Showing 1 - 10 of 11,091
Using daily inflation data from the Billion Prices Project [Cavallo and Rigobon (2016)], we show how temporal … private agents and the central bank (the “Fed information effect”). We find that the adverse response of daily inflation to … and an unobserved components model of inflation dynamics. To reconcile how one can obtain a sizable adverse response with …
Persistent link: https://www.econbiz.de/10014077279
This chapter aims at assessing the long-run determinants and the short-run dynamics of inflation in each country … cointegrating VAR approach, which allows for a structural long-run analysis of inflation determinants along with an accurate … inflation differ in the countries belonging to the Euro Area, but also that cost-push factors have a considerable role in …
Persistent link: https://www.econbiz.de/10012726729
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/10012965931
Monetary policy shocks have a large impact on stock prices during narrow time windows centered around press releases by the FOMC. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and a network effect. We attribute 50 to 85 percent of...
Persistent link: https://www.econbiz.de/10011770624
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
Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...
Persistent link: https://www.econbiz.de/10011657891
and realized and unexpected inflation, conditional on different market states and various nuances of inflation. Using a … Quantile-on-Quantile regression, we investigate the hedging properties of Bitcoin against inflation, thereby offering a fresh … look at the return-inflation puzzle from the point of view of alternative investments. We find that while bullish UK, Euro …
Persistent link: https://www.econbiz.de/10013245287
This study aims to explore the extent to which changes in wealth contributes to inflation utilizing a highly flexible …
Persistent link: https://www.econbiz.de/10014573996
inflation differ over time. We show that the impact varies considerably over time, depends on the source of increased liquidity … (M1, M3-M1 or credit) and the underlying state of the economy (asset price boom-bust, business cycle, inflation cycle …
Persistent link: https://www.econbiz.de/10011506663
niedriger Inflation auch das Resultat von angebotsseitigen Effekten der Geldpolitik ist. Diese überwiegen, da die Geldpolitik …'s monetary policy as too expansionary, the other holds it responsible for keeping the measured inflation rate below target. This … inflation. To do this, the present paper analyses the effectiveness of monetary policy through its various transmission channels …
Persistent link: https://www.econbiz.de/10011896711