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Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?

Guidolin, Massimo - 2020

Bank represent a risk factor for the hedge fund industry as a whole and for ten commonly used strategies in particular …. Using modified event studies and Markov switching models, we find that UMP announcements represent a risk factor for … through breaks in the parameters of the conventional risk factors. Using Chow and Bai-Perron tests, we find that for the …

Persistent link: https://www.econbiz.de/10012828359

Rethinking the role of NAIRU in monetary policy : implications of model formulation and uncertainty

Estrella, Arturo; Mishkin, Frederic S. - 1998

Persistent link: https://www.econbiz.de/10000663120

Vermögensblasen und Bankenkrisen : Risikowachstum oder Wachstumsrisiken?

Dauderstädt, Michael - 2008

Persistent link: https://www.econbiz.de/10003762933

Monetary policy under uncertainty : proceedings of the Thirty-second Annual Economic Policy Conference of the Federal Reserve Bank of St.Louis

Rasche, Robert H. (contributor) - 2008

Persistent link: https://www.econbiz.de/10003765665

Expectations, uncertainty, and monetary policy

Kjellberg, David - 2007

Persistent link: https://www.econbiz.de/10003767590

Stock market uncertainty and monetary policy reaction functions of the Federal Reserve Bank

Jovanović, Mario (contributor); … - 2008

In this paper we examine the link between stock market uncertainty and monetary policy in the US. There are strong arguments why central banks should account for stock market uncertainty in their strategy. Amongst others, they can maintain the functioning of financial markets and moderate...