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Secular economic changes and bond yields

Feunou, Bruno; Fontaine, Jean-Sébastien - 2021 - Last updated: March 19, 2021

We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation, the real rate and output growth. Long-run restrictions identify nominal shocks that influence long-run inflation but do not influence the long-run real rate or output growth....

Persistent link: https://www.econbiz.de/10012488074

What we learn from China's rising shadow banking : exploring the nexus of monetary tightening and banks' role in entrusted lending

Chen, Kaiji; Ren, Jue; Zha, Tao - 2016

We argue that China's rising shadow banking was inextricably linked to potential balancesheet risks in the banking system. We substantiate this argument with three didactic findings: (1) commercial banks in general were prone to engage in channeling risky entrusted loans; (2) shadow banking...

Persistent link: https://www.econbiz.de/10011417738

Estimating the policy rule from money market rates when target rate changes are lumpy

Fontaine, Jean-Sébastien - 2012

monetary policy rule and risk premium. I study the information content of key policy announcements in the period from the end …

Persistent link: https://www.econbiz.de/10009728132

Monetary policy and mispricing in stock markets

Beckers, Benjamin; Bernoth, Kerstin - 2016

component, a risk premium, and a mispricing component. We argue that mispricing can arise for two reasons: (i) from false …

Persistent link: https://www.econbiz.de/10011526074

Tractable term-structure models and the zero lower bound

Feunou, Bruno; Fontaine, Jean-Sébastien; Le, Anh; … - 2015

We greatly expand the space of tractable term-structure models. We consider one example that combines positive yields with rich volatility and correlation dynamics. Bond prices are expressed in closed form and estimation is straightforward. We find that the early stages of a recession have...

Persistent link: https://www.econbiz.de/10011408691

Financial intermediaries and the macroeconomy : evidence from a high-frequency identification

Ottonello, Pablo; Song, Wenting - 2022 - Last updated: May 20, 2022

firms. These effects are more pronounced for firms with high default risk and low liquidity and when the aggregate net worth …

Persistent link: https://www.econbiz.de/10013252981

Expectation-driven term structure of equity and bond yields

Zeng, Ming; Zhao, Guihai - 2022 - Last updated: May 11, 2022

Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield...

Persistent link: https://www.econbiz.de/10013193433

Real exchange rate decompositions

Feunou, Bruno; Fontaine, Jean-Sébastien; Krohn, Ingomar - 2022

rate; cross-country differentials of expected inflation, yields and bond term premia; and an FX risk premium. Through a … variance decomposition exercise, we find that the FX risk premium is the dominant component. Monetary policies and … macroeconomic news announcements largely move the real exchange through changes in the FX risk premium. …

Persistent link: https://www.econbiz.de/10013175434

What Fed funds futures tell us about monetary policy uncertainty

Fontaine, Jean-Sébastien - 2016

funds futures data. The uncertainty is highest when it signals a loosening cycle. The uncertainty raises the risk premium in …

Persistent link: https://www.econbiz.de/10011576374

Show me the money : the monetary policy risk premium show me the money : the monetary policy risk premium

Ozdagli, Ali; Velikov, Mihail - 2016 - This version: December 2016

We study how monetary policy affects the cross-section of expected stock returns. For this purpose, we create a parsimonious monetary policy exposure (MPE) index based on observable firm characteristics that are theoretically linked to how firms react to monetary policy. We find that stocks...

Persistent link: https://www.econbiz.de/10011626785

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