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The time-varying relation between stock returns and monetary variables
McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...
Persistent link: https://www.econbiz.de/10012813273
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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
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 volatility risk premium, futures-trading volume, and leverage appear to …
Persistent link: https://www.econbiz.de/10010395968
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Modeling persistent interest rates with volatility-induced stationarity
Hansen, Anne Lundgaard - 2019
volatilityinduced stationarity. Our model employs a leveldependent conditional volatility that maintains stationarity despite the …
Persistent link: https://www.econbiz.de/10012111254
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The Time-Varying Relation between Stock Returns and Monetary Variables
McMillan, David G. - 2021
The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time and this variation is largely driven by...
Persistent link: https://www.econbiz.de/10013313972
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Inferring Equity Durations Around FOMC Surprises : Estimates and Implications
Chen, Zhanhui - 2020
Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel...
Persistent link: https://www.econbiz.de/10012851441
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The real-time predictive content of asset price bubbles for macro forecasts
Beckers, Benjamin - 2015
This paper contributes to the debate of whether central banks can \lean against the wind" of emerging stock or house price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought forward by Phillips et al. (2011), can timely detect bubble...
Persistent link: https://www.econbiz.de/10011300629
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Asset Price Momentum and Monetary Policy : Time Varying Parameter Estimation of Taylor Rules
Bhar, Ramaprasad - 2013
against potential bubbles. Such effectiveness cannot adequately be evaluated if the Taylor Rule estimation follows the … varying parameter estimation methodology we find that equity momentum as an input in the Taylor Rule does not contribute to …
Persistent link: https://www.econbiz.de/10013073579
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Asset Price Momentum and Monetary Policy : Time Varying Parameter Estimation of Taylor Rules
Bhar, Ramaprasad - 2016
against potential bubbles. Such effectiveness cannot adequately be evaluated if the Taylor Rule estimation follows the … varying parameter estimation methodology we find that equity momentum as an input in the Taylor Rule does not contribute to …
Persistent link: https://www.econbiz.de/10012995224
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The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom : evidence from over 150 years of data
Gupta, Rangan; Wohar, Mark E. - In: Economics and Business Letters : EBL 8 (2019) 3, pp. 138-146
Persistent link: https://www.econbiz.de/10012156567
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Monetary Policy Uncertainty and Bond Risk Premium
Jiang, Fuwei - 2017
We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the news based MPU measure in Baker, Bloom, and Davis (2016) to capture monetary policy uncertainty, we find that MPU forecasts significantly and positively future monthly Treasury...
Persistent link: https://www.econbiz.de/10012968326