Emanuel Moench

Frankfurt School of Finance and Management

Adickesallee 32-34

Frankfurt am Main, 60322

Germany

SCHOLARLY PAPERS

34

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11,990

SSRN CITATIONS
Rank 1,690

SSRN RANKINGS

Top 1,690

in Total Papers Citations

479

CROSSREF CITATIONS

266

Scholarly Papers (34)

1.

The Pre-FOMC Announcement Drift

Journal of Finance, Forthcoming, FRB of New York Staff Report No. 512
Number of pages: 62 Posted: 07 Sep 2011 Last Revised: 01 Aug 2013
David O. Lucca and Emanuel Moench
Federal Reserve Banks - Federal Reserve Bank of New York and Frankfurt School of Finance and Management
Downloads 3,212 (5,284)
Citation 87

Abstract:

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FOMC announcements, equity premium, anomaly

2.

Pricing the Term Structure with Linear Regressions

FRB of New York Staff Report No. 340
Number of pages: 68 Posted: 22 Mar 2009 Last Revised: 07 May 2013
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Frankfurt School of Finance and Management
Downloads 1,379 (20,136)
Citation 134

Abstract:

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term structure of interest rates, Fama-MacBeth regressions, dynamic asset pricing model estimation

3.
Downloads 873 ( 39,055)
Citation 12

Anchored Inflation Expectations

Number of pages: 70 Posted: 15 Aug 2017 Last Revised: 28 Sep 2021
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics, University of Texas at Austin, Frankfurt School of Finance and Management and University of Melbourne - Department of Economics
Downloads 838 (40,729)
Citation 13

Abstract:

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Anchored expectations, in ation expectations, survey data

Anchored Inflation Expectations

CAMA Working Paper No. 25/2020 (Updated August 2021)
Number of pages: 70 Posted: 17 Mar 2020 Last Revised: 28 Sep 2021
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics, University of Texas at Austin, Frankfurt School of Finance and Management and University of Melbourne - Department of Economics
Downloads 35 (614,939)
Citation 4

Abstract:

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Anchored expectations, inflation expectations, survey data

Anchored Inflation Expectations

CEPR Discussion Paper No. DP13900
Number of pages: 73 Posted: 20 Aug 2019 Last Revised: 14 May 2021
University of Texas at Austin, Frankfurt School of Finance and Management, University of Melbourne - Department of Economics and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
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4.

Financial Intermediation, Asset Prices and Macroeconomic Dynamics

FRB of New York Staff Report No. 422
Number of pages: 42 Posted: 07 Jan 2010
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Frankfurt School of Finance and Management and Bank for International Settlements (BIS)
Downloads 636 (59,370)
Citation 72

Abstract:

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return predictability, financial intermediation, macroeconomic dynamics, macroprudential policy

5.

Forecasting through the Rear-View Mirror: Data Revisions and Bond Return Predictability

FRB of New York Staff Report No. 581
Number of pages: 41 Posted: 13 Nov 2012 Last Revised: 22 Mar 2014
Eric Ghysels, Casidhe Horan and Emanuel Moench
University of North Carolina Kenan-Flagler Business School, The Stephen M. Ross School of Business at the University of Michigan and Frankfurt School of Finance and Management
Downloads 530 (74,770)
Citation 32

Abstract:

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return predictability, real-time data, macroeconomic announcements, dynamic factor models

6.
Downloads 421 ( 98,339)
Citation 8

The Persistent Effects of a False News Shock

FRB of New York Staff Report No. 374
Number of pages: 32 Posted: 21 May 2009 Last Revised: 17 Nov 2011
Carlos Carvalho, Nicholas Klagge and Emanuel Moench
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics, Federal Reserve Bank of New York and Frankfurt School of Finance and Management
Downloads 302 (141,132)
Citation 8

Abstract:

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false news, natural experiment, United Airlines, noise, market efficiency, contagion

The Persistent Effects of a False News Shock

Number of pages: 31 Posted: 17 Nov 2011 Last Revised: 22 Jul 2019
Carlos Carvalho, Nicholas Klagge and Emanuel Moench
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics, Federal Reserve Bank of New York and Frankfurt School of Finance and Management
Downloads 119 (324,152)
Citation 1

Abstract:

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fake news, false news, natural experiment, United Airlines, noise, market efficiency, contagion

The Persistent Effects of a False News Shock

Journal of Empirical Finance, Vol. 18, No. 4, 2011
Posted: 17 Nov 2011 Last Revised: 22 Jul 2019
Carlos Carvalho, Nicholas Klagge and Emanuel Moench
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics, Federal Reserve Bank of New York and Frankfurt School of Finance and Management

Abstract:

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Fake News, False News, Natural Experiment, United Airlines, Noise, Market Efficiency

7.

