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Is Someone Front-Running You Around News Releases?

Aldridge, Irene - 2016

This study presents evidence that much of the trading on macro-economic news occurs prior to the scheduled news announcement times. Examining the trading patterns ahead of the ISM Manufacturing Index and Construction Spending announcement, we find that the trading on the not-yet-publicly...

Persistent link: https://www.econbiz.de/10012999726

On FIRE, news, and expectations

Born, Benjamin; Enders, Zeno; Müller, Gernot J. - 2023

The full-information rational expectations (FIRE) assumption is at the core of modern macroeconomics. We revisit recent evidence which rejects FIRE based on survey data. It relates forecast errors to news at different levels of aggregation. The evidence based on consensus forecasts testifies...

Persistent link: https://www.econbiz.de/10014295508

Financial Market Risk Perceptions and the Macroeconomy

Pflueger, Carolin E. - 2019

directly measured from surveys and option prices is low. When perceived risk is high according to our measure, safe asset … prices are high, risky asset prices are low, the cost of capital for risky firms is high, and real investment is forecast to … by upward revisions in investor risk perceptions. Our results suggest that risk perceptions embedded in stock prices are …

Persistent link: https://www.econbiz.de/10012902628

Unconventional Fiscal Policy in HANK

Seidl, Hannah; Seyrich, Fabian - 2021

In HANK, we show that fiscal policy is an appropriate macroeconomic stabilization tool at the ZLB. Fiscal policy achieves the same macroeconomic aggregates and the same welfare as hypothetically unconstrained monetary policy by replicating its transmission mechanism. Consumption taxes and labor...

Persistent link: https://www.econbiz.de/10013221210

Monetary Policy with Opinionated Markets

Caballero, Ricardo J.; Simsek, Alp - 2021

Central banks (the Fed) and markets (the market) often disagree about the path of interest rates. We develop a model where these different views stem from disagreements between the Fed and the market about future aggregate demand. We then study the implications of these disagreements for...

Persistent link: https://www.econbiz.de/10013246804

Forward Guidance and the Role of Central Bank Credibility under Heterogeneous Beliefs

Goy, Gavin - 2018

This paper studies the macroeconomic effects of central bank forward guidance when central bank credibility is endogenous. In particular, we take a stylized New Keynesian model with an occasionally binding zero lower bound constraint on nominal interest rates and heterogeneous and boundedly...

Persistent link: https://www.econbiz.de/10012907014

Open Mouth Operations

Campbell, Jeffrey R. - 2020

We examine the standard New Keynesian economyâ€™s Ramsey problem written in terms of instrument settings instead of allocations. Its standard formulation makes two instruments available: the path of current and future interest rates, and an â€œopen mouth operationâ€� which selects...

Persistent link: https://www.econbiz.de/10012852900

Unconventional fiscal policy in HANK

Seidl, Hannah; Seyrich, Fabian - 2021

Persistent link: https://www.econbiz.de/10012549562

Uncertain Forward Guidance

Haberis, Alex - 2017

We explore the effects of forward guidance at the zero lower bound when there is uncertainty over the lift-off date arising from: (i) the imperfect credibility of time-inconsistent forward-guidance promises; (ii) incomplete communication. We use a simple New Keynesian model to demonstrate that a...

Persistent link: https://www.econbiz.de/10012959532

News shocks under financial frictions : a comment on Görtz et al. (2022)

Ash, Thomas; Nikolaishvili, Giorgi; Struby, Ethan - 2023

Görtz et al. (2022) estimate the effects of innovations to future total factor productivity (TFP) on financial markets. In a Bayesian vector autoregression, they identify a TFP news shock as one that explains the largest share of 40-quarter ahead forecast error variance (FEV) of TFP. Their...

Persistent link: https://www.econbiz.de/10014335049