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Uncertainty and monetary policy in good and bad times : a replication of the VAR investigation by Bloom (2009)
Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela - 2020
This paper revisits the well-known VAR evidence on the real effects of uncertainty shocks by Bloom (Econometrica 2009(3): 623-685. doi: 10.3982/ECTA6248). We replicate the results in a narrow sense using Eviews. In a wide sense, we extend his study by working with a smooth transition-VAR...
Persistent link: https://www.econbiz.de/10012263375
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How Do Unexpected E.C.B. And Fed Actions Affect EUR/USD Dynamics?
Boubel, Aurelie - 2013
This paper comprehensively calculates corporate intangible assets by industry from 1998 to 2009, and evaluates the impact of expensing intangible assets on the cost of capital, the METR, and the welfare cost of inter-asset taxation, under current law and alternative tax policy including recent...
Persistent link: https://www.econbiz.de/10013073287
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Asset Prices and Federal Funds Rate Shocks : The 2007-2009 Financial Crisis
Saggu, Aman - 2015
Persistent link: https://www.econbiz.de/10013020189
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Stock Market Reaction to Fed Funds Rate Surprises : State Dependence and the Financial Crisis
Saggu, Aman - 2015
This paper examines the response of US stock returns to Federal Funds rate (FFR) surprises between 1989 and 2012, focusing on the impact of the recent financial crisis. We find that outside the crisis period, stock prices increased as a response to unexpected FFR cuts. State dependence is...
Persistent link: https://www.econbiz.de/10013020193
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A Tale of Four Tails : Inflation, the Policy Rate, Longer-Term Rates, and Stock Prices
Anene, Dominic - 2018
We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail risks'...
Persistent link: https://www.econbiz.de/10012931347
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Dynamic impact of unconventional monetary policy on international REITs
Marfatia, Hardik A.; Gupta, Rangan; Lesame, Keagile - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-18
In this paper, we estimate the dynamic impact of unconventional monetary policy in the US on international REITs. Unlike existing studies which are limited to conventional policy tools and undertake a static approach, we use an event study approach and estimate a time-varying parameter model to...
Persistent link: https://www.econbiz.de/10012628426
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Comovements in Corporate Waves and the Monetary Policy
Colak, Gonul; Hasan, Iftekhar; Tekatli, Necati - 2021
the comovement dynamics. First, we trace the time-series properties of these waves and highlight their common statistical … dynamics. Finally, we show that the Fed's policy actions and announcements as well as the resultant policy uncertainty drive a … significant fraction of the comovements in corporate events, forming the basis for their common dynamics …
Persistent link: https://www.econbiz.de/10013244343
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Monetary policy surprises, central bank information shocks, and economic activity in a small open economy
Laséen, Stefan - 2020
In this paper I study the effects of monetary policy on economic activity and asset prices in Sweden, separately identifying the effects of a conventional policy change from effects of new information about economic fundamentals. Recent research has shown that high-frequency changes in policy...
Persistent link: https://www.econbiz.de/10012309007
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The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods
Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13
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....
Persistent link: https://www.econbiz.de/10012039605
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A tale of four tails : inflation, the policy rate, longer-term rates, and stock prices
Anene, Dominic; D'Amico, Stefania - 2017
We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...
Persistent link: https://www.econbiz.de/10011774934