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Neuhierl, Andreas - 2017

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

Natural rate chimera and bond pricing reality

Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020

Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...

Persistent link: https://www.econbiz.de/10012425011

Does Real-Time Macroeconomic Information Help to Predict Interest Rates?

Coroneo, Laura - 2020

We analyse the predictive ability of real-time macroeconomic information for the yield curve of interest rates. We specify a mixed-frequency macro-yields model in real-time that incorporates interest rate surveys and treats macroeconomic factors as unobservable components. Results indicate that...

Persistent link: https://www.econbiz.de/10012836955

"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects

Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017

This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...

Persistent link: https://www.econbiz.de/10011735972

Monetary momentum

Neuhierl, Andreas; Weber, Michael - 2017 - This version: August 2017

Persistent link: https://www.econbiz.de/10011721601

Monetary Policy Slope and the Stock Market

Neuhierl, Andreas - 2018

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

Does Central Bank Tone Move Asset Prices?

Schmeling, Maik - 2019

This paper shows that changes in the tone of central bank communication have a significant effect on asset prices. Tone … captures how the central bank frames economic fundamentals and its monetary policy. When tone becomes more positive, stock … fundamentals, policy actions, and other features of central bank communication. Our results suggest that communication tone is a …

Persistent link: https://www.econbiz.de/10012904171

Measuring Euro Area Monetary Policy

Altavilla, Carlo - 2019

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...

Persistent link: https://www.econbiz.de/10012867012

Monetary Policy Communication, Policy Slope, and the Stock Market

Neuhierl, Andreas - 2019

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

Monetary Policy and the Stock Market : Time-Series Evidence

Neuhierl, Andreas - 2017

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