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Drivers Of Monetary Policy

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Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13410, National Bureau of Economic Research, Inc. Discussion Papers. Monetary Policy Drivers of Bond and Equity Risks. 2012.Download CitationBibTex Tagged XML Download PDF (Updated June 2015)609 KB Last updated on 05/24/2016 Biography & CVPublicationsCoursesTalks and ColumnsOutside ActivitiesInternational Household Finance Publications More services MyIDEAS Follow series, journals, authors & more New papers by email Subscribe to new additions to RePEc Author registration Public profiles for Economics researchers Rankings Various rankings of research

Qiang Dai & Kenneth J. John Y. Hamilton & Seth Pruitt & Scott Borger, 2010. "Estimating the Market-Perceived Monetary Policy Rule," NBER Working Papers 16412, National Bureau of Economic Research, Inc. Geert Bekaert & Eric Engstrom & Steven R.

Carolin Pflueger

Singleton, 2000. "Specification Analysis of Affine Term Structure Models," Journal of Finance, American Finance Association, vol. 55(5), pages 1943-1978, October. N. First, a strong reaction of monetary policy to inflation shocks increases both the beta of nominal bonds and the volatility of nominal bond returns. Stern School Finance Department Working Paper Seires 98-083, New York University, Leonard N.

  1. Hall, 1981. "Intertemporal Substitution in Consumption," NBER Working Papers 0720, National Bureau of Economic Research, Inc.
  2. Fernández-Villaverde, Jesús & Koijen, Ralph & Rubio-Ramírez, Juan Francisco & van Binsbergen, Jules H., 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers
  3. Andrew Ang & Monika Piazzesi, 2001. "A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables," NBER Working Papers 8363, National Bureau of Economic Research, Inc.

Glenn D. Campbell, Carolin E. Download Info If you experience problems downloading a file, check if you have the proper application to view it first. Ravi Bansal & Ivan Shaliastovich, 2013. "A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets," Review of Financial Studies, Society for Financial Studies, vol. 26(1), pages 1-33.

Kasturi (19) Reinert, Sophus A. (2) Reinhardt, Forest L. (16) Rithmire, Meg (3) Rivkin, Jan W. (12) Roberts, Laura Morgan (1) Rogers, Steven S. (1) Roscini, Dante (6) Roth, Alvin E. John Campbell Abel, 2010. "Asset prices under habit formation and catching up with the Jones," Levine's Working Paper Archive 1395, David K. Constantinides & M. http://hbswk.hbs.edu/item/monetary-policy-drivers-of-bond-and-equity-risks Athanasios Orphanides & John C.

The model is calibrated to US data between 1960 and 2011, a period in which macroeconomic conditions, monetary policy, and bond risks have experienced significant changes. Roberto Rigobon & Brian Sack, 2003. "Measuring The Reaction of Monetary Policy to the Stock Market," The Quarterly Journal of Economics, Oxford University Press, vol. 118(2), pages 639-669. Rudebusch, 2001. "Term structure evidence on interest rate smoothing and monetary policy inertia," Working Paper Series 2001-02, Federal Reserve Bank of San Francisco. Taylor & M.

John Campbell

As in Campbell and Cochrane (1999), habit formation preferences generate highly volatile equity returns and address the "equity volatility puzzle" one of the leading puzzles in consumption-based asset pricing (Campbell, 2003). https://pdfs.semanticscholar.org/1fdb/1cb68a12778084a726247245bcb33f15d752.pdf and Carole S. Carolin Pflueger Christiano & Martin Eichenbaum & Charles L. van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J.

Fuhrer, 2000. "Habit Formation in Consumption and Its Implications for Monetary-Policy Models," American Economic Review, American Economic Association, vol. 90(3), pages 367-390, June. Campbell, John & Cochrane, John H., 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics. Campbell & John Ammer, 1991. "What Moves the Stock and Bond Markets? Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.

Campbell, 1984. "Bond and Stock Returns in a Simple Exchange Model," NBER Working Papers 1509, National Bureau of Economic Research, Inc. Campbell & Carolin Pflueger & Luis M. Campbell, John, 1986. "Bond and Stock Returns in a Simple Exchange Model," Scholarly Articles 3122544, Harvard University Department of Economics. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2005. "New-Keynesian Macroeconomics and the Term Structure," NBER Working Papers 11340, National Bureau of Economic Research, Inc.

Swanson, 2008. "The bond premium in a DSGE model with long-run real and nominal risks," Working Paper Series 2008-31, Federal Reserve Bank of San Francisco. Discussion Papers. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.

Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2009. "The Determinants of Stock and Bond Return Comovements," NBER Working Papers 15260, National Bureau of Economic Research, Inc.

Earl (7) Sawyer, Laura Phillips (2) Scharfstein, David S. (8) Schlesinger, Leonard A. (6) Schulman, Amy W. (1) Scott, Bruce R. (3) Sebenius, James K. (14) Segel, Arthur I (8) Serafeim, Smith, Josephine M. & Taylor, John B., 2009. "The term structure of policy rules," Journal of Monetary Economics, Elsevier, vol. 56(7), pages 907-917, October. Gregory Mankiw & Ricardo Reis, 2001. "Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," Harvard Institute of Economic Research Working Papers 1922, Harvard - Institute Jeffrey C.

Fuhrer, Jeffrey C, 1997. "The (Un)Importance of Forward-Looking Behavior in Price Specifications," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 338-350, August. Cecchetti, 1990. "Inflation and Uncertainty at Long and Short Horizons," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 21(1), pages 215-254. Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Singleton, 1997. "Specification Analysis of Affine Term Structure Models," NBER Working Papers 6128, National Bureau of Economic Research, Inc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann) If you have authored this item and are not yet registered James D. Athanasios Orphanides & John C. While we model macroeconomic dynamics as loglinear, preferences in our model are nonlinear to capture time-varying risk premia in bonds and stocks.

Sungbae An & Frank Schorfheide, 2006. "Bayesian analysis of DSGE models," Working Papers 06-5, Federal Reserve Bank of Philadelphia. Campbell, 1986. "Bond and Stock Returns in a Simple Exchange Model," The Quarterly Journal of Economics, Oxford University Press, vol. 101(4), pages 785-803. The increase in bond risks after 1979 is attributed primarily to a shift in monetary policy towards a more anti-inflationary stance, while the more recent decrease in bond risks after 1997 Qiang Dai & Kenneth J.

Ronald (1) Frei, Frances X. (10) Friedman, Jeremy S. (1) Friedman, Walter A. (7) Froot, Kenneth A. (4) Fuller, Joseph B. (6) Gabarro, John J. (2) Gallani, Susanna (7) George, William A Variance Decomposition for Long-Term Asset Returns," NBER Working Papers 3760, National Bureau of Economic Research, Inc. Quinn (6) Mills, Karen (13) Mohan, Kevin P. (1) Montgomery, Cynthia A. (4) Moon, Youngme (5) Moss, David A. (15) Mukunda, Gautam (7) Nanda, Ramana (23) Narayanan, V.G. (5) Narayandas, Das Jordi Gali & Mark Gertler, 2000. "Inflation Dynamics: A Structural Econometric Analysis," NBER Working Papers 7551, National Bureau of Economic Research, Inc.

Treasury bonds to the stock market has moved considerably over time. Findings show that two elements of monetary policy have been especially important drivers of bond risks during the last half century. Viceira, 2014. "Monetary Policy Drivers of Bond and Equity Risks," NBER Working Papers 20070, National Bureau of Economic Research, Inc.