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Asset liquidity in monetary theory and finance : a unified approach
Geromichalos, Athanasios; Jung, Kuk Mo; Lee, Seungduck; … - 2019
Economists often say that certain types of assets, e.g., Treasury bonds, are very "liquid". Do they mean that these assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory), or that they can be easily sold in a secondary market,...
Persistent link: https://www.econbiz.de/10012101372
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Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets
Balcilar, Mehmet - 2019
This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar … 29, 1996 to November 12, 2018. To address nonlinear and asymmetric spillover dynamics in low and high volatility states …
Persistent link: https://www.econbiz.de/10012893224
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The Effect of Macroeconomic Announcements on Credit Markets : An Autometric General-to-Specific Analysis of the Greenspan Era
Forest, James J. - 2018
I show that a congruent, parsimonious, encompassing model discovered using David Hendry's econometric modelling approach and Autometrics can overcome the many inadequacies of the typical static models of US Treasury returns regressed on macroeconomic announcements. The typical specification...
Persistent link: https://www.econbiz.de/10012928522
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Can central bank communication help to stabilise inflation expectations?
Jung, Alexander; Kühl, Patrick - 2021
information and news channel. A novelty of the study is its use of data from Google Analytics on ECB website traffic as proxy for … communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that …-term professional inflation expectations. Our findings add to the theoretical evidence on the existence of an information and news …
Persistent link: https://www.econbiz.de/10012511097
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A Tale of Two Eurozones : Banks' Funding, Sovereign Risk & Unconventional Monetary Policies
Fulli-Lemaire, Nicolas - 2014
attempt to assess the potential impact of a selective sovereign default if worse came to worst. Yet finding that information …
Persistent link: https://www.econbiz.de/10013063273
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The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods
Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13
Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world …. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more …
Persistent link: https://www.econbiz.de/10012039605
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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
contribute to a short-term increase in volatility, the longer-term dynamics of volatility are dominated by monetary policy …
Persistent link: https://www.econbiz.de/10010395968
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A smooth shadow-rate dynamic Nelson-Siegel Model for yields at the zero lower bound
Opschoor, Daan; Wel, Michel van der - 2022
We propose a smooth shadow-rate version of the dynamic Nelson-Siegel (DNS) model to analyze the term structure of interest rates during the recent zero lower bound (ZLB) period. By relaxing the no-arbitrage restriction, our shadow-rate model becomes highly tractable with a closed-form yield...
Persistent link: https://www.econbiz.de/10012817007
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The Term Structure of Macroeconomic Risks at the Zero Lower Bound
Roussellet, Guillaume - 2020
This paper exploits the term structures of treasury yields to extract information about macroeconomic dynamics during …
Persistent link: https://www.econbiz.de/10012855010
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The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks
Gospodinov, Nikolay - 2015
contribute to a short-term increase in volatility, the longer-term dynamics of volatility are dominated by monetary policy …
Persistent link: https://www.econbiz.de/10013026088