This paper examines the effect of macroeconomic news announcements (MNA) on the stock market. Stocks exhibit a strong positive response to major MNA: 1 standard deviation of MNA surprise causes 11-25 bps higher returns. This response is highly time-varying and is weaker during periods of high...

I establish that inflation risk is priced in the cross section of stock returns: Stocks that have low returns during inflationary times command a risk premium. I estimate a market price of inflation risk that is comparable in magnitude to the price of risk for the aggregate market. Inflation is...

This paper analyzes the interest rate pass-through for Germany and the euro area using for the first time a fully harmonized data set on bank retail rates. In a vector error correction model, the speed and completeness of the pass-through from market rates to bank interest rates are estimated...