Currently financial stress test simulations that take into account multiple interacting contagion mechanisms are conditional on a specific, subjectively imposed stress-scenario. Eigenvalue-based approaches, in contrast, provide a scenario-independent measure of systemic stability, but only...

This paper documents a strong association between stock-bond (SB) correlations and monetary policy regimes for a sample of 10 developed markets. Negative stock-bond correlations are associated with periods of accommodating monetary policy, but only in times of low inflation. Irrespective of the...

This study examines the relationship between bond fund flows, stock market returns and financial policies in developed and developing economies. The findings suggest a bidirectional (negative) relationship between bond flows and market returns in the presence of fiscal and monetary policy for...

We propose that institutional investors’ portfolio rebalancing across asset classes contributes to the stock market’s puzzlingly large response to monetary shocks. We identify this channel through a cross-sectional approach and find that, ceteris paribus, a stock with 10% higher ownership...

Large-Scale Asset Purchases can impact the price of securities directly, when securities are targeted by the central bank, or indirectly through portfolio re-balancing of private investors. We quantify both the direct and the portfolio re-balancing impact, emphasizing the role of investor...

The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by either real short-term interest rates or Taylor rule residuals varied substantially across countries in the period from 2003-2010. We use this cross-country variation in the (local) tightness...

The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003 - 2010. We use this cross-country variation in the (local) tightness of monetary policy to examine its...

The eurozone has a single short-term nominal interest rate, but monetary policy conditions measured by real short-term interest rates varied substantially across countries in the period 2003-2010. We use this cross-country variation in the (local) tightness of monetary policy to examine its...

The Federal Reserve has become a Supra-National Central Bank with Monetary Policy Effects on foreign equity markets that exceed the host country’s domestic central bank policy. In this paper we utilize macroeconomic data to demonstrate an outsized effect on domestic equity markets by Federal...