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Inferring Equity Durations Around FOMC Surprises : Estimates and Implications
Chen, Zhanhui - 2020
Discount rates affect stock prices directly via the discount-rate channel or indirectly via the cash-flow channel because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect from the discount-rate channel. I propose a novel...
Persistent link: https://www.econbiz.de/10012851441
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A Note on Temporary Supply Shocks with Aggregate Demand Inertia
Caballero, Ricardo J.; Simsek, Alp - 2022
We study optimal monetary policy during temporary supply contractions when aggregate demand has inertia and expansionary policy is constrained. In this environment, it is optimal to run the economy hot until supply recovers. Positive output gaps in the low-supply phase lessen the negative output...
Persistent link: https://www.econbiz.de/10013282457
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A Note on Temporary Supply Shocks with Aggregate Demand Inertia
Caballero, Ricardo J.; Simsek, Alp - 2022
We study optimal monetary policy during temporary supply contractions when aggregate demand has inertia and expansionary policy is constrained. In this environment, it is optimal to run the economy hot until supply recovers. Positive output gaps in the low-supply phase lessen the negative output...
Persistent link: https://www.econbiz.de/10013282458
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A note on temporary supply shocks with aggregate demand inertia
Caballero, Ricardo J.; Simsek, Alp - 2022
We study optimal monetary policy during temporary supply contractions when aggregate demand has inertia and expansionary policy is constrained. In this environment, it is optimal to run the economy hot until supply recovers. Positive output gaps in the low-supply phase lessen the negative output...
Persistent link: https://www.econbiz.de/10012886884
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021
We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...
Persistent link: https://www.econbiz.de/10012705391
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Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach
Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022
We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation …. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why … financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on …
Persistent link: https://www.econbiz.de/10013210100
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2020
Incorporating arbitrage-free term-structure dynamics into a semi-structural macro-model, we jointly estimate the real equilibrium interest rate (r*), trend inflation, and term premia for the United States and the euro area, using a Bayesian approach. The natural real rate and trend inflation are...
Persistent link: https://www.econbiz.de/10012425011
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Monetary policy and wealth effects : the role of risk and heterogeneity
Caramp, Nicolas; Silva, Dejanir H. - 2024
We study the role of asset revaluation in the monetary transmission mechanism. We build an analytical heterogeneous-agents model with two main ingredients: i) rare disasters; ii) heterogeneous beliefs. The model captures time-varying risk premia and precautionary savings in a setting that nests...
Persistent link: https://www.econbiz.de/10014514921
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Rediscovering the CCAPM Lost in Data Revisions
Guo, Hui - 2020
information to the estimation and makes latest-vintage consumption a poor measure of systematic risk. Our calibration of a …
Persistent link: https://www.econbiz.de/10012847458
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Estimating models for monetary policy analysis in emerging countries
Garcia-Cicco, Javier - 2010
Persistent link: https://www.econbiz.de/10008810276