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Overnight Index Swap Market-Based Measures of Monetary Policy Expectations

Lloyd, Simon - 2018

I assess the use of overnight indexed swap (OIS) rates as measures of monetary policy expectations. I find that one to twelve-month US OIS rates provide measures of investors' interest rate expectations that are comparable to those from corresponding-horizon federal funds futures rates, which...

Persistent link: https://www.econbiz.de/10012925776

Narrative-driven fluctuations in sentiment : evidence linking traditional and social media

Macaulay, Alistair; Song, Wenting - 2023 - Last updated: April 14, 2023

This paper studies the role of narratives for macroeconomic fluctuations. We micro-found narratives as directed acyclic graphs and show how exposure to different narratives can affect expectations in an otherwise standard macroeconomic model. We capture such competing narratives in news media's...

Persistent link: https://www.econbiz.de/10014253790

Forward-Looking Information in VAR Models and the Price Puzzle

Brissimis, Sophocles N.; Magginas, Nicholas - 2022

In this paper we suggest a VAR specification that proves to be successful in resolving the price puzzle featuring in VARs used for monetary policy analysis. We show that augmenting a standard VAR with a small number of variables that have forward-looking informational content is capable of...

Persistent link: https://www.econbiz.de/10013404659

Expectations About the Federal Reserve's Balance Sheet and the Term Structure of Interest Rates

Ihrig, Jane E. - 2012

This paper provides a systematic assessment of the effect of the Federal Reserve's asset purchase programs on Treasury yields, with particular emphasis on the role of market expectations about the evolution of the Federal Reserve's balance sheet and of interest rates on the impact of the...

Persistent link: https://www.econbiz.de/10013096003

The term structure of expectations and bond yields

Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2016

characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of … by term premiums, not expected short rates or inflation; 2) term premiums co-move more strongly across maturities than … is primarily the result of a decline of expected inflation and term premiums while expected future real rates have …

Persistent link: https://www.econbiz.de/10011477349

The Expectations Theory Works for Monetary Policy Shocks

Roush, Jennifer E. - 2007

In practice, the expectations theory of the term structure is employed extensively in monetary policy analysis despite its empirical failure. This paper performs a conditional test of the theory that is directly relevant to monetary theory and policy. It finds that the theory holds quite well...

Persistent link: https://www.econbiz.de/10012778440

(Un)Expected Monetary Policy Shocks and Term Premia

Kliem, Martin - 2017

to recent reduced-form empirical estimates - with real risk two times more important than inflation risk. The model …

Persistent link: https://www.econbiz.de/10012944241

Interest rate skewness and biased beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021 - First draft: January 2021, this draft: June 16, 2021

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...

Persistent link: https://www.econbiz.de/10012547050

The term structure of expectations

Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel; … - 2021

of expectations for output growth, inflation, and the policy rate. We show that a simple unobserved components model of …

Persistent link: https://www.econbiz.de/10012660381

Interest rate skewness and biased beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021 - This draft: June 16, 2021

Persistent link: https://www.econbiz.de/10012584702

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