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Nominal GDP futures targeting
Sumner, Scott B. - In: Journal of financial stability 17 (2015), pp. 65-75
Persistent link: https://www.econbiz.de/10011574068
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Monetary policy surprises, positions of traders, and changes in commodity futures prices
Gospodinov, Nikolaj; Jamali, Ibrahim - 2013
Using futures data for the period 1990 - 2008, this paper finds evidence that expansionary monetary policy surprises tend to increase crude and heating oil prices, and contractionary monetary policy shocks increase gold and platinum prices. Our analysis uncovers substantial heterogeneity in the...
Persistent link: https://www.econbiz.de/10010201348
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Do macro shocks matter for equities?
Dison, Will; Theodoridis, Konstantinos - 2017
Persistent link: https://www.econbiz.de/10011912881
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Monetary Exchange in Over-the-Counter Markets : A Theory of Speculative Bubbles, the Fed Model, and Self-Fulfilling Liquidity Crises
Lagos, Ricardo - 2015
. The theory predicts that asset prices carry a speculative premium that reflects the asset's marketability and depends on … anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity …
Persistent link: https://www.econbiz.de/10013015987
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Monetary Exchange in Over-the-Counter Markets : A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises
Lagos, Ricardo - 2014
. The theory predicts that asset prices carry a speculative premium that reflects the asset's marketability and depends on … anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity …
Persistent link: https://www.econbiz.de/10013054305
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Monetary Exchange in Over-the-Counter Markets : A Theory of Speculative Bubbles, the Fed Model, and Self-fulfilling Liquidity Crises
Lagos, Ricardo - 2015
. The theory predicts that asset prices carry a speculative premium that reflects the asset's marketability and depends on … anomalous. The theory also exhibits rational expectations equilibria with recurring belief driven events that resemble liquidity …
Persistent link: https://www.econbiz.de/10012457141
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A risk-centric model of demand recessions and speculation
Caballero, Ricardo J.; Simsek, Alp - 2019
Persistent link: https://www.econbiz.de/10012177384
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Financial frictions and the futures pricing puzzle
Gwilym, Rhys ap; Ebrahim, Muhammed Shahid; Alaoui, … - In: Economic modelling 87 (2020), pp. 358-371
Persistent link: https://www.econbiz.de/10012416762
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The nature and impact of the market forecasting errors in the Federal funds futures market
Dunbar, Kwamie; Amin, Abu S. - In: The North American journal of economics and finance : a … 31 (2015), pp. 174-192
Persistent link: https://www.econbiz.de/10011514207
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Fundamental disagreement about monetary policy and the term structure of interest rates
Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021
Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....
Persistent link: https://www.econbiz.de/10012249767