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Inferring Equity Durations Around FOMC Surprises : Estimates and Implications
Chen, Zhanhui - 2020
captures information other than monetary policy risk …
Persistent link: https://www.econbiz.de/10012851441
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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
This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...
Persistent link: https://www.econbiz.de/10012292914
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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...
Persistent link: https://www.econbiz.de/10011389786
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Bootstrapping structural VARs : avoiding a potential bias in confidence intervals for impulse response functions
Phillips, Kerk Layne; Spencer, David E. - In: Journal of macroeconomics 33 (2011) 4, pp. 582-594
Persistent link: https://www.econbiz.de/10009530453
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News versus market sentiments : impact of monetary policy announcement on developed and developing countries' stock market performance
Ansari, Jazib Ahmed; Siddiqui, Danish Ahmed - In: Journal of entrepreneurial finance : JEF ; official … 22 (2020) 1, pp. 61-93
This paper investigates the impact of monetary policy announcements on the performance of the stock market in twenty countries (10 Developed and 10 developing). Exchange rate changes and changes in bond yield were taken as control. Daily basis Panel data was used with daily frequency for five...
Persistent link: https://www.econbiz.de/10012390762
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U.S. monetary policy indicators and international stock returns : 1970 - 2001
Mann, Thomas; Atra, Robert J.; Dowen, Richard J. - In: International review of financial analysis 13 (2004) 4, pp. 543-558
Persistent link: https://www.econbiz.de/10002224949
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Impact of the Monetary Policy Instruments on Islamic Stock Market Index Return
Albaity, Mohamed S. - 2011
Previous studies found that Islamic stock market index in Malaysia (KLSI), does not react, or react negatively to interest rate, although one of the main criteria of Islamic finance is to avoid business and activities that yield interest because of its prohibition in Islamic laws. On the other...
Persistent link: https://www.econbiz.de/10013117432
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Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy
Callot, Laurent; Kristensen, Johannes Tang - 2014
finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with …
Persistent link: https://www.econbiz.de/10010433901
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Monetary Policy Uncertainty and Bond Risk Premium
Jiang, Fuwei - 2017
We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the … standard bond risk premium predictors based on yield curve and macroeconomic fundamentals. The predictive power of MPU is not …
Persistent link: https://www.econbiz.de/10012968326
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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