Showing 1 - 10 of 8,466
Persistent link: https://www.econbiz.de/10011420369
Persistent link: https://www.econbiz.de/10011430142
Persistent link: https://www.econbiz.de/10009718500
Persistent link: https://www.econbiz.de/10011558068
Persistent link: https://www.econbiz.de/10011540476
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
Persistent link: https://www.econbiz.de/10011408078
This paper investigates the impact of policy interest rate news from the U.S. Federal Reserve (Fed) and the European Central Bank (ECB) on stock returns and volatilities of U.S. NYSE and German DAX listed commercial banks. We find that Fed news has the most influence on both U.S. and German...
Persistent link: https://www.econbiz.de/10013075033
This paper examines the transmission of changes in the U.S. monetary policy to local-currency sovereign bond yields of Brazil and Mexico. Using vector error-correction models, we find that the U.S. 10-year bond yield was a key driver of long-term yields in these countries, and that Brazilian...
Persistent link: https://www.econbiz.de/10012957840
Persistent link: https://www.econbiz.de/10012387375