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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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Pricing Default Risk : The Good, The Bad, and The Anomaly
Ferreira Filipe, Sara - 2016
While empirical literature has documented a negative relation between default risk and stock returns, theory suggests …. In accordance with theory, we find that the systematic part, measured as the PD sensitivity to aggregate default risk, is …
Persistent link: https://www.econbiz.de/10013006759
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …
Persistent link: https://www.econbiz.de/10012175486
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Frictions in the Interbank Market and Uncertain Liquidity Needs : Implications for Monetary Policy Implementation
Bucher, Monika - 2014
This paper shows that depending on the distribution of banks' uncertain liquidity needs and on how monetary policy is …
Persistent link: https://www.econbiz.de/10013048042
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Fluctuations in Economic Uncertainty and Transmission of Monetary Policy Shocks : Evidence Using Daily Surveys from Brazil
Burjack, Rafael - 2019
We use a unique Brazilian dataset on daily survey expectations to obtain direct measures of shocks to central bank target rates and changes in economic uncertainty. Using these measures, we gauge the effect of monetary policy shocks on economic uncertainty, term premia, inflation expectations,...
Persistent link: https://www.econbiz.de/10012860102
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What Do Treasury Bond Risks Say about Supply and Demand Shocks?
Pflueger, Carolin E. - 2022
This paper analyzes how the risks of nominal and inflation-indexed Treasury bonds vary with the presence of supply and demand shocks through the lens of a small-scale New Keynesian model with habit formation preferences, where investors become more risk averse following adverse economic shocks....
Persistent link: https://www.econbiz.de/10013403693
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Pricing vulnerable options with stochastic liquidity risk
Wang, Xingchun - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-10
Persistent link: https://www.econbiz.de/10013449096
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Complexity and monetary policy
Orphanides, Athanasios; Wieland, Volker - 2012
The complexity resulting from intertwined uncertainties regarding model misspecification and mismeasurement of the state of the economy defines the monetary policy landscape. Using the euro area as laboratory this paper explores the design of robust policy guides aiming to maintain stability in...
Persistent link: https://www.econbiz.de/10010392194
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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...
Persistent link: https://www.econbiz.de/10013307935
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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