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An Alternative Explanation for the "Fed Information Effect"
Regressions of private-sector macroeconomic forecast revisions on monetary policy surprises often produce coefficients with signs …
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Risk Appetite and the Risk-Taking Channel of Monetary Policy
Monetary policy affects financial markets and the broader economy in part by changing the risk appetite of investors. This article …
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Where is the Carbon Premium? Global Performance of Green and Brown Stocks
The relative equity pricing of more climate-friendly (“green”) versus less climate-friendly (“brown”) companies …
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Interest Rate Skewness and Biased Beliefs
The conditional skewness of Treasury yields is an important indicator of the risks to the macroeconomic outlook. Positive skewness …
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A Reassessment of Monetary Policy Surprises and High-Frequency Identification
High-frequency changes in interest rates around FOMC announcements are an important tool for identifying the effects of monetary policy …
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Market-Based Monetary Policy Uncertainty
Uncertainty about future policy rates plays a crucial role for the transmission of monetary policy to financial markets. We demonstrate …
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The Rising Cost of Climate Change: Evidence from the Bond Market
Social discount rates (SDRs) are crucial for evaluating the costs of climate change. We show that the fundamental anchor for …
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Interest Rates Under Falling Stars
Macro-finance theory implies that trend inflation and the equilibrium real interest rate are fundamental determinants of the yield …
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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 …
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Robust Bond Risk Premia
A consensus has recently emerged that variables beyond the level, slope, and curvature of the yield curve can help predict bond …
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