Forecasting the Yield Curve in a Data-Rich Environment: A No-Arbitrage Factor-Augmented VAR Approach

EFA 2005 Moscow Meetings, ECB Working Paper No. 544, AFA 2007 Chicago Meetings Paper
Number of pages: 41 Posted: 06 Mar 2005
Emanuel Moench
Frankfurt School of Finance and Management
Downloads 415 (99,982)
Citation 4

Abstract:

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Affine term structure models, Yield curve, dynamic factor models, FAVAR

8.

Climate Change and Monetary Policy in the Euro Area

ECB Occasional Paper No. 2021/271
Number of pages: 193 Posted: 23 Sep 2021 Last Revised: 12 Jan 2022
European Central Bank (ECB), Frankfurt School of Finance and Management, European Central Bank (ECB), Bank of France, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), Bank of Italy, European Central Bank (ECB), De Nederlandsche Bank, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) - Directorate General International and European Relations, Central Bank of Cyprus, European Central Bank (ECB), Bank of Greece - Economic Research Department, De Nederlandsche Bank, Goethe University Frankfurt, European Central Bank (ECB), University of Bonn, European Central Bank (ECB), ECB, European Central Bank (ECB), European Central Bank (ECB), Central Bank of Ireland, Suomen Panki, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), De Nederlandsche Bank, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank, European Central Bank (ECB), European Central Bank (ECB) - Directorate General Economics, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Central Bank of Cyprus, European Central Bank (ECB), European Central Bank (ECB), Banco de España, Banco de España, Latvijas Banka, Banque Centrale du Luxembourg, European Central Bank (ECB), European Central Bank (ECB), National Bank of Belgium, European Central Bank (ECB), University of Manchester - Alliance Manchester Business School, Deutsche Bundesbank, Central Bank of Ireland, Deutsche Bundesbank, National and Kapodistrian University of Athens, De Nederlandsche Bank, Bank of Greece, Deutsche Bundesbank, European Central Bank (ECB) and Banque de France
Downloads 409 (101,693)

Abstract:

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climate change, environmental economics, green finance, monetary policy, sustainable growth economics

9.

The Term Structure of Expectations and Bond Yields

FRB of NY Staff Report No. 775
Number of pages: 88 Posted: 31 May 2016 Last Revised: 11 Apr 2018
Richard K. Crump, Stefano Eusepi and Emanuel Moench
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Frankfurt School of Finance and Management
Downloads 406 (102,552)
Citation 10

Abstract:

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term premiums, expectations formation, survey forecasts, monetary policy, business cycle fluctuations

10.
Downloads 373 (112,939)
Citation 34

Decomposing Real and Nominal Yield Curves

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 62 Posted: 03 Sep 2012 Last Revised: 07 Dec 2013
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Frankfurt School of Finance and Management
Downloads 198 (213,659)
Citation 26

Abstract:

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TIPS, inflation expectations, affine term structure models

Pricing TIPS and Treasuries with Linear Regressions

FRB of New York Staff Report No. 570
Number of pages: 57 Posted: 22 Sep 2012 Last Revised: 07 May 2013
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Frankfurt School of Finance and Management
Downloads 175 (238,222)
Citation 3

Abstract:

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TIPS, inflation expectations, affine term structure models

11.

