Emanuel Moench

Deutsche Bundesbank

Head of Research

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

21

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6,935

CITATIONS
Rank 6,186

SSRN RANKINGS

Top 6,186

in Total Papers Citations

81

Scholarly Papers (21)

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 Deutsche Bundesbank
Downloads 2,662 (3,542)
Citation 3

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 Deutsche Bundesbank
Downloads 860 (22,269)
Citation 13

Abstract:

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

3.

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
Deutsche Bundesbank
Downloads 375 (63,228)
Citation 17

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

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
Central Bank of Brazil, Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 275 (93,470)

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
Carlos Carvalho, Nicholas Klagge and Emanuel Moench
Central Bank of Brazil, Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 98 (232,768)

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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
Carlos Carvalho, Nicholas Klagge and Emanuel Moench
Central Bank of Brazil, Federal Reserve Bank of New York and Deutsche Bundesbank

Abstract:

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

5.

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, Deutsche Bundesbank and Bank for International Settlements
Downloads 357 (48,945)
Citation 19

Abstract:

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return predictability, financial intermediation, macroeconomic dynamics, macroprudential policy

6.

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 Deutsche Bundesbank
Downloads 322 (57,148)
Citation 2

Abstract:

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

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 Deutsche Bundesbank
Downloads 143 (174,528)

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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 Deutsche Bundesbank
Downloads 104 (223,276)

Abstract:

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TIPS, inflation expectations, affine term structure models

Towards a Monthly Business Cycle Chronology for the Euro Area

Number of pages: 28 Posted: 01 Apr 2004
Emanuel Moench and Harald Uhlig
Deutsche Bundesbank and University of Chicago - Department of Economics
Downloads 227 (114,106)
Citation 1

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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
Deutsche Bundesbank and University of Chicago - Department of Economics
Downloads 20 (470,956)
Citation 1
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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
Deutsche Bundesbank 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 Deutsche Bundesbank
Downloads 182 (141,348)

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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 Deutsche Bundesbank
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Dynamic Asset Pricing, Fama-MacBeth Regressions, GMM, Minimum Distance Estimation, Reduced Rank Regression, Time-varying Betas

10.
Downloads 129 (189,205)

Fundamental Disagreement

FRB of New York Staff Report No. 655
Number of pages: 52 Posted: 11 Jan 2014 Last Revised: 07 Dec 2014
Banque de France, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 95 (237,835)

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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
Banque de France, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 34 (399,031)

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

11.

Conditional Asset Pricing with a Large Information Set

Number of pages: 38 Posted: 01 Mar 2007
Emanuel Moench
Deutsche Bundesbank
Downloads 128 (179,235)

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asset pricing, conditional CAPM, dynamic factor models, GMM

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, Deutsche Bundesbank and Bank for International Settlements
Downloads 92 (242,971)
Citation 11

Abstract:

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monetary policy, financial intermediation, capital markets

Macro Risk Premium and Intermediary Balance Sheet Quantities

IMF Economic Review, Vol. 58, Issue 1, pp. 179-207, 2010
Number of pages: 29 Posted: 18 Oct 2010
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements
Downloads 25 (442,199)
Citation 11
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13.

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
Deutsche Bundesbank, Federal Reserve Bank of New York and affiliation not provided to SSRN
Downloads 109 (176,158)
Citation 2

Abstract:

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mortgage, fixed-rate mortgage, adjustable-rate mortgage

14.

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
Deutsche Bundesbank, Columbia Business School - Economics Department and Federal Reserve Bank of New York
Downloads 104 (202,705)
Citation 6

Abstract:

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

15.

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, Deutsche Bundesbank and Bank for International Settlements
Downloads 88 (160,901)
Citation 1

Abstract:

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

16.

What Predicts U.S. Recessions?

FRB of New York Staff Report No. 691
Number of pages: 34 Posted: 13 Sep 2014
Weiling Liu and Emanuel Moench
Harvard Business School and Deutsche Bundesbank
Downloads 35 (275,536)

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

17.

A Hierarchical Factor Analysis of U.S. Housing Market Dynamics

Econometrics Journal, Vol. 14, No. 1, pp. C1-C24, 2011
Number of pages: 24 Posted: 28 Feb 2011
Emanuel Moench and Serena Ng
Deutsche Bundesbank and Columbia Business School - Economics Department
Downloads 2 (548,541)
Citation 2
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FAVAR, Hierarchical factor models, Mixed sampling frequency, Missing values

18.

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), Deutsche Bundesbank and Northwestern University - Department of Economics
Downloads 2 (548,541)
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Bayesian dynamic factor model, Calvo model, menu cost, rational inattention, sticky information

19.

Anchored Inflation Expectations

Number of pages: 73 Posted: 15 Aug 2017 Last Revised: 16 Aug 2017
Central Bank of Brazil, Federal Reserve Bank of New York, Deutsche Bundesbank and The University of Melbourne
Downloads 0 (336,146)

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Anchored expectations, inflation expectations, survey data

20.

Dynamic Leverage Asset Pricing

CEPR Discussion Paper No. DP11466
Number of pages: 49 Posted: 30 Aug 2016
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements
Downloads 0 (573,239)
Citation 1
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intermediary asset pricing, Leverage Cycles, Macro-Finance

21.

The Term Structure of Expectations and Bond Yields

FRB of NY Staff Report No. 775
Number of pages: 106 Posted: 31 May 2016 Last Revised: 30 Aug 2017
Richard K. Crump, Stefano Eusepi and Emanuel Moench
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 0 (175,140)

Abstract:

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