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Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … expectations of real economic activity, uncertainty about real GDP growth, and downside and upside risks in housing starts and the …

Persistent link: https://www.econbiz.de/10010478516

The social value of information : a test of a beauty and non-beauty contest

Lustenberger, Thomas; Rossi, Enzo - 2018

We develop and apply a procedure to test the welfare implications of a beauty and non-beauty contest based on survey forecasts of interest rates and yields in a large country sample over an extended period of time. In most countries, interest rate forecasts are unbiased and consistent with both...

Persistent link: https://www.econbiz.de/10011790681

Announcements of Interest Rate Forecasts : Do Policymakers Stick to Them?

Natvik, Gisle James James - 2013

If central banks value the ex-post accuracy of their forecasts, previously announced interest rate paths might affect the current policy rate. We explore whether this "forecast adherence" has influenced the monetary policies of the Reserve Bank of New Zealand and the Norges Bank, the two central...

Persistent link: https://www.econbiz.de/10013081477

The Informational Content of SMP Deposit Auctions in Forecasting Short-Term Repurchase Agreement Interest Rates (Dissertation)

Kalevras, Kostas - 2015

This paper analyzes the term deposit sterilizing open market operations conducted by the Eurosystem between May 2010 and June 2014 in the context of the Securities Market Program (SMP). The SMP operations involved outright purchases of government debt securities in the secondary market with a...

Persistent link: https://www.econbiz.de/10013028429

Forecasting ECB policy rates with different monetary policy rules

Belke, Ansgar; Klose, Jens - 2019

This article compares two types of monetary policy rules - the Taylor-Rule and the Orphanides-Rule - with respect to their forecasting properties for the policy rates of the European Central Bank. In this respect the basic rules, results from estimated models and augmented rules are compared....

Persistent link: https://www.econbiz.de/10012063951

Forecasting ECB policy rates with different monetary policy rules

Belke, Ansgar; Klose, Jens - 2019

Persistent link: https://www.econbiz.de/10012034314

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

Forecasting Interest Rates with Futures Contracts Using Macroeconomic and Financial Variables

Coffinet, Jerome - 2010

This study evaluates the predictive content of the 3-month Euribor contracts futures. We initially show that there is a forecast error on these contracts, on average positive and increasing with the forecast horizon. Then, we propose a method for correcting futures rates thanks to macroeconomic...

Persistent link: https://www.econbiz.de/10013137943

Effects of Fed Policy Rate Forecasts on Real Yields and Inflation Expectations at the Zero Lower Bound

Galati, Gabriele - 2020

We study the effects of quantitative policy rate forecasts by the Federal Reserve on real yields and inflation expectations at the zero lower bound (ZLB). We study the effects of surprises in policy rate forecasts from the Summary of Economic Projections (SEP) on real yields and breakeven...

Persistent link: https://www.econbiz.de/10012826527

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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