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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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Liquidity risk and funding cost
Bechtel, Alexander; Ranaldo, Angelo; Wrampelmeyer, Jan - 2019
We propose and test a new channel that links funding liquidity risk and interest rates in short-term funding markets …. Borrowers with high liquidity risk are willing to pay a markup to lock in their funding, independent of risk premiums demanded … borrowers' funding liquidity risk that lead to systematic and persistent heterogeneity in funding costs. Our results have …
Persistent link: https://www.econbiz.de/10012050871
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A Portfolio Model of Quantitative Easing
Christensen, Jens Henrik Eggert - 2016
This paper presents a portfolio model of asset price effects arising from large-scale asset purchases by central banks — commonly known as quantitative easing (QE). Two financial frictions, segmentation of the market for central bank reserves and imperfect asset substitutability, give rise to...
Persistent link: https://www.econbiz.de/10012992570
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Portfolio Balance Effects and the Federal Reserve's Large-Scale Asset Purchases
Emmerling, Thomas - 2018
Whereas much of previous literature focuses upon the impact on yields from the Federal Reserve's large-scale asset purchases (LSAPs), we study the changes to expected returns. Through a simple general equilibrium model, we motivate how LSAPs may impact equilibrium bond and equity expected...
Persistent link: https://www.econbiz.de/10012938004
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Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect
Caballero, Ricardo J.; Simsek, Alp - 2022
We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...
Persistent link: https://www.econbiz.de/10013093040
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How foreign participation in the Colombian local public debt market has influenced domestic financial conditions
Romero, José Vicente; Vargas H., Hernando; Cardozo, Pamela - In: Latin American journal of central banking : LAJCB 2 (2021) 4, pp. 1-24
Since 2014, participation of foreign investors in the Colombian local public bond market has increased substantially. One of the factors that has driven this result is the increased weight of Colombia in JP Morgan´s Government Bond Index. Some evidence suggests that the resulting inflows have...
Persistent link: https://www.econbiz.de/10012938901
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Monetary Policy During Liquidity Dry-Ups
Fiesel, Stefan - 2017
We provide new international evidence for a monetary policy liquidity transmission channel in the United States, United … channel, we rely on a nonlinear and international economic set-up to distinguish between times of liquidity crisis and non …
Persistent link: https://www.econbiz.de/10012949651
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The liquidity reserve funding and management strategies
Heidorn, Thomas; Buschmann, Christian - 2014
This paper investigates the managing strategies of a bank's liquidity reserve in the broader context of the role of … asset-liability management according to the liquidity issues of a banking organisation. Several types of liquidity are … presented and how these are interconnected and how they might affect a financial institution's liquidity risk. When managing the …
Persistent link: https://www.econbiz.de/10010340136
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Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability
De Santis, Roberto A.; Favero, Carlo A.; Roffia, Barbara - 2008
The long-run relationship between money and prices in the euro area embedded in traditional money demand models with income and interest rates broke down after 2001. We develop a money demand model where investors hold a diversified portfolio with money, domestic and foreign stocks and long-term...
Persistent link: https://www.econbiz.de/10011604972
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Wealth and the Cash Asset Proportion
Graves, Philip E. - 2010
I argue here that the cash asset proportion falls with increased wealth using data from the 1962 Survey of Consumer Finances. This result is at odds with what would be expected under Arrow's Increasing Relative Risk Aversion hypothesis and is also at odds with Friedman's assertions that money is...
Persistent link: https://www.econbiz.de/10013152099