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The Fed and the question of financial stability
Grunspan, Thierry - 2005
Persistent link: https://www.econbiz.de/10003384498
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The Fed and the Question of Financial Stability : An Empirical Investigation
Grunspan, Thierry - 2010
This paper shows that the Fed reacts to change in spreads between corporate bond yields and government bond yields over and beyond their information content on future inflation and future activity. This result, obtained in a GMM framework, is confirmed by simulation methods. Moreover, when...
Persistent link: https://www.econbiz.de/10013136336
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Does central bank tone move asset prices?
Schmeling, Maik; Wagner, Christian - 2019
Persistent link: https://www.econbiz.de/10012060920
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Movements in yields, not the equity premium : Bernanke-Kuttner redux
Nagel, Stefan; Xu, Zhengyang - 2024
counterfactual stock market index price change that results purely from the change in the default-free yield curve induced by the … monetary policy surprise. The yield curve change in turn partly reflects a change in expected future short-term interest rates …/odd week FOMC cycle in stock index returns is also largely due to an FOMC cycle in the yield curve rather than the equity …
Persistent link: https://www.econbiz.de/10015052545
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The fear premium and daily comovements of the S&P E/P ratio and treasury yields before and during the 2008 financial crisis
Faugère, Christophe (contributor) - 2013
Persistent link: https://www.econbiz.de/10010189580
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Inflation risk premia, yield volatility and macro factors
Berardi, Andrea; Plazzi, Alberto - 2018
We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999-2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds and survey...
Persistent link: https://www.econbiz.de/10011877284
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German bond yields and debt supply : is there a "bund premium"?
Paret, Anne-Charlotte; Weber, Anke - 2019
Are Bunds special? This paper estimates the 'Bund premium' as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign...
Persistent link: https://www.econbiz.de/10012154614
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The Fed and the question of financial stability : an empirical investigation
Grunspan, Thierry (contributor) - 2005
Persistent link: https://www.econbiz.de/10003304761
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Monetary policy shifts and the term structure
Ang, Andrew; Boivin, Jean; Dong, Sen; Loo-Kung, Rudy - 2009
Persistent link: https://www.econbiz.de/10003876505
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Monetary policy shifts and the term structure
Ang, Andrew; Boivin, Jean; Dong, Sen; Loo-Kung, Rudy - In: The review of economic studies 78 (2011) 2, pp. 429-457
Persistent link: https://www.econbiz.de/10009238873