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Monetary policy shocks have a large impact on stock prices during narrow time windows centered around press releases by the FOMC. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and a network effect. We attribute 50 to 85 percent of...
Persistent link: https://www.econbiz.de/10012931110
Monetary policy shocks have a large impact on stock prices during narrow time windows centered around press releases by the FOMC. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and a network effect. We attribute 50 to 85 percent of...
Persistent link: https://www.econbiz.de/10011770624
Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...
Persistent link: https://www.econbiz.de/10011657891
The objective of this paper is to explore the sensitivity of industry-specific stock returns to monetary policy and macroeconomic news. The paper looks at a range of industry-specific South African stock market indices and evaluates the sensitivity of these indices to a various unanticipated...
Persistent link: https://www.econbiz.de/10010834055
The objective of this paper is to explore the sensitivity of industry-specific stock returns to monetary policy and macroeconomic news. The paper looks at a range of industry-specific South African stock market indices and evaluates the sensitivity of these indices to a various unanticipated...
Persistent link: https://www.econbiz.de/10010565808
Inflation risk is greatest in times of national or global stress; inflation risk is a form of a “tail risk.” A … traditional portfolio of stocks and bonds is exposed to inflation risk. The specific nature of an investor's liabilities and … spending determines inflation sensitivity beyond that of the asset portfolio. Commodities and TIPS are the most effective short …
Persistent link: https://www.econbiz.de/10013103540
values of capital gain yield against inflation and other supporting variables were first estimated and these predicted values … classical discussion among financial researchers about the inflation-hedging capabilities of stock investment in short to medium … regression, the empirical results of the study illustrate that capital gain is affected by inflation levels prevailing for the …
Persistent link: https://www.econbiz.de/10011259702
and realized and unexpected inflation, conditional on different market states and various nuances of inflation. Using a … Quantile-on-Quantile regression, we investigate the hedging properties of Bitcoin against inflation, thereby offering a fresh … look at the return-inflation puzzle from the point of view of alternative investments. We find that while bullish UK, Euro …
Persistent link: https://www.econbiz.de/10013245287
We examine the impact of inflation on financial development in Brazil and the data available permit us to cover the …, and robust for different estimators and financial development measures – suggest that inflation presented deleterious … inequality. Therefore, low and stable inflation, and all that it encompasses, is a necessary first step to achieve a deeper and …
Persistent link: https://www.econbiz.de/10010284524
We present new empirical evidence for the US economy that inflation reduces the inequality of the earnings distribution … higher inflation on income distribution is shown to be rather small. However, we find that a longer duration between two …
Persistent link: https://www.econbiz.de/10011507921