Institution
Federal Reserve Bank of St. Louis
Other•St Louis, Missouri, United States•
About: Federal Reserve Bank of St. Louis is a other organization based out in St Louis, Missouri, United States. It is known for research contribution in the topics: Monetary policy & Inflation. The organization has 203 authors who have published 1650 publications receiving 46084 citations.
Topics: Monetary policy, Inflation, Interest rate, Business cycle, Debt
Papers published on a yearly basis
Papers
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TL;DR: In this paper, the authors used dynamic term structure models to uncover to what extent signaling and portfolio balance channels caused international bond yields, and found that signaling effects were large for countries with strong yield responses to conventional U.S. monetary policy surprises.
Abstract: Previous research has established that the Federal Reserve’s large scale asset purchases (LSAPs) significantly influenced international bond yields. We use dynamic term structure models to uncover to what extent signaling and portfolio balance channels caused these declines. For the U.S. and Canada, the evidence supports the view that LSAPs had substantial signaling effects. For Australian and German yields, signaling effects were present but likely more moderate, and portfolio balance effects appear to have played a relatively larger role than in the U.S. and Canada. Portfolio balance effects were small for Japanese yields and signaling effects basically nonexistent. These findings about LSAP channels are consistent with predictions based on interest rate dynamics during normal times: Signaling effects tend to be large for countries with strong yield responses to conventional U.S. monetary policy surprises, and portfolio balance effects are consistent with the degree of substitutability across nternational bonds, as measured by the covariance between foreign and U.S. bond returns.
218 citations
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216 citations
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TL;DR: The Federal Reserve's unconventional monetary policy announcements in 2008-2009 substantially reduced international long-term bond yields and the spot value of the dollar as mentioned in this paper, and the jump depreciations of the USD are fairly consistent with estimates of the impacts of previous equivalent monetary policy shocks.
Abstract: The Federal Reserve’s unconventional monetary policy announcements in 2008-2009 substantially reduced international long-term bond yields and the spot value of the dollar These changes closely followed announcements and were very unlikely to have occurred by chance A simple portfolio choice model can produce quantitatively plausible changes in US and foreign excess bond yields The jump depreciations of the USD are fairly consistent with estimates of the impacts of previous equivalent monetary policy shocks The policy announcements do not appear to have reduced yields by reducing expectations of real growth Unconventional policy can reduce international long-term yields and the value of the dollar even at the zero bound
214 citations
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TL;DR: In this paper, the authors analyze the intertemporal stability of returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously published rules.
Abstract: We analyze the intertemporal stability of returns to technical trading rules in the foreign exchange market by conducting true, out-of-sample tests on previously published rules. The excess returns of the 1970s and 1980s were genuine and not just the result of data mining. But these profit opportunities had disappeared by the mid-1990s for filter and moving average (MA) rules. Returns to less-studied rules, such as channel, ARIMA, genetic programming and Markov rules, also have declined, but have probably not completely disappeared. The volatility of returns makes it difficult to estimate mean returns precisely. The most likely time for a structural break in the MA and filter rule returns is the early 1990s. These regularities are consistent with the Adaptive Markets Hypothesis (Lo, 2004), but not with the Efficient Markets Hypothesis.
213 citations
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TL;DR: In this paper, the authors consider a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics and show that a more complicated four-state model with regimes characterized as crash, slow growth, bull and recovery states is required to capture their joint distribution.
Abstract: This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four-state model with regimes characterized as crash, slow growth, bull and recovery states is required to capture their joint distribution. The transition probability matrix of this model has a very particular form. Exits from the crash state are almost always to the recovery state and occur with close to 50% chance, suggesting a bounce-back effect from the crash to the recovery state. Copyright © 2006 John Wiley & Sons, Ltd.
209 citations
Authors
Showing all 214 results
Name | H-index | Papers | Citations |
---|---|---|---|
William Easterly | 93 | 253 | 49657 |
David K. Levine | 66 | 358 | 22455 |
Lucio Sarno | 65 | 218 | 17418 |
Paul W. Wilson | 53 | 147 | 18562 |
Christopher J. Neely | 47 | 201 | 8438 |
Edward Nelson | 46 | 143 | 7819 |
David C. Wheelock | 40 | 173 | 6125 |
Michele Boldrin | 40 | 154 | 8365 |
Massimo Guidolin | 36 | 230 | 5640 |
Daniel L. Thornton | 36 | 230 | 5064 |
Jeremy M. Piger | 34 | 98 | 5997 |
Howard J. Wall | 34 | 136 | 4488 |
Michael T. Owyang | 34 | 204 | 3890 |
Christopher Otrok | 34 | 98 | 7601 |
Ping Wang | 33 | 241 | 4263 |