Leverage Asset Pricing

FRB of New York Staff Report No. 625
Number of pages: 45 Posted: 05 Sep 2013
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Frankfurt School of Finance and Management and Bank for International Settlements (BIS)
Downloads 329 (129,705)
Citation 35

Abstract:

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return predictability, cross-sectional asset pricing, financial intermediation, macro-finance

12.
Downloads 284 (151,140)
Citation 4

OTC Discount

SAFE Working Paper No. 298
Number of pages: 68 Posted: 08 Dec 2020 Last Revised: 08 Oct 2021
Reserve Bank of Australia, Frankfurt School of Finance and Management, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 172 (241,824)
Citation 4

Abstract:

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Market Microstructure, Hybrid Markets, Venue Choice, Interdealer Brokerage, Fixed-Income, OTC Markets, Search Frictions, Information Frictions

OTC Discount

Deutsche Bundesbank Discussion Paper No. 42/2019
Number of pages: 69 Posted: 20 Dec 2019
Reserve Bank of Australia, Frankfurt School of Finance and Management, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 76 (433,285)

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Market Microstructure,Hybrid Markets,Venue Choice,Interdealer Brokerage,Fixed-Income,OTC Markets,Intermediation Frictions,Search Frictions,Information Frictions

OTC Discount

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 04 Jun 2018
Reserve Bank of Australia, Frankfurt School of Finance and Management, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 36 (608,836)

Abstract:

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venue choice, hybrid markets, sovereign bond markets

Towards a Monthly Business Cycle Chronology for the Euro Area

Number of pages: 28 Posted: 01 Apr 2004
Emanuel Moench and Harald Uhlig
Frankfurt School of Finance and Management and University of Chicago - Department of Economics
Downloads 261 (163,980)
Citation 5

Abstract:

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Business cycle, European business cycle, Euro area, Bry-Boschan, NBER methodology

Towards a Monthly Business Cycle Chronology for the Euro Area

CEPR Discussion Paper No. 4377
Number of pages: 29 Posted: 27 May 2004
Emanuel Moench and Harald Uhlig
Frankfurt School of Finance and Management and University of Chicago - Department of Economics
Downloads 20 (725,923)
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Business cycle, European business cycle, euro area, Bry-Boschan, NBER methodology

Towards a Monthly Business Cycle Chronology for the Euro Area

Journal of Business Cycle Measurement and Analysis, Vol. 1, No. 2, 2004
Posted: 20 Jun 2005
Emanuel Moench and Harald Uhlig
Frankfurt School of Finance and Management and University of Chicago - Department of Economics

Abstract:

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Business cycle, European business cycle, Euro area, Bry-Boschan, NBER methodology

Regression-Based Estimation of Dynamic Asset Pricing Models

FRB of New York Staff Report No. 493
Number of pages: 55 Posted: 12 May 2011 Last Revised: 09 Dec 2014
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Frankfurt School of Finance and Management
Downloads 261 (163,980)
Citation 4

Abstract:

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dynamic asset pricing, Fama-MacBeth regression, financial econometrics, GMM, minimum distance estimation, reduced rank regression

Regression Based Estimation of Dynamic Asset Pricing Models

CEPR Discussion Paper No. DP10449
Number of pages: 56 Posted: 02 Mar 2015
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Frankfurt School of Finance and Management
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Citation 9
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Dynamic Asset Pricing, Fama-MacBeth Regressions, GMM, Minimum Distance Estimation, Reduced Rank Regression, Time-varying Betas

15.

What Predicts U.S. Recessions?

FRB of New York Staff Report No. 691
Number of pages: 34 Posted: 22 Jul 2019
Weiling Liu and Emanuel Moench
Northeastern University and Frankfurt School of Finance and Management
Downloads 237 (180,723)
Citation 13

Abstract:

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recession predictability, ROC, term spread, leading indicators, efficient probit

16.

Why is the Market Share of Adjustable-Rate Mortgages so Low?

Current Issues in Economics and Finance, Vol. 16, No. 8, December 2010
Number of pages: 11 Posted: 09 Jan 2011
Emanuel Moench, James I. Vickery and David Aragon
Frankfurt School of Finance and Management, Federal Reserve Bank of Philadelphia and affiliation not provided to SSRN
Downloads 234 (182,926)
Citation 11

Abstract:

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mortgage, fixed-rate mortgage, adjustable-rate mortgage

17.

