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Monetary policy uncertainty and stock market volatility
Ma, Chaoqun; Hsiao(Xiao), Shisong; Zhang, Ting; Deng, Liurui - 2022
The paper investigates the effect of monetary policy uncertainty on stock market volatility. Higher monetary … uncertainty leads to lower stock market volatility both in sample and out of sample. Monetary policy uncertainty matters more for … the volatility of big firms, profitable firms and past winner firms. The channel of future cash flow volatility helps …
Persistent link: https://www.econbiz.de/10013307935
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Monetary Policy and Asset Valuation
Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2021
We document large, longer-term, joint regime shifts in asset valuations and the real federal funds rate-r* spread. To interpret these findings, we estimate a novel macro-finance model of monetary transmission and find that the documented regimes coincide with shifts in the parameters of a policy...
Persistent link: https://www.econbiz.de/10013234115
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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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Risk, monetary policy and asset prices in a global world
Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023
We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the...
Persistent link: https://www.econbiz.de/10014483035
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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
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Bitcoin bubble trouble
Kreuser, Jérôme; Sornette, Didier - 2018 - Revised 18-Jun-18
We present a dynamic Rational Expectations (RE) bubble model of prices with the intention to evaluate it on optimal investment strategies applied to Bitcoin. Our bubble model is defined as a geometric Brownian motion combined with separate crash (and rally) discrete jump distributions associated...
Persistent link: https://www.econbiz.de/10011899594
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Flighty Liquidity
Boyarchenko, Nina - 2019
measures of market-wide volatility and market-maker constraints do not contain information useful for predicting the …
Persistent link: https://www.econbiz.de/10012897700
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Global Price of Risk and Stabilization Policies
Adrian, Tobias - 2017
the CBOE Volatility Index (VIX). We show that countries' exposure to the global price of risk is related to macroeconomic … risks as measured by output, credit, and inflation volatility, the magnitude of financial crises, and stock and bond market … downside risk. Higher exposure to the global price of risk corresponds to both higher output volatility and higher output …
Persistent link: https://www.econbiz.de/10012968499
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Term Premium Variability and Monetary Policy
Fuerst, Timothy S. - 2016
Two traditional explanations for the mean and variability of the term premium are: (i) time-varying risk premia on long bonds, and (ii) segmented markets between long- and short-term bonds. This paper integrates these two approaches into a medium-scale DSGE model. We consider two sources of...
Persistent link: https://www.econbiz.de/10012990954