This paper studies the term premium in a general equilibrium model with a financial constraint and central bank asset purchases. Structural estimates of the term premium match past empirical measures. Term premium dynamics are policy dependent, with Federal Reserve quantitative easing programs...

This paper revisits Keynes's writings from Indian Currency and Finance (1913) to The General Theory (1936) with a focus on financial instability. The analysis reveals Keynes's astute concerns about the stability/fragility of the banking system, especially under deflationary conditions. Keynes's...

As the coronavirus pandemic spread across the globe in early 2020, the European Central Bank as well as national governments in the euro area enacted or announced numerous economic policy measures to counteract the severe economic consequences of the resulting lockdowns. In this paper, the...

This paper analyzes the impact of US central bank communication on individual stock returns. We find a strong conditional effect of communication on stocks. The response of equities to central bank talk depends critically on the business cycle. In bad times, monetary policy communication...

Deliberately or not, by providing its stance on the prospects of the economy, rationalizing past decisions or announcing future actions, central banks influence financial markets' expectations of its future policy. In bad times, monetary policy communication inducing an upward revision of the...

This paper documents a strong association between stock-bond (SB) correlations and monetary policy regimes for a sample of 10 developed markets. Negative stock-bond correlations are associated with periods of accommodating monetary policy, but only in times of low inflation. Irrespective of the...

Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

Existing literature finds that U.S. monetary policy has powerful spillover effects on the Global Financial Cycle (GFC). We examine how important U.S. monetary policy shocks are relative to others in an estimation framework that allows for simultaneous identification of multiple shocks without...

Specific ideas about the Fisher relation between real and nominal interest rates and more general ideas about the nature of the central bank's duty to support the financial system in times of crisis were important to the Monetarist re-assessment of the causes of the Great Depression and what...