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Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets
Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16
positively correlated with economic policy uncertainty, however, are negatively correlated with the monetary policy and fiscal … policy uncertainties. Correlation coefficients between stock and bond returns are positively related to total policy … uncertainty for returns of the Dow-Jones Industrial Average (DJIA) and the S&P 500 Value stock index (VALUE), but negatively …
Persistent link: https://www.econbiz.de/10012292914
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Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets
Balcilar, Mehmet - 2019
strong evidence that the US financial market risk structure changes after the announcement of quantitively easing (QE …) through the portfolio balance channel. The risk spillover moves from purchased assets to non-purchased assets after the QE …
Persistent link: https://www.econbiz.de/10012893224
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Quantitative Easing and the U.S. Stock Market : A Decision Tree Analysis
Bhar, Ramaprasad - 2016
The Financial Crisis of 2007-09 caused the U.S. economy to experience a relatively long recession from December 2007 to June 2009. Both the U.S. government and the Federal Reserve undertook expansive fiscal and monetary policies to minimize both the severity and length of the recession. Most...
Persistent link: https://www.econbiz.de/10012995226
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The role of central bank communication in the long-term stock-bond correlations : evidence from China
Wang, Yanning; Wang, Xichen - In: Finance research letters 67 (2024) 2, pp. 1-9
Persistent link: https://www.econbiz.de/10015062531
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Modeling U.S. Monetary Policy during the Global Financial Crisis and Lessons for COVID-19
Bhar, Ramaprasad - 2020
The paper formulates the modeling of unconventional monetary policy and critically evaluates its effectiveness to address the Global Financial Crisis. We begin with certain principles guiding general scientific modeling and focus on Milton Friedman's 1968 Presidential Address that delineates the...
Persistent link: https://www.econbiz.de/10012824865
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DSGE models and machine learning : an application to monetary policy in the euro area
Stempel, Daniel; Zahner, Johannes - 2022 - Draft: August 15, 2022
In the euro area, monetary policy is conducted by a single central bank for 19 member countries. However, countries are heterogeneous in their economic development, including their inflation rates. This paper combines a New Keynesian model and a neural network to assess whether the European...
Persistent link: https://www.econbiz.de/10013350856
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Whose inflation rates matter most? : a DSGE model and machine learning approach to monetary policy in the Euro area
Stempel, Daniel; Zahner, Johannes - 2023 - This version: May 31, 2023
In the euro area, monetary policy is conducted by a single central bank for 20 member countries. However, countries are heterogeneous in their economic development, including their inflation rates. This paper combines a New Keynesian model and a neural network to assess whether the European...
Persistent link: https://www.econbiz.de/10014299409
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Whatever it takes to understand a central banker : embedding their words using neural networks
Baumgärtner, Martin; Zahner, Johannes - 2021 - Draft: August 2, 2021
fields of monetary policy surprises, financial uncertainty, and gender bias. …
Persistent link: https://www.econbiz.de/10012608497
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Whatever it takes to understand a central banker : embedding their words using neural networks
Baumgärtner, Martin; Zahner, Johannes - 2023 - This draft: December 14, 2023
Dictionary approaches are at the forefront of current techniques for quantifying central bank communication. This paper proposes embeddings - a language model trained using machine learning techniques - to locate words and documents in a multidimensional vector space. To accomplish this, we...
Persistent link: https://www.econbiz.de/10014443189
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Central bank communication and correlation between financial markets : Canada and the United States
Beck, Melanie-Kristin; Hayo, Bernd; Neuenkirch, Matthias - In: International economics and economic policy : IEEP 10 (2013) 2, pp. 277-296
Persistent link: https://www.econbiz.de/10009754633