Similar Search Results

An empirical analysis of stock and bond market liquidity

Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - 2003

-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads …

Persistent link: https://www.econbiz.de/10010283415

Monetary policy communication shocks and the macroeconomy

Goodhead, Robert; Kolb, Benedikt - 2018

Using federal funds futures data, we show the importance of surprise communication as a component of monetary policy for U.S. macro variables, both before and after 2008. While Gürkaynak et al. (2005) stress the importance of monetary policy communication for asset prices, much of the...

Persistent link: https://www.econbiz.de/10011939417

Purchase and redemption decisions of mutual fund investors and the role of fund families

Jank, Stephan; Wedow, Michael - 2010

This paper investigates the purchases and redemptions of a large cross-sectional sample of German equity funds. We find that investors punish bad performance by selling their shares, but also have a tendency to sell winners. Investors in large fund families show higher sales and redemption...

Persistent link: https://www.econbiz.de/10010300703

Purchase and redemption decisions of mutual fund investors and the role of fund families

Jank, Stephan; Wedow, Michael - 2010

Persistent link: https://www.econbiz.de/10010302545

Are there disadvantaged clienteles in mutual funds?

Jank, Stephan - 2010

This paper studies the flow-performance relationship of three different investor groups in mutual funds: Households, financial corporations, and insurance companies and pension funds, establishing the following findings: Financial corporations have a strong tendency to chase past performance and...

Persistent link: https://www.econbiz.de/10010303922

Monetary and Financial Thinking in Europe: Evidence from Four Decades of SUERF

Abraham, Jean-Paul - 2003

2003 marks the 40th anniversary of the founding of SUERF. To mark this milestone, some time ago the Council of Management commissioned Professor Jean-Paul Abraham to write a commemorative report. His mandate was not to write a history of SUERF itself (that would be too self-indulgent) but to...

Persistent link: https://www.econbiz.de/10011689909

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/10011506749

Money markets, collateral and monetary policy

De Fiore, Fiorella; Hoerova, Marie; Uhlig, Harald - 2019

Interbank money markets have been subject to substantial impairments in the recent decade, such as a decline in unsecured lending and substantial increases in haircuts on posted collateral. This paper seeks to understand the implications of these developments for the broader economy and monetary...

Persistent link: https://www.econbiz.de/10012142083

Estimating the effect of Hungarian monetary policy within a structural VAR framework

Vonnák, Balázs - 2005

, characterise somehow the monetary policy shock and then plot impulse responses. In this paper I attempt to do this exercise with …’ strategy applied recently by several authors. I also propose another approach, namely, imposing restrictions on implied shock ….1-0.15% lower consumer prices; (4) the impact on prices is slower than on output; it reaches its bottom 4-6 years after the shock …

Persistent link: https://www.econbiz.de/10010322447

Regime-dependent effects of monetary policy shocks: Evidence from threshold vector autoregressions

Mandler, Martin - 2010

This paper studies regime dependence in the effects of monetary policy shocks for the U.S. using a threshold vector autoregressive model. In a high inflation regime the standard results from the literature obtain. In a low inflation regime output shows no significant response to monetary policy...

Persistent link: https://www.econbiz.de/10010286403

1
2
3
4
5
6
7
8
9
10
Next
Last