In this paper, we study the impact of the COVID-19 pandemic in estimated panel VAR models for 92 countries. The large cross section of countries allows us to shed light on the heterogeneity of the responses of stock markets and NO2 emissions as high-frequency measures of economic activity. We...

Policymakers imposed constraints on public life in order to contain the Covid-19 pandemic. At the same time, fiscal and monetary policy implemented a large range of of expansionary measures to limit the economic consequences of the pandemic and stimulate the recovery. In this paper, we assess...

With the Federal Funds rate approaching the zero lower bound, the U.S. Federal Reserve adopted a range of unconventional monetary policy measures known as Quantitative Easing (QE). Quantifying the impact QE has on the real economy, however, is not straightforward as standard tools such as VAR...

With the Federal Funds rate approaching the zero lower bound, the U.S. Federal Reserve adopted a range of unconventional monetary policy measures known as Quantitative Easing (QE). Quantifying the impact QE has on the real economy, however, is not straightforward as standard tools such as VAR...

In this paper we analyze the extent to which peoples' changing beliefs about the timing of the exit from Quantitative Easing ("tapering") impact asset prices. To quantify beliefs of market participants, we use data from Twitter, the social media application. Our data set covers the entire...

In this paper we dissect the public debate about the future course of monetary policy and trace the effects of selected topics of this discourse on U.S. asset prices. We focus on the "taper tantrum" episode in 2013, a period with large revisions in expectations about Fed policy. Based on a novel...

In order to fight the economic consequences of the COVID-19 pandemic, monetary and fiscal policy announced a large variety of support packages which are often unprecedented in size. In this paper, we provide an empirical analysis of the responses of European financial markets to these policy...

With the Federal Funds rate approaching the zero lower bound, the U.S. Federal Reserve adopted a range of unconventional monetary policy measures known as Quantitative Easing (QE). Quantifying the impact QE has on the real economy, however, is not straightforward as standard tools such as VAR...

In this paper we dissect the public debate about the future course of monetary policy and trace the effects of selected topics of this discourse on U.S. asset prices. We focus on the "taper tantrum" episode in 2013, a period with large revisions in expectations about Fed policy. Based on a novel...