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The Effect of Macroeconomic Announcements on Credit Markets : An Autometric General-to-Specific Analysis of the Greenspan Era

Forest, James J. - 2018

I show that a congruent, parsimonious, encompassing model discovered using David Hendry's econometric modelling approach and Autometrics can overcome the many inadequacies of the typical static models of US Treasury returns regressed on macroeconomic announcements. The typical specification...

Persistent link: https://www.econbiz.de/10012928522

The Response of Stock Market Volatility to Futures-Based Measures of Monetary Policy Shocks

Gospodinov, Nikolay - 2015

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to monetary policy shocks. Although the increase in the...

Persistent link: https://www.econbiz.de/10013026088

Chapter 20. Term Structure of Uncertainty in the Macroeconomy

Borovička, J.; Hansen, L.P. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1641-1696). 2016

Dynamic economic models make predictions about impulse responses that characterize how macroeconomic processes respond to alternative shocks over different horizons. From the perspective of asset pricing, impulse responses quantify the exposure of macroeconomic processes and other cash flows to...

Persistent link: https://www.econbiz.de/10014024262

The response of stock market volatility to futures-based measures of monetary policy shocks

Gospodinov, Nikolaj; Jamali, Ibrahim - 2014

Persistent link: https://www.econbiz.de/10010395968

How Does Monetary Transmission Mechanism Impact Output, Inflation and Money Market Funds in Argentine?

Ledesma Padilla, Juan - 2010

The paper is aimed at quantifying empirically the monetary transmission mechanism for Argentine, and at analyzing the responses of output, inflation, and money market mutual funds (MMMF) to a positive monetary shock. The idea of incorporating MMMF into the system is to understand how economic...

Persistent link: https://www.econbiz.de/10013147766

Riding the Yield Curve : Risk Taking Behavior in a Low Interest Rate Environment

Chami, Ralph - 2020

literature. Weprovide evidence that non-linearities arise from hedging strategies of investors exposed tointerest rate risk …

Persistent link: https://www.econbiz.de/10012836549

Fed’s Unconventional Monetary Policy and Risk Spillover in the US Financial Markets

Balcilar, Mehmet - 2019

This study examines volatility spillover dynamics among the S&P 500 index, the US 10-year Treasury yield, the US dollar index futures and the commodity price index. The focus of the study is to analyze effects of Fed's unconventional monetary policy on the US financial markets. We use realized...

Persistent link: https://www.econbiz.de/10012893224

Monetary Policy Regimes : Implications for the Yield Curve and Bond Pricing

Filipova, Kameliya - 2013

We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relationship between interest rates and the state of the economy. In contrast to the classical term structure literature, where nonlinearities are captured by increasing the number of...

Persistent link: https://www.econbiz.de/10013085262

On the Inflation Risks Embedded in Sovereign Bond Yields : A Revisit

Camba-Mendez, Gonzalo - 2020

We revisit the concept of the cost of hedging inflation risks put forward in Bodie (1976). When doing so, we employ a … reflection of a low real risk-free rate, low inflation expectations and a low cost for hedging inflation risks. We have not … associate those episodes with either low real risk-free rates, or with low costs for hedging inflation risks …

Persistent link: https://www.econbiz.de/10012842461

Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies?

Guidolin, Massimo - 2020

We test whether the unconventional monetary policy (UMP) announcements by the Federal Reserve and the European Central 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,...

Persistent link: https://www.econbiz.de/10012828359