Emanuel Moench

Deutsche Bundesbank

Head of Research

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

http://https://www.bundesbank.de/en/emanuel-moench

Goethe University Frankfurt - Department of Money and Macroeconomics

Germany

SCHOLARLY PAPERS

25

DOWNLOADS
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Top 5,296

in Total Papers Downloads

8,575

SSRN CITATIONS
Rank 2,032

SSRN RANKINGS

Top 2,032

in Total Papers Citations

324

CROSSREF CITATIONS

265

Scholarly Papers (25)

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 2,963 (4,207)
Citation 69

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 1,130 (20,051)
Citation 118

Abstract:

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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 568 (52,053)
Citation 68

Abstract:

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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 484 (63,663)
Citation 28

Abstract:

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

5.
Downloads 404 ( 79,153)
Citation 7

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 Deutsche Bundesbank
Downloads 293 (112,942)
Citation 6

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 Deutsche Bundesbank
Downloads 111 (270,155)
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 Deutsche Bundesbank

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

6.

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 400 (80,111)
Citation 3

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

7.
Downloads 371 ( 87,388)
Citation 9

Anchored Inflation Expectations

Number of pages: 67 Posted: 15 Aug 2017 Last Revised: 30 Mar 2020
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics, University of Texas at Austin, Deutsche Bundesbank and University of Melbourne - Department of Economics
Downloads 363 (88,924)
Citation 13

Abstract:

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Anchored expectations, inflation expectations, survey data

Anchored Inflation Expectations

CAMA Working Paper No. 25/2020
Number of pages: 69 Posted: 17 Mar 2020
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics, University of Texas at Austin, Deutsche Bundesbank and University of Melbourne - Department of Economics
Downloads 8 (675,556)

Abstract:

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Anchored expectations, inflation expectations, survey data

Anchored Inflation Expectations

CEPR Discussion Paper No. DP13900
Number of pages: 70 Posted: 20 Aug 2019 Last Revised: 24 Mar 2020
University of Texas at Austin, Deutsche Bundesbank, University of Melbourne - Department of Economics and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
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Anchored expectations, Inflation expectations, survey data

8.
Downloads 300 (110,766)
Citation 24

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 167 (195,105)
Citation 23

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 Deutsche Bundesbank
Downloads 133 (235,845)
Citation 2

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 243 (137,422)
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
Deutsche Bundesbank and University of Chicago - Department of Economics
Downloads 20 (586,179)
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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

10.

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 262 (127,845)
Citation 6

Abstract:

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

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, Deutsche Bundesbank and Bank for International Settlements (BIS)
Downloads 244 (137,397)
Citation 25

Abstract:

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

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 222 (150,222)
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 Deutsche Bundesbank
Downloads 0
Citation 4
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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 184 (179,155)
Citation 9

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 Peter G. Peterson Institute for International Economics
Downloads 154 (208,874)
Citation 19

Abstract:

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

15.
Downloads 149 (214,625)
Citation 36

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 111 (270,155)
Citation 3

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 Deutsche Bundesbank
Downloads 38 (480,176)
Citation 39

Abstract:

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

16.

Conditional Asset Pricing with a Large Information Set

Number of pages: 38 Posted: 01 Mar 2007
Emanuel Moench
Deutsche Bundesbank
Downloads 140 (225,626)

Abstract:

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asset pricing, conditional CAPM, dynamic factor models, GMM

17.

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 104 (281,309)
Citation 6

Abstract:

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

18.

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 104 (281,309)
Citation 3

Abstract:

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monetary policy, financial intermediation, capital markets

19.
Downloads 55 (404,492)

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 30 (521,328)

Abstract:

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venue choice, hybrid markets, sovereign bond markets

OTC Discount

Deutsche Bundesbank Discussion Paper No. 42/2019
Number of pages: 69 Posted: 20 Dec 2019
Reserve Bank of Australia, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 25 (552,048)

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

20.

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
Goethe University Frankfurt, Goethe University Frankfurt, Goethe University Frankfurt and Deutsche Bundesbank
Downloads 46 (436,940)

Abstract:

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

21.

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

FRB of New York Staff Report No. 934
Number of pages: 39 Posted: 21 Jul 2020
Shenzhen Stock Exchange, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Deutsche Bundesbank
Downloads 15 (599,472)

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

22.

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
London Business School, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 9 (641,020)

Abstract:

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

23.

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 (695,836)
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FAVAR, Hierarchical factor models, Mixed sampling frequency, Missing values

24.

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 (695,836)
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Bayesian dynamic factor model, Calvo model, menu cost, rational inattention, sticky information

25.

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, Deutsche Bundesbank and Bank for International Settlements (BIS)
Downloads 0 (726,220)
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intermediary asset pricing, Leverage Cycles, Macro-Finance

Other Papers (1)

Total Downloads: 4
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 4

Abstract:

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