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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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Stock Market Bubbles and Monetary Policy Effectiveness
Fullana, Olga - 2020
In this paper, we provide evidence on the response of stock market returns to monetary policy shocks but condition the analysis on both the direction of monetary policy surprises and business conditions. We follow a two-step approach: First, we use an structural vector autoregressive (SVAR)...
Persistent link: https://www.econbiz.de/10012855577
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Non-Monetary News in Central Bank Communication
Cieslak, Anna - 2019
We quantify the importance of non-monetary news in central bank communication. Using evidence from four major central banks and a comprehensive classification of events, we decompose news conveyed by central banks into news about monetary policy, economic growth, and separately, shocks to risk...
Persistent link: https://www.econbiz.de/10012896694
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Monetary Policy Slope and the Stock Market
Neuhierl, Andreas - 2018
We construct a slope factor from changes in federal funds futures of different horizons. A positive slope signals faster monetary policy tightening and predicts negative excess returns at the weekly frequency. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10012935261
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Monetary Policy Communication, Policy Slope, and the Stock Market
Neuhierl, Andreas - 2019
The slope factor is constructed from changes in federal funds futures of different horizons and predicts stock returns at the weekly frequency: faster policy easing positively predicts returns. It contains information about the speed of future monetary policy tightening and loosening, and...
Persistent link: https://www.econbiz.de/10012903509
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Monetary Policy and the Stock Market : Time-Series Evidence
Neuhierl, Andreas - 2017
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10012965931
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Asset Pricing on FOMC Announcements
Cujean, Julien; Jaeger, Samuel - 2023
Asset-pricing facts on FOMC announcements have changed strikingly in the last decade. The pre-announcement drift has disappeared, and other known facts - the announcement premium and a stronger CAPM - now concentrate on a subset of announcements. We propose these distinct patterns correspond to...
Persistent link: https://www.econbiz.de/10014254324
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Money Supply, Interest Rate, Liquidity and Share Prices : A Test of Their Linkage
Chung, Tinfah - 2013
The money supply impacts on interest rate and liquidity were first proposed in 1961 by Friedman, the late Nobel … laureate. The liquidity effect has yet received unanimous empirical support. Also, research interest on liquidity subsided in … positive liquidity effect from money supply. By extending the system of equations with a liquidity equation and after …
Persistent link: https://www.econbiz.de/10013084351
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A tractable model of indirect asset liquidity
Herrenbrueck, Lucas; Geromichalos, Athanasios - 2015
Assets have "indirect liquidity" if they cannot be used as media of exchange, but can be traded to obtain a medium of … liquidity, provides closed form solutions for real and nominal assets, and discusses properties of the solutions. Some of these …
Persistent link: https://www.econbiz.de/10011429961
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The time-varying relation between stock returns and monetary variables
McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...
Persistent link: https://www.econbiz.de/10012813273