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Interest Rate Risk around Monetary Policy Announcements and Asset Duration
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Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/bs.hesmac.2016.03.003openalex-snapshot
Macroeconomic Shocks and Their Propagation
inferredcites →https://doi.org/10.1016/j.jfineco.2011.02.014openalex-snapshot
The term structures of equity and interest rates
inferredcites →https://doi.org/10.1016/j.jfineco.2014.04.005openalex-snapshot
Asset pricing: A tale of two days
inferredcites →https://doi.org/10.1016/j.jfineco.2017.01.009openalex-snapshot
The term structure of returns: Facts and theory
inferredcites →https://doi.org/10.1016/j.jfineco.2021.05.059openalex-snapshot
Reconstructing the yield curve
inferredcites →https://doi.org/10.1016/j.jfineco.2021.07.002openalex-snapshot
The cross section of the monetary policy announcement premium
inferredcites →https://doi.org/10.1016/j.jfineco.2021.09.015openalex-snapshot
Premium for heightened uncertainty: Explaining pre-announcement market returns
inferredcites →https://doi.org/10.1016/j.jmoneco.2007.06.029openalex-snapshot
The U.S. Treasury yield curve: 1961 to the present
inferredcites →https://doi.org/10.1017/s002210901300015xopenalex-snapshot
How Much Do Investors Care About Macroeconomic Risk? Evidence from Scheduled Economic Announcements
inferredcites →https://doi.org/10.1023/b:rast.0000028186.44328.3fopenalex-snapshot
Implied Equity Duration: A New Measure of Equity Risk
inferredcites →https://doi.org/10.1086/426038openalex-snapshot
Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy
inferredcites →https://doi.org/10.1086/588200openalex-snapshot
Consumption Strikes Back? Measuring Long‐Run Risk
inferredcites →https://doi.org/10.1093/ej/ueab086openalex-snapshot
Market-Based Monetary Policy Uncertainty
inferredcites →https://doi.org/10.1093/rfs/hhab080openalex-snapshot
A Model of Two Days: Discrete News and Asset Prices
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00760.xopenalex-snapshot
What Explains the Stock Market's Reaction to Federal Reserve Policy?
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01201.xopenalex-snapshot
Why Is Long‐Horizon Equity Less Risky? A Duration‐Based Explanation of the Value Premium
inferredcites →https://doi.org/10.1111/jofi.12499openalex-snapshot
Exchange Rates and Monetary Policy Uncertainty
inferredcites →https://doi.org/10.3982/ecta14607openalex-snapshot
Risk Preferences and the Macroeconomic Announcement Premium
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