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Can Global Liquidity Forecast Asset Prices?
Darius, Reginald - 2012
coincided with a significant rise in global liquidity. This paper attempts to determine the extent to which the rise in asset … prices was influenced by developments in global liquidity. We confirm that global liquidity had a significant impact on the … impact of global liquidity declined during the period of the Great Moderation. The paper also examines spillovers from global …
Persistent link: https://www.econbiz.de/10013101069
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Liquidity Effect on the Asset Price Forecasting
Merdan, Huseyin - 2016
The effect of the high/low liquidity in the market on the asset price forecasting is studied by deriving a system of … but also the liquidity value. The time evolution of the asset price yielded by bothmodels is compared for an example by …
Persistent link: https://www.econbiz.de/10012994026
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Monetary policy and the stock market : time-series evidence
Neuhierl, Andreas; Weber, Michael - 2016
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/10011566444
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Tails of Inflation Forecasts and Tales of Monetary Policy
Andrade, Philippe - 2012
We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) tail inflation risk. We estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk indicators which focus on inflation uncertainty and do...
Persistent link: https://www.econbiz.de/10013096924
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Does My Model Predict a Forward Guidance Puzzle?
Gibbs, Christopher - 2020
We provide sufficient conditions for when a rational expectations structural model predicts bounded responses of endogenous variables to forward guidance announcements. The conditions coincide with a special case of the well-known (E)xpectation-stability conditions that govern when agents can...
Persistent link: https://www.econbiz.de/10012827118
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The Performance of Forecast-Based Monetary Policy Rules Under Model Uncertainty
Williams, John C.; Levin, Andrew T.; Wieland, Volker - 2021
We investigate the performance of forecast-based monetary policy rules using five macroeconomic models that reflect a wide range of views on aggregate dynamics. We identify the key characteristics of rules that are robust to model uncertainty: such rules respond to the one-year ahead inflation...
Persistent link: https://www.econbiz.de/10013320751
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The Term Structure of Inflation Forecasts Disagreement and Monetary Policy Transmission
Barbera, Alessandro; Zhu, Xingyu Sonya; Xia, Fan Dora - 2023
The term structure of inflation forecasts disagreement in the US can be summarized by two components: disagreement about the trend inflation, and disagreement about the cyclical inflation. While the former has identical impacts on forecasts disagreement across forecasting horizons, the latter...
Persistent link: https://www.econbiz.de/10014349318
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High-Frequency Expectations from Asset Prices : A Machine Learning Approach
Chaudhry, Aditya - 2020
We propose a novel reinforcement learning approach to extract high-frequency aggregate growth expectations from asset prices. While much expectations-based research in macroeconomics and finance relies on low-frequency surveys, the multitude of events that pass between survey dates renders...
Persistent link: https://www.econbiz.de/10012823023
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Taylor rules and the predictability of interest rates
Söderlind, Paul; Söderström, Ulf; Vredin, Anders - 2003
Recent research suggests that commonly estimated dynamic Taylor rules augmented with a lagged interest rate imply too much predictability of interest rate changes compared with yield curve evidence. We show that this is not sufficient proof against the Taylor rule: the result could be driven by...
Persistent link: https://www.econbiz.de/10011584250
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Aggregate Analyst Forecast Errors, Stock Market Liquidity, and the Economy
Lin, Ji-Chai - 2018
(enter) the market. As the number of uninformed investors decreases (increases), stock market liquidity deteriorates … (improves). Based on this reasoning, we show that – predictable AAFE is a driving force of time-varying stock market liquidity … – and also an important channel through which stock market liquidity incorporates macroeconomic information …
Persistent link: https://www.econbiz.de/10012928237