We present a dynamic Rational Expectations (RE) bubble model of prices with the intention to evaluate it on optimal investment strategies applied to Bitcoin. Our bubble model is defined as a geometric Brownian motion combined with separate crash (and rally) discrete jump distributions associated...

We document large, longer-term, joint regime shifts in asset valuations and the real federal funds rate-r* spread. To interpret these findings, we estimate a novel macro-finance model of monetary transmission and find that the documented regimes coincide with shifts in the parameters of a policy...

This paper analyzes the response of the European stock markets to the monetary policy shocks by the European Central Bank using the heteroskedasticity based approach of Rigobon (2003). We find that monetary policy tightening has a heterogeneous impact on the Euro Area sectors on the day the...

This paper contributes to the debate of whether central banks can \lean against the wind" of emerging stock or house price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought forward by Phillips et al. (2011), can timely detect bubble...

We study the impact that macroeconomic news has on equity prices. While the literature has already widely documented the effects of macroeconomic announcements on asset prices, as well as their asymmetric impact during good and bad times, we focus on the reaction to news when the description of...

Stock market fluctuations are likely to be an important determinant of monetary policy decisions because of their potential impact on macroeconomy. At the same time, innovations in fed fund rates affect stock prices as they change the expected future real interest rates. In this paper we apply a...

While the literature has already widely documented the effects of macroeconomic news announcements on asset prices, as well as their asymmetric impact during good and bad times, we focus on the reaction to news based on the description of the state of the economy as painted by the Federal Open...

The paper investigates the effect of monetary policy uncertainty on stock market volatility. Higher monetary uncertainty leads to lower stock market volatility both in sample and out of sample. Monetary policy uncertainty matters more for the volatility of big firms, profitable firms and past...