Showing 1 - 10 of 254
We construct a slope factor from changes in federal funds futures of different horizons. A positive slope signals faster monetary policy tightening and predicts negative excess returns at the weekly frequency. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10012935261
the employment of less attached workers when the central bank follows an average inflation targeting rule and when the … strict to an average inflation targeting framework especially benefits workers with lower labor force attachment. …
Persistent link: https://www.econbiz.de/10012798170
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10011566444
The slope factor is constructed from changes in federal funds futures of different horizons and predicts stock returns at the weekly frequency: faster policy easing positively predicts returns. It contains information about the speed of future monetary policy tightening and loosening, and...
Persistent link: https://www.econbiz.de/10012903509
We document a large return drift around monetary policy announcements by the Federal Open Market Committee. Stock returns start drifting up 25 days before expansionary monetary policy surprises, whereas they decrease before contractionary surprises. The cumulative return difference across...
Persistent link: https://www.econbiz.de/10012853827
attachment populations when the central bank follows an average inflation targeting rule and when the Phillips curve is flatter …. These findings suggest that the Federal Reserve's recent move from a strict to an average inflation targeting framework will …
Persistent link: https://www.econbiz.de/10013252223
We document a large return drift around monetary policy announcements by the Federal Open Market Committee. Stock returns start drifting up 25 days before expansionary monetary policy surprises, whereas they decrease before contractionary surprises. The cumulative return difference across...
Persistent link: https://www.econbiz.de/10011721601
This paper discusses the recent wave of research that has emphasized the importance of measures of consumers' inflation … expectations. In contrast to other measures of expected inflation, such as for experts or financial market participants, consumers …' inflation expectations capture the broader distribution of societal beliefs about inflation. This research has revealed very …
Persistent link: https://www.econbiz.de/10014544766
We document a large return drift around monetary policy announcements by the Federal Open Market Committee. Stock returns start drifting up 25 days before expansionary monetary policy surprises, whereas they decrease before contractionary surprises. The cumulative return difference across...
Persistent link: https://www.econbiz.de/10012946927
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10012965931