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Working Paper
Pre-announcement effects, news, and volatility: monetary policy and the stock market
Bomfim, Antúlio N.
(2000)
I examine pre-announcement and news effects on the stock market in the context of public disclosure of monetary policy decisions. The results suggest that the stock market tends to be relatively quiet--conditional volatility is abnormally low--on days preceding regularly scheduled policy announcements. Although this calming effect is routinely reported in anecdotal press accounts, it is statistically significant only over the past four to five years, a result that I attribute to changes in the Federal Reserve's disclosure practices in early 1994. The paper also looks at how the actual ...
Finance and Economics Discussion Series
, Paper 2000-50
Journal Article
Stock return and interest rate risk at Fannie Mae and Freddie Mac
Schmid, Frank A.
(2005-01)
Fannie Mae and Freddie Mac are government-sponsored enterprises (GSEs) with the stated objective of promoting home ownership by improving the availability of mortgage financing for private households. These enterprises engage in two separate and distinct lines of business: (i) assembling and marketing pools of mortgages on which they guarantee the timely payments of principal and interest and (ii) purchasing mortgage assets for their own portfolio, mostly funded with debt securities. This article examines the sensitivity of the returns on GSEs' equity shares to realizations of interest rate ...
Review
, Volume 87
, Issue Jan
, Pages 35-48
Report
The role of stock index derivative products in equity market volatility
Bhatt, Swati
(1987)
Research Paper
, Paper 8709
Journal Article
U.S. monetary policy: an introduction - Part 2: What are the goals of U.S. monetary policy?
anonymous
(2004)
This is the second of four consecutive issues devoted to our updated and expanded Q&A on monetary policy: (1) "How is the Federal Reserve structured?" and "What are the tools of U.S. monetary policy?" (2) "What are the goals of U.S. monetary policy?" (3) "How does monetary policy affect the U.S. economy?" and (4) "How does the Fed decide the appropriate setting for the policy instrument?" The revised text will appear in a pamphlet soon.
FRBSF Economic Letter
Conference Paper
The saga of the first stock index futures contract: benchmarks, models, and learning
Thomas, Sam
(2002)
Proceedings
Working Paper
Asymmetric cross-sectional dispersion in stock returns: evidence and implications
Duffee, Gregory R.
(2001)
This paper documents that daily stock returns of both firms and industries are more dispersed when the overall stock market rises than when it falls. This positive relation is conceptually distinct from - and appears unrelated to - asymmetric return correlations. I argue that the source of the relation is positive skewness in sector-specific return shocks. I use this asymmetric behavior to explain a previously-observed puzzle: aggregate trading volume tends to be higher on days when the stock market rises than when it falls. The idea proposed here is that trading is more active on days when ...
Working Paper Series
, Paper 2000-18
Journal Article
Comovements among national stock markets
Kasa, Kenneth
(1995)
This paper uses the methodology of Hansen and Jaganathan (1991) to derive a lower bound on the correlation between any pair of asset returns under the hypothesis of complete markets. The bound is a simple function of the two assets' Sharpe ratios and the coefficient of variation of a unique stochastic discount factor. The paper uses this bound to conduct robust, nonparametric tests of the hypothesis that international equity markets are integrated. ; Using monthly stock return data from the U.S., Japan, and Great Britain for the period 1980 through 1993, I find that conclusions about market ...
Economic Review
Working Paper
The stock market and monetary policy: the role of macroeconomic states
Zhang, Huan; Chang, Chih-Ping
(1995)
Working Papers
, Paper 9516
Conference Paper
Commentary: monetary policy and stock market booms
Geanakoplos, John
(2010)
Proceedings - Economic Policy Symposium - Jackson Hole
Journal Article
The vanishing equity premium
Clement, Douglas
(2001-06)
The Region
, Volume 15
, Issue Jun
, Pages 6-7
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