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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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Macro News and Long-Run Volatility Expectations
Vilhelmsson, Anders - 2020
I propose a new model-free method for estimating long-run changes in expected volatility using VIX futures contracts …. The method is applied to measure the effect on stock market volatility of scheduled macroeconomic news announcements. I … when policy uncertainty is higher than average. Real side macro announcements increase long-run volatility during times of …
Persistent link: https://www.econbiz.de/10012846253
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The effectiveness of stock prices on the phase of short-term interest rates : evidence from Eastern European countries
Yıldırım, Nurtac; Ozcelebi, Oguzhan; Kansu, Aydan - In: Advances in management & applied economics 3 (2013) 4, pp. 21-35
In recent years the issue of the role of asset prices in monetary setting has become increasingly topical since booms and busts in asset market are associated with the fluctuations in overall economic activity through its impacts on aggregate spending. In this study, we use Smooth Transition...
Persistent link: https://www.econbiz.de/10009759715
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Time-Varying Expectation Effects of Switching Financial Uncertainty
Chang, Yoosoon; Kim, Hwagyun; Qiu, Shi - 2022
process of switching steady-state levels of the volatility of market conditions (SS-uncertainty). Decision-makers predict SS …
Persistent link: https://www.econbiz.de/10013404953
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Long Term Expectations and Aggregate Fluctuations
Bordalo, Pedro; Gennaioli, Nicola; La Porta, Rafael; … - National Bureau of Economic Research - 2023
In line with Keynes' intuition, volatility in the stock market and in real economic activity are linked by expectations …'s excess volatility puzzle with the business cycle …
Persistent link: https://www.econbiz.de/10014337811
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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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TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models
Di Casola, Paola; Sichlimiris, Spyridon - 2020
Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...
Persistent link: https://www.econbiz.de/10012181050
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Investor Sentiment, Stock Markets and Macroeconomic Fluctuation : An Empirical Evidence from US
Shaiban, Mohammed Sharaf - 2017
Recent literature theoretically assumes that exuberant Investors' sentiments increase the price of capital, signals strong fundamentals of the real side of the economy and drive asymmetric nonlinear asset prices. This study offers empirical insights into the interaction between investor...
Persistent link: https://www.econbiz.de/10012949754
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Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations
R.T. Ferreira, Thiago - 2020
Using U.S. data from 1926 to 2015, I show that financial skewness?a measure comparing cross-sectional upside and downside risks of the distribution of stock market returns of financial firms?is a powerful predictor of business cycle fluctuations. I then show that shocks to financial skewness are...
Persistent link: https://www.econbiz.de/10014115594
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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...
Persistent link: https://www.econbiz.de/10014227600