Dynamic Hierarchical Factor Models

FRB of New York Staff Report No. 412
Number of pages: 17 Posted: 15 Dec 2009 Last Revised: 31 Jul 2011
Emanuel Moench, Serena Ng and Simon Potter
Frankfurt School of Finance and Management, Columbia University - Columbia Business School, Economics and Peterson Institute for International Economics
Downloads 183 (229,118)
Citation 28

Abstract:

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forecasting, monitoring, comovements, large dimensional panel, diffusion index

Procyclical Asset Management and Bond Risk Premia

Deutsche Bundesbank Discussion Paper No. 38/2020
Number of pages: 60 Posted: 04 Aug 2020
Alexandru Barbu, Christoph Fricke and Emanuel Moench
INSEAD, European Systemic Risk Board and Frankfurt School of Finance and Management
Downloads 97 (373,105)

Abstract:

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institutional funds, institutional accounts, procyclical asset management, portfolio rebalancing, price impact, demand pressures, asset price volatility, career concerns

Procyclical Asset Management and Bond Risk Premia

ESRB: Working Paper Series 2021/116
Number of pages: 69 Posted: 15 Mar 2021
Alexandru Barbu, Christoph Fricke and Emanuel Moench
INSEAD, European Systemic Risk Board and Frankfurt School of Finance and Management
Downloads 82 (414,277)

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Procyclical Asset Management and Bond Risk Premia

CEPR Discussion Paper No. DP15123
Number of pages: 70 Posted: 18 Aug 2020 Last Revised: 01 Mar 2021
Alexandru Barbu, Christoph Fricke and Emanuel Moench
INSEAD, European Systemic Risk Board and Frankfurt School of Finance and Management
Downloads 1 (933,540)
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19.
Downloads 173 (240,367)
Citation 48

Fundamental Disagreement

FRB of New York Staff Report No. 655
Number of pages: 52 Posted: 11 Jan 2014 Last Revised: 07 Dec 2014
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Frankfurt School of Finance and Management
Downloads 130 (303,566)
Citation 4

Abstract:

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expectations, survey forecasts, imperfect information, term structure of disagreement

Fundamental Disagreement

Banque de France Working Paper No. 524
Number of pages: 57 Posted: 29 Nov 2014
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Frankfurt School of Finance and Management
Downloads 43 (569,638)
Citation 44

Abstract:

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Expectations, survey forecasts, imperfect information, term structure of disagreement

20.

Conditional Asset Pricing with a Large Information Set

Number of pages: 38 Posted: 01 Mar 2007
Emanuel Moench
Frankfurt School of Finance and Management
Downloads 148 (273,450)

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asset pricing, conditional CAPM, dynamic factor models, GMM

Equity Premium Predictability Over the Business Cycle

Deutsche Bundesbank Discussion Paper No. 25/2021
Number of pages: 1 Posted: 09 Sep 2021
Emanuel Moench and Tobias Stein
Frankfurt School of Finance and Management and Deutsche Bundesbank
Downloads 146 (277,301)

Abstract:

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Recession predictability, return predictability, business cycle, probit model, term spread

Equity Premium Predictability Over the Business Cycle

CEPR Discussion Paper No. DP16357
Number of pages: 70 Posted: 14 Jul 2021 Last Revised: 09 Nov 2021
Emanuel Moench and Tobias Stein
Frankfurt School of Finance and Management and Deutsche Bundesbank
Downloads 1 (933,540)
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Business cycle, Probit Model, Recession predictability, return predictability, term spread

Would Households Understand Average Inflation Targeting?

Number of pages: 46 Posted: 05 Oct 2021 Last Revised: 06 Dec 2021
Deutsche Bundesbank, Frankfurt School of Finance and Management, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 136 (293,264)

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Would Households Understand Average Inflation Targeting?

CEPR Discussion Paper No. DP16786
Number of pages: 44 Posted: 04 Feb 2022 Last Revised: 29 Mar 2022
Deutsche Bundesbank, Frankfurt School of Finance and Management, Deutsche Bundesbank and Deutsche Bundesbank
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Household Inflation Expectations, Monetary policy strategy, randomized control trial, survey data

23.

Macro Risk Premium and Intermediary Balance Sheet Quantities

FRB of New York Staff Report No. 428
Number of pages: 39 Posted: 03 Feb 2010
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Frankfurt School of Finance and Management and Bank for International Settlements (BIS)
Downloads 126 (309,430)
Citation 6

Abstract:

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monetary policy, financial intermediation, capital markets

24.

