Monetary-Policy-Asset-Prices

Yang Han · Jun Ma

This paper proposes a shadow rate no-arbitrage dynamic term structure model (SDTSM) with drifting trends to estimate the long-run trend of the real interest rate using yield curve data from the U.S., …

Gorkem Bostanci · Guillermo Ordoñez

The paper studies how the two roles of stock markets — revealing information about firms’ fundamentals (which guides capital allocation) and providing liquidity — interact, arguing that when …

Stefania D'Amico · Iryna Kaminska

Using security-level data on individual corporate bond prices and the Bank of England’s published purchase quantities across its gilt purchase programs (QE1: £200bn, QE2: £125bn, QE3: £50bn, …

Veronica Backer-Peral · Jonathon Hazell · Atif Mian

Each month a fraction of UK property leases are extended by 90 years or more, creating thousands of natural experiments in which the same property’s rent and capital value are revealed …

Christoph Wegener · Robinson Kruse-Becher · Tony Klein

This paper tests whether the sharp rise in EU Emissions Trading System (EU ETS) allowance prices from 2018 onward was driven by a rational bubble. The methodological contribution is to modify the Fama …

Thomas Drechsel

This paper combines a hand-collected archival data set of over 800 personal interactions between U.S. Presidents and Federal Reserve officials from 1933 to 2016 with a narrative structural VAR to …

Francesco Saverio Gaudio

This paper documents a puzzle for canonical limited-participation models: when U.S. stock market participation rose from 31.6% to 53% between 1989 and 2007—a period also characterized by the Great …