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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

On the Global Financial Market Integration “Swoosh” and the Trilemma

Bekaert, Geert - 2017

We propose a simple measure of de facto financial market integration based on a factor model of monthly equity returns, which can be computed back to the first era of financial globalization for 17 countries. Global financial market integration follows a “swoosh” shape – i.e. high...

Persistent link: https://www.econbiz.de/10012963752

Risk, Uncertainty and Monetary Policy

Bekaert, Geert - 2010

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/10013137030

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

Risk, uncertainty and monetary policy

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

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 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