The Term Structure of Expectations

FRB of New York Staff Report No. 992, 2021
Number of pages: 74 Posted: 16 Nov 2021
Federal Reserve Banks - Federal Reserve Bank of New York, The University of Texas at Austin, Frankfurt School of Finance and Management and University of Melbourne - Department of Economics
Downloads 116 (330,351)

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expectation formation, imperfect information, survey forecasts, shifting endpoint models, monetary policy, term premiums

25.

Clear, Consistent and Engaging: ECB Monetary Policy Communication in a Changing World

ECB Occasional Paper No. 2021/274
Number of pages: 91 Posted: 23 Sep 2021 Last Revised: 19 Jan 2022
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Deutsche Bundesbank, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) - Directorate General International and European Relations, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Bank of Italy, European Central Bank (ECB) - Directorate General Research, Národná banka Slovenska, European Central Bank (ECB) - Directorate General International and European Relations, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Banco de España, European Central Bank (ECB), Frankfurt School of Finance and Management, European Central Bank (ECB), European Central Bank (ECB), Deutsche Bundesbank, Deutsche Bundesbank, Oesterreichische Nationalbank (OeNB), Bank of Greece, European Central Bank (ECB), European Central Bank (ECB), Bank of Greece, European Central Bank (ECB), European Central Bank (ECB), Bank of Slovenia, National Bank of Belgium, European Central Bank (ECB), Banque de France, Goethe University Frankfurt, Bank of Finland, Deutsche Bundesbank, Latvijas Banka, Deutsche BundesbankGoethe University Frankfurt - House of Finance, Banco de España, De Nederlandsche Bank, Národná banka Slovenska, Bank of Estonia, National Bank of Belgium, Central Bank of Cyprus and European Central Bank (ECB)
Downloads 109 (342,828)

Abstract:

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accountability, central bank, forward guidance, transparency, trust

26.

The Ecb's Price Stability Framework: Past Experience, and Current and Future Challenges

ECB Occasional Paper No. 2021269
Number of pages: 128 Posted: 23 Sep 2021 Last Revised: 18 Nov 2021
Bank of Italy, European Central Bank (ECB), European Central Bank (ECB), Banque de France - Centre de Recherche, Bank of Latvia, ECB -DG Monetary Policy, De Nederlandsche Bank, European Central Bank (ECB), Bank of Portugal, European Central Bank (ECB), European Central Bank (ECB), Bank of Italy, European Central Bank (ECB), Banque de France, Bank of Finland - Research, Central Bank of Cyprus, Deutsche BundesbankEuropean Central Bank (ECB)University of Kiel, European Central BankECB, European Central Bank (ECB), Central Bank of Ireland, Banco de España, Bank of Italy, Deutsche Bundesbank, Deutsche Bundesbank, Banque de France, European Central Bank (ECB), European Central Bank (ECB), De Nederlandsche Bank, European Central Bank, University of St. Gallen, European Central Bank (ECB) - Directorate General Research, European Central Bank (ECB), Bank of Finland, Central Bank of Ireland, European Central Bank (ECB), Deutsche Bundesbank, European Central Bank (ECB), Národná banka Slovenska, European Central Bank (ECB), European Central Bank (ECB), Banque de France, Deutsche Bundesbank, Bank of Greece, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Frankfurt School of Finance and Management, European Central Bank, European Central Bank, Banco de España, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Deutsche Bundesbank, National Bank of Belgium, Bank of Italy and Bank of Italy
Downloads 93 (380,104)

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effective lower bound, euro area, European Central Bank, monetary policy strategy, price stability

Safe Asset Shortage and Collateral Reuse

SAFE Working Paper No. 355
Number of pages: 50 Posted: 02 Aug 2022
Stephan Jank, Emanuel Moench and Michael Schneider
Deutsche Bundesbank, Frankfurt School of Finance and Management and Deutsche Bundesbank
Downloads 16 (761,572)

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safe assets, government bonds, collateral reuse, rehypothecation, repo market, securities lending

Safe Asset Shortage and Collateral Reuse

CEPR Discussion Paper No. DP16439
Number of pages: 47 Posted: 22 Sep 2021
Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR), Frankfurt School of Finance and Management and Deutsche Bundesbank
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collateral reuse, Government bonds, rehypothecation, repo market, safe assets, Securities lending

Safe Asset Shortage and Collateral Reuse

Deutsche Bundesbank Discussion Paper No. 39/2021
Number of pages: 48 Posted: 23 Nov 2021
Stephan Jank, Emanuel Moench and Michael Schneider
Deutsche Bundesbank, Frankfurt School of Finance and Management and Deutsche Bundesbank
Downloads 65 (471,531)

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safe assets, government bonds, collateral reuse, rehypothecation, repo market, securities lending

28.

