign spreads to the ECB unconventional monetary policies

Dewachter, Hans; Iania, Leonardo; Wijnandts, Jean-Charles - 2016

We analyse variations in sovereign bond yields and spreads follow- ing unconventional monetary policy announcements by the European Central Bank. Using a two-country, arbitrage-free, shadow-rate dynamic term structure model (SR-DTSM), we decompose countries' yields into expectation and risk...

Persistent link: https://www.econbiz.de/10011635087

Macroeconomic Regimes

Baele, Lieven - 2011

We estimate a New-Keynesian macro model accommodating regime-switching behavior in monetary policy and in macro shocks. Key to our estimation strategy is the use of survey-based expectations for inflation and output. We identify accommodating monetary policy before 1980, with activist monetary...

Persistent link: https://www.econbiz.de/10013124545

Inflation and the Stock Market : Understanding the "Fed Model"

Bekaert, Geert - 2010

The Fed model postulates that the dividend or earnings yield on stocks should equal the yield on nominal Treasury bonds, or at least that the two should be highly correlated. In US data, there is indeed a strikingly high time series correlation between the yield on nominal bonds and the dividend...

Persistent link: https://www.econbiz.de/10013152599

Risk, Uncertainty and Monetary Policy

Bekaert, Geert - 2010

Persistent link: https://www.econbiz.de/10013137030

Macroeconomic drivers of inflation expectations and inflation risk premia

Boeckx, Jef; Iania, Leonardo; Wauters, Joris - 2024

We propose a new model to decompose inflation swaps into genuine inflation expectations and risk premiums. We develop a no-arbitrage term structure model with stochastic endpoints, separating macroeconomic variables into transitory parts and long-run, economically grounded determinants, such as...

Persistent link: https://www.econbiz.de/10014481266

The determinants of stock and bond return comovements

Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007

dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …

Persistent link: https://www.econbiz.de/10011617371

Flights to Safety

Baele, Lieven - 2013

quality and liquidity in international equity markets, but mainly a flight-to-quality in the US corporate bond market …

Persistent link: https://www.econbiz.de/10013081241