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Macro expectations, aggregate uncertainty, and expected term premia
Dick, Christian D.; Schmeling, Maik; Schrimpf, Andreas - 2010
Based on individual expectations from the Survey of Professional Forecasters, we construct a real-time proxy for expected term premium changes on long-term bonds. We empirically investigate the relation of these bond term premium expectations with expectations about key macroeconomic variables...
Persistent link: https://www.econbiz.de/10008660631
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Business-Cycle Variation in Macroeconomic Uncertainty and the Cross-Section of Expected Returns : Evidence for Scale-Dependent Risks
Xyngis, Georgios - 2017
A single factor that captures assets' exposure to business-cycle variation in macroeconomic uncertainty can explain the level and cross-sectional differences of asset returns. Specifically, based on portfolio-level tests I demonstrate that fluctuations in uncertainty with persistence ranging...
Persistent link: https://www.econbiz.de/10014133052
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Financial Market Risk Perceptions and the Macroeconomy
Pflueger, Carolin E. - 2019
-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSt is high when perceived risk …
Persistent link: https://www.econbiz.de/10012902628
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The Announcement of Monetary Policy Intentions
Ferrero, Giuseppe - 2010
Whether a central bank should share with the public its views about the future evolution of short term interest rates is an unresolved issue. Disclosing this information might allow a more precise control of market expectations and a more effective achievement of the ultimate goals of the...
Persistent link: https://www.econbiz.de/10013149808
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What is the Real Story for Interest Rate Volatility?
Hornstein, Andreas - 2012
What is the source of interest rate volatility? Why do low interest rates precede business cycle booms? Most observers …
Persistent link: https://www.econbiz.de/10013101898
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Do Long Term Interest Rates Drive GDP and Inflation in Small Open Economies? Evidence from Poland
Wesolowski, Grzegorz - 2016
significantly inflation volatility in Poland. I derive this result from an estimated DSGE model of a small open economy. GDP … volatility would have been much higher if the endogenous part of the term premium had been switched off in the model, while the … inflation volatility has not been affected by the presence of the term premium. At the same time, the term premium shock had …
Persistent link: https://www.econbiz.de/10012987476
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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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Diagnostic Expectations and Macroeconomic Volatility
L'Huillier, Jean-Paul; Singh, Sanjay R.; Yoo, Donghoon - 2021
generality. Under some conditions, diagnostic expectations generate higher volatility than rational expectations. We show that …
Persistent link: https://www.econbiz.de/10013241641
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Why crises happen : nonstationary macroeconomics
Davidson, James E. H.; Meenagh, David; Minford, Patrick; … - 2010
A Real Business Cycle model of the UK is developed to account for the behaviour of UK nonstationary macro data. The model is tested by the method of indirect inference, bootstrapping the errors to generate 95% confidence limits for a VECM representation of the data; we find the model can explain...
Persistent link: https://www.econbiz.de/10008758527