On the Transmission of News and Mining Shocks in Bitcoin

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 41 Posted: 31 Oct 2019 Last Revised: 05 Nov 2019
Ester Faia, Sören Karau, Nora Lamersdorf and Emanuel Moench
Goethe University Frankfurt, Goethe University Frankfurt, Goethe University Frankfurt and Frankfurt School of Finance and Management
Downloads 74 (434,722)

Abstract:

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Bitcoin, Narrative approach, Electricity costs, Mining competition, Search frictions

29.

Procyclical Asset Management and Bond Risk Premia

Number of pages: 67 Posted: 27 Mar 2019 Last Revised: 05 Mar 2021
Alexandru Barbu, Christoph Fricke and Emanuel Moench
INSEAD, European Systemic Risk Board and Frankfurt School of Finance and Management
Downloads 73 (437,870)

Abstract:

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Institutional accounts,procyclical asset management,portfolio rebalancing,price impact, demand pressures, asset price volatility

Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates

FRB of New York Staff Report No. 934, Rev. August 2021
Number of pages: 33 Posted: 21 Jul 2020 Last Revised: 13 Aug 2021
Shenzhen Stock Exchange, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Frankfurt School of Finance and Management
Downloads 63 (479,247)

Abstract:

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disagreement, heterogeneous beliefs, noisy information, speculation, survey forecasts, yield curve, term premium

Fundamental Disagreement About Monetary Policy and the Term Structure of Interest Rates

CEPR Discussion Paper No. DP15122
Number of pages: 35 Posted: 18 Aug 2020 Last Revised: 22 Sep 2021
Shenzhen Stock Exchange, Federal Reserve Banks - Federal Reserve Bank of New York, Frankfurt School of Finance and Management and The University of Texas at Austin
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disagreement, heterogeneous beliefs, Noisy information, Speculation, Survey Forecasts, Term premium, yield curve

31.

Would Households Understand Average Inflation Targeting?

Deutsche Bundesbank Discussion Paper No. 17/2022
Number of pages: 1 Posted: 07 Jul 2022
Deutsche Bundesbank, Deutsche Bundesbank, Frankfurt School of Finance and Management and Deutsche Bundesbank
Downloads 6 (832,157)

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Monetary Policy Strategy, Household Inflation Expectations, Randomized Control Trial, Survey Data

32.

Sectoral Price Data and Models of Price Setting

CEPR Discussion Paper No. DP7339
Number of pages: 69 Posted: 26 Aug 2009
Bartosz Maćkowiak, Emanuel Moench and Mirko Wiederholt
European Central Bank (ECB), Frankfurt School of Finance and Management and Northwestern University - Department of Economics
Downloads 2 (878,965)
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Bayesian dynamic factor model, Calvo model, menu cost, rational inattention, sticky information

33.

What Moves Treasury Yields?

CEPR Discussion Paper No. DP15978
Number of pages: 68 Posted: 31 Mar 2021 Last Revised: 29 Mar 2022
Emanuel Moench and Soofi Siavash Soroosh
Frankfurt School of Finance and Management and Bank of Lithuania
Downloads 0 (910,098)
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business cycle news, news shocks, structural dynamic factor models, Term Structure of Interest Rates, volatility Shocks, yield curve

34.

Dynamic Leverage Asset Pricing

CEPR Discussion Paper No. DP11466
Number of pages: 58 Posted: 30 Aug 2016 Last Revised: 02 Dec 2019
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Frankfurt School of Finance and Management and Bank for International Settlements (BIS)
Downloads 0 (910,098)
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intermediary asset pricing, Leverage Cycles, Macro-Finance