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Relationship between monetary policy and financial asset returns in Türkiye : time, frequency, and quantile-based effects

Kartal, Mustafa Tevfik; Pata, Ugur Korkut; Taşkın, Dilvin - In: Borsa Istanbul Review 24 (2024) 3, pp. 474-484

This study analyzes the effect of monetary policy, which are proxied by weighted average cost of funding (WACF) and Borsa Istanbul repurchase interest rate (REPO), on the returns of the main financial assets of monetary policy in Türkiye. Using daily data between January 4, 2011 and August 31,...

Persistent link: https://www.econbiz.de/10014634909

Shape evolution of the interest rate term structure

Chen, Biwei - In: Review of Economic Analysis : REA 13 (2021) 4, pp. 427-457

cycles and to predicting recessions. Applying an effective algorithm, I classify the Treasury yield curve into distinct … recessions, the median-short yield spread trumps the long-short spread for horizons up to 17 months ahead and the yield curve … shape is nearly impressive as the median-short spread. Overall, the yield curve shape is an informative but more succinct …

Persistent link: https://www.econbiz.de/10012886359

Assessing Asset Purchases within the ECB’s Securities Markets Programme

Eser, Fabian - 2013

We assess the yield impact of asset purchases within the ECB's Securities Markets Programme in five euro area sovereign … debt market. Bond yield volatility is lower on intervention days for most SMP countries, due to less extreme movements …

Persistent link: https://www.econbiz.de/10013077031

Procyclical finance : the money view

Li, Ye - 2017

Financial intermediaries issue the majority of liquid securities, and nonfinancial firms have become net savers, holding intermediaries' debt as cash. This paper shows that intermediaries' liquidity creation stimulates growth -- firms hold their debt for unhedgeable investment needs -- but also...

Persistent link: https://www.econbiz.de/10011968932

The Reaction Function Channel of Monetary Policy and the Financial Cycle

Filardo, Andrew J. - 2019

This paper examines whether monetary policy reaction function matters for financial stability. We measure how responsive the Federal Reserve's policy appears to be to imbalances in the equity, housing and credit markets. We find that changes in these policy sensitivities predict the later...

Persistent link: https://www.econbiz.de/10012861841

Monetary Policy, Stock Market and Sectoral Comovement

Guérin, Pierre - 2017

This paper evaluates the role that sectoral comovement plays in the propagation of monetary policy shocks on the stock market. In doing so, we introduce a factor-augmented vector autoregressive model with heterogeneous regime-switching factor loadings, denoted as MS2-FAVAR, that allows us to...

Persistent link: https://www.econbiz.de/10012949230

Understanding asset correlations

Burkhardt, Dominic; Hasseltoft, Henrik - 2012 - This draft: September 2012

-sloping real yield curve and rationally explains the so-called Fed-model. Finally, inflation and monetary policy shocks were …

Persistent link: https://www.econbiz.de/10009684165

Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect

Caballero, Ricardo J.; Simsek, Alp - 2022

We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...

Persistent link: https://www.econbiz.de/10013093040

Financial Management Focus on Price Volatility and ‘Circuit Breakers’ in the Nigerian Equity Market Implications for Monetary Policy

Ohuche, Friday - 2015

This study investigates the impact of price limits and trading halts (circuit breakers) on the returns volatility of the Nigerian equity markets during the market meltdown occasioned by the Global Financial and Economic Crises of 2007-2010. Results indicate that the introduction of price limits...

Persistent link: https://www.econbiz.de/10013023479

Turnover Liquidity and the Transmission of Monetary Policy

Lagos, Ricardo - 2019

We provide empirical evidence of a novel liquidity-based transmission mechanism through which monetary policy influences asset markets, develop a model of this mechanism, and assess the ability of the quantitative theory to match the evidence

Persistent link: https://www.econbiz.de/10012903365