Search Results
Showing results 1 to 10 of approximately 15.
(refine search)
Report
How "unconventional" are large-scale asset purchases? The impact of monetary policy on asset prices
This paper examines the impact of large-scale asset purchases (LSAP) on U.S. asset prices (nominal and inflation-indexed bonds, stocks, and U.S. dollar spot exchange rates) using an event study with intraday data. The surprise component of LSAP announcements is identified from Financial Times articles. Estimation results show that the LSAP news has economically large and highly significant effects on asset prices, even after controlling for the surprise component of the Fed's conventional target rate decision and communication about its future path of policy. This study documents that the ...
Working Paper
The private premium in public bonds
This paper is the first to document the presence of a private premium in public bonds. We find that spreads are 31 basis points higher for public bonds of private companies than for bonds of public companies, even after controlling for observable differences, including rating, financial performance, industry, bond characteristics and issuance timing. The estimated private premium increases to 40 to 50 basis points when a propensity matching methodology is used or when we control for fixed issuer effects. Despite the premium pricing, bonds of private companies are no more likely to default or ...
Working Paper
Restrictions on Risk Prices in Dynamic Term Structure Models
Restrictions on the risk-pricing in dynamic term structure models (DTSMs) tighten the link between cross-sectional and time-series variation of interest rates, and make absence of arbitrage useful for inference about expectations. This paper presents a new econometric framework for estimation of affine Gaussian DTSMs under restrictions on risk prices, which addresses the issues of a large model space and of model uncertainty using a Bayesian approach. A simulation study demonstrates the good performance of the proposed method. Data for U.S. Treasury yields calls for tight restrictions on risk ...
Speech
Why are yield curves so flat and long rates so low globally? a speech at the Institute of International Bankers, New York, New York, June 15, 2006
Governor Randall S. Kroszner presented identical remarks at the Bankers' Association for Finance and Trade, New York, New York, on June 15, 2006
Speech
Asset bubbles and the implications for central bank policy
Remarks at The Economic Club of New York, New York City.
Working Paper
Bond positions, expectations, and the yield curve
This paper implements a structural model of the yield curve with data on nominal positions and survey forecasts. Bond prices are characterized in terms of investors' current portfolio holdings as well as their subjective beliefs about future bond payoffs. Risk premia measured by an econometrician vary because of changes in investors' subjective risk premia that are identified from portfolios and subjective beliefs but also because subjective beliefs differ from those of the econometrician. The main result is that investors' systematic forecast errors are an important source of business cycle ...
Working Paper
Comments on Piazzesi and Schneider's \"Bond positions, expectations, and the yield curve\"
This working paper comments on Monika Piazzesi and Martin Schneider's "Bond Positions, Expectations, and the Yield Curve," delivered at the Fiscal Policy and Monetary/Fiscal Policy Interactions conference held at the Atlanta Fed on April 19?20, 2007.
Journal Article
Arbitrage-free bond pricing with dynamic macroeconomic models
The authors examine the relationship between changes in short-term interest rates induced by monetary policy and the yields on long-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are puzzling from the perspective of simple structural macroeconomic models. The authors explore whether richer models of risk premiums, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. They study the properties of the yield curve when inflation is an exogenous process and ...
Journal Article
Bond price premiums