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Equity Returns, Unemployment, and Monetary Policy
Li, Yijie; Suominen, Matti - 2020
We investigate both theoretically and empirically how unemployment level and its growth affect future stock returns. We find that both a higher unemployment rate and higher growth of unemployment positively predict future stock market returns. In our model, the effects come through their...
Persistent link: https://www.econbiz.de/10014352081
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The Equity Premium Puzzle Solution : Incentives to Under-Report Inflation
Korsos, Laszlo - 2020
solutions, all have failed as these attempts implicitly assume perfectly-correct inflation statistics. Examining these … assumptions, we discover that not only are the inflation numbers materially flawed, but more so, there are significant incentives … for government entities to under-report inflation. With this, we find that to explain the Equity Premium Puzzle, inflation …
Persistent link: https://www.econbiz.de/10012838903
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The Fed and the Question of Financial Stability : An Empirical Investigation
Grunspan, Thierry - 2010
and beyond their information content on future inflation and future activity. This result, obtained in a GMM framework, is … error in forecasting output and inflation increases. In this sense, the Fed's preemptive easings - despite their short …
Persistent link: https://www.econbiz.de/10013136336
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ECB Language and Stock Returns – A Textual Analysis of ECB Press Conferences
Möller, Rouven - 2020
We examine how the language used by central bank officials in public press conferences influences stock returns in the euro area. In line with the concept of Odyssean Forward Guidance, we find that using constraining language to express policy commitment increases the effectiveness of Forward...
Persistent link: https://www.econbiz.de/10012829731
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Measuring market expectations
Baumeister, Christiane - 2021
evidence for monetary policy and inflation expectations with a special emphasis on market-specific characteristics that …
Persistent link: https://www.econbiz.de/10012622575
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Why Does the Fed React to the Stock Market Changes? : A Covariance Decomposition Analysis
Tas, Bedri Kamil Onur - 2011
This paper investigates the factors that affect the covariance between the federal funds rate and stock returns. I estimate a VAR system and implement covariance decomposition analysis. Most of the covariance between the federal funds rate and stock returns is affected by changes in stock market...
Persistent link: https://www.econbiz.de/10013125852
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An Inquiry into the Nature and Sources of Variation in the Expected Excess Return of a Long-Term Bond
Bakshi, Gurdip - 2018
This paper proposes an approach to study the expected excess return of a long-term bond and focuses on a lower bound. This lower bound is a crucial number, as it represents the minimum expected excess return demanded by investors. The derived bound is model-independent and can be extracted from...
Persistent link: https://www.econbiz.de/10012937301
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Inferring Equity Durations Around FOMC Surprises : Estimates and Implications
Chen, Zhanhui - 2020
Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel...
Persistent link: https://www.econbiz.de/10012851441
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Monetary policy effects on equity returns : application of SVAR identified with high-frequency external instrument
Jang, Woon Wook - In: Journal of derivatives and quantitative studies 29 (2021) 4, pp. 319-331
The purpose of this study is to examine the effects of monetary policy on equity returns by applying an alternative econometric approach. Campbell and Ammer (1993) decomposed unexpected equity excess returns into three news components: risk premium news, real interest rate news and cash-flow...
Persistent link: https://www.econbiz.de/10012658788
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Asset Prices and Monetary Policy : Booms and Fat Tails in East Asia
Gochoco‐Bautista, Maria Socorro - 2013
Do housing and equity booms significantly raise the probability of extremely bad outcomes at the margin? This study addresses this question for a group of 8 East Asian countries. The main findings are the following: (i) Asset price booms in housing and equity markets, either separately or...
Persistent link: https://www.econbiz.de/10014218887