Emanuel Moench

Deutsche Bundesbank

Head of Research

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

22

DOWNLOADS
Rank 5,213

SSRN RANKINGS

Top 5,213

in Total Papers Downloads

7,923

CITATIONS
Rank 902

SSRN RANKINGS

Top 902

in Total Papers Citations

388

Scholarly Papers (22)

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 2,870 (3,859)
Citation 88

Abstract:

Loading...

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 1,049 (19,847)
Citation 137

Abstract:

Loading...

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

3.

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 (BIS)
Downloads 520 (52,055)
Citation 69

Abstract:

Loading...

return predictability, financial intermediation, macroeconomic dynamics, macroprudential policy

4.

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 466 (59,748)
Citation 22

Abstract:

Loading...

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

5.

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 394 (73,159)
Citation 36

Abstract:

Loading...

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

6.
Downloads 393 ( 73,361)
Citation 9

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
Government of the Federative Republic of Brazil - Central Bank of Brazil, Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 289 (103,191)
Citation 8

Abstract:

Loading...

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
Government of the Federative Republic of Brazil - Central Bank of Brazil, Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 104 (256,742)
Citation 4

Abstract:

Loading...

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
Government of the Federative Republic of Brazil - Central Bank of Brazil, Federal Reserve Bank of New York and Deutsche Bundesbank

Abstract:

Loading...

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

7.
Downloads 277 (108,541)
Citation 33

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 158 (185,265)
Citation 34

Abstract:

Loading...

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 119 (232,790)
Citation 1

Abstract:

Loading...

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 242 (124,281)
Citation 1

Abstract:

Loading...

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 (533,113)
Citation 2
  • Add to Cart

Abstract:

Loading...

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:

Loading...

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

9.

Anchored Inflation Expectations

Number of pages: 58 Posted: 15 Aug 2017 Last Revised: 28 Feb 2019
Government of the Federative Republic of Brazil - Central Bank of Brazil, University of Texas at Austin, Deutsche Bundesbank and University of Melbourne - Department of Economics
Downloads 247 (122,230)
Citation 3

Abstract:

Loading...

Anchored expectations, inflation expectations, survey data

10.

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 (BIS)
Downloads 221 (136,503)
Citation 22

Abstract:

Loading...

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

11.

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 Deutsche Bundesbank
Downloads 217 (138,946)
Citation 6

Abstract:

Loading...

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

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 204 (147,049)
Citation 4

Abstract:

Loading...

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
Downloads 0
Citation 9
  • Add to Cart

Abstract:

Loading...

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

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 171 (172,887)
Citation 13

Abstract:

Loading...

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 146 (197,532)
Citation 28

Abstract:

Loading...

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

15.

Conditional Asset Pricing with a Large Information Set

Number of pages: 38 Posted: 01 Mar 2007
Emanuel Moench
Deutsche Bundesbank
Downloads 140 (204,360)

Abstract:

Loading...

asset pricing, conditional CAPM, dynamic factor models, GMM

16.
Downloads 138 (206,718)
Citation 42

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 Deutsche Bundesbank
Downloads 103 (258,480)
Citation 4

Abstract:

Loading...

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 Deutsche Bundesbank
Downloads 35 (449,867)
Citation 44

Abstract:

Loading...

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

17.

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 (BIS)
Downloads 98 (265,601)
Citation 35

Abstract:

Loading...

monetary policy, financial intermediation, capital markets

18.

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 Deutsche Bundesbank
Downloads 83 (294,964)
Citation 5

Abstract:

Loading...

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

19.

OTC Discount

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 04 Jun 2018
Reserve Bank of Australia, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 23 (498,359)

Abstract:

Loading...

venue choice, hybrid markets, sovereign bond markets

20.

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 (631,365)
Citation 16
  • Add to Cart

Abstract:

Loading...

FAVAR, Hierarchical factor models, Mixed sampling frequency, Missing values

21.

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 (631,365)
  • Add to Cart

Abstract:

Loading...

Bayesian dynamic factor model, Calvo model, menu cost, rational inattention, sticky information

22.

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 (BIS)
Downloads 0 (662,094)
  • Add to Cart

Abstract:

Loading...

intermediary asset pricing, Leverage Cycles, Macro-Finance

Other Papers (1)

Total Downloads: 3
1.

The Investment Behavior of Institutional Accounts

Number of pages: 61 Posted: 27 Mar 2019
Alexandru Barbu, Christoph Fricke and Emanuel Moench
London Business School, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 3

Abstract:

Loading...

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