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Monetary Shocks and Stock Returns : Identification Through the Impossible Trinity

Ozdagli, Ali - 2013

We present evidence of significant bias in event studies that investigate the effect of U.S. monetary policy on U.S. stock prices. To overcome this bias, we propose a new identification method based on the "Impossible Trinity" theory which argues that an economy with a fixed exchange rate and...

Persistent link: https://www.econbiz.de/10013075805

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

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

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

Extracting Expectations of New Zealand's Official Cash Rate from the Bank-Risk Yield Curve

Krippner, Leo - 2002

The hypothesis that a forward term-premium (FTP) exists between forward 1-day rates calculated from the New Zealand bank-risk yield curve and the corresponding ex-post Official Cash Rate (OCR) is tested by applying a single equation method for a cointegrated system to daily data from March 1999...

Persistent link: https://www.econbiz.de/10014113861

Interest Rate Skewness and Biased Beliefs

Chernov, Mikhail; Bauer, Michael D. - 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/10013222193

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