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Introduction 2. Monetary policy and equity markets: conceptual issues and data 1 3. Overall stock market reaction to monetary policy 1 4. Industry effects, the credit channel and Tobin's q 1 4.1 Industry-specific effects 1 4.2 Firm-specific effects 1 5. Propensity score matching 2 5.1 Algorithm of propensity score matching 2 5.2 Empirical results 2 6. Conclusions
Proper conduct of monetary policy requires understanding the monetary transmission mechanism, to monitor the economy, make decisions on the stance of policy, and explain the policy actions to the public. Hence, gathering evidence on the monetary transmission mechanism in the euro area has been a priority for the Eurosystem. This 2003 book presents the results of a multi-year collaborative project conducted by the Eur…
The ‘credit channel’ theory of monetary policy transmission holds that informational frictions in credit markets worsen during tight-money periods. The resulting increase in the external finance premium--the difference in cost between internal and external funds--enhances the effects of monetary policy on the real economy. The authors document the responses of GDP and its components to monetary policy shocks and desc…
Abstract We introduce an affine term structure model with observed macroeconomic factors for credit spread curves under the unconventional monetary policy regime in Japan. Empirical results based on the model selection using Japanese data demonstrate that the credit spread curves are dominated by the monetary policy and suggest that global economic forces, such as the U.S. Treasury yield and Baa-Aaa credit spread, pl…
We study the monetary-transmission mechanism with a data set that includes quarterly observations of every insured U.S. commercial bank from 1976 to 1993. We find that the impact of monetary policy on lending is stronger for banks with less liquid balance sheets—i.e., banks with lower ratios of securities to assets. Moreover, this pattern is largely attributable to the smaller banks, those in the bottom 95 percent of…
Using micro-level data, we construct a credit spread index with considerable predictive power for future economic activity. We decompose the credit spread into a component that captures firm-specific information on expected defaults and a residual component–– the excess bond premium. Shocks to the excess bond premium that are orthogonal to the current state of the economy lead to declines in economic activity and ass…
ABSTRACT We examine the role of price discovery in the U.S. Treasury market through the empirical relationship between orderflow, liquidity, and the yield curve. We find that orderflow imbalances (excess buying or selling pressure) account for up to 26% of the day‐to‐day variation in yields on days without major macroeconomic announcements. The effect of orderflow on yields is permanent and strongest when liquidity i…
Abstract This paper examines the price differences between very liquid on-the-run U.S. Treasury securities and less liquid off-the-run securities over the on/off cycle. Comparing pairs of securities in time-series regressions allows us to disregard any fixed cross-sectional differences between securities. Also, since the liquidity of Treasury notes varies predictably over time, we can distinguish between current and …
The desire of market participants to go long or short a portfolio of corporate credits led to the introduction of various types of indices of credit default swaps. In this article, we empirically investigate the relationships between the spreads of the North America CDX index and its tranches and their theoretical determinants. We find (1) support for a number of results predicted by the structural models used in cre…
A growing number of contributions in the literature have identified a puzzle in the European carbon allowance (EUA) market. Specifically, a persistent cost-of-carry spread (C-spread) over the risk-free rate has been observed. We are the first to explain the anomalous C-spread with the credit spread of the corporates involved in the emission trading scheme. We obtain statistical evidence that the C-spread is cointegra…
The arrival of public information in the U.S. Treasury market sets off a two‐stage adjustment process for prices, trading volume, and bid‐ask spreads. In a brief first stage, the release of a major macroeconomic announcement induces a sharp and nearly instantaneous price change with a reduction in trading volume, demonstrating that price reactions to public information do not require trading. The spread widens dramat…
MARK J. P. ANSON is affiliated with OppenheimerFunds, Inc., in New York. R ecent academic and practitioner Ž research Schneeweis 1996 ; . Schneeweis and Spurgin 1998 has emphasized the diversification benefits of a wide range of alternative investments including managed futures products as well as hedge funds. Many of these alternative investment products are based on active management strategies that often concentra…
Retractions serve as an indicator of failures in research integrity, yet most analyses focus on absolute counts rather than risk per paper. We use one of the largest open bibliographic databases to develop incidence metrics normalized by population: retractions per publication and per active author annually. Applying an epidemiological framework that models counts with exposure, we find evidence of exponential growth…
Recent multimodal large language models have achieved strong performance in unified text and image understanding and generation, yet extending such native capability to 3D remains challenging due to limited data. Compared to abundant 2D imagery, high-quality 3D assets are scarce, making 3D synthesis under-constrained. Existing methods often rely on indirect pipelines that edit in 2D and lift results into 3D via optim…
Agent skills, structured packages of procedural knowledge and executable resources that agents dynamically load at inference time, have become a reliable mechanism for augmenting LLM agents. Yet inference-time skill augmentation is fundamentally limited: retrieval noise introduces irrelevant guidance, injected skill content imposes substantial token overhead, and the model never truly acquires the knowledge it merely…
We propose Process-Aware Policy Optimization (PAPO), a method that integrates process-level evaluation into Group Relative Policy Optimization (GRPO) through decoupled advantage normalization, to address two limitations of existing reward designs. Outcome reward models (ORM) evaluate only final-answer correctness, treating all correct responses identically regardless of reasoning quality, and gradually lose the advan…
Generating synthetic financial time series that preserve the statistical properties of real market data is essential for stress testing, risk model validation, and scenario design. Existing approaches struggle to simultaneously reproduce heavy-tailed distributions, negligible linear autocorrelation, and persistent volatility clustering. We developed a hybrid hidden Markov framework that discretized excess growth rate…
Abstract A number of panel unit root tests that allow for cross‐section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross‐dependence of the series before standard panel unit root tests are applied to the transformed series. In this paper we propose a simple alternative where the standard augmented Dickey–Fuller (ADF) regressions are augmen…
Macroprudential Policy — Countercyclical tools that alter credit creation before traditional monetary policy reacts.
Monetary Dominance (Macro Policy).
Monetary Dominance Regime — Regime where the central bank anchors inflation over fiscal needs.
Policy Reaction Function US — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function Euro Area — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function UK — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function Japan — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function China — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function EM Asia — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function LatAm — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function CEEMEA — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function Canada — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function Australia — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function Nordics — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function ASEAN — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function India — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function Korea — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function Brazil — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function Mexico — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function South Africa — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function Turkey — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function Poland — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function Indonesia — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function risk-on — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function risk-off — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function tightening — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function easing — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function stagflation — Policy reaction, fiscal-monetary, or macroprudential concept.
Policy Reaction Function reflation — Policy reaction, fiscal-monetary, or macroprudential concept.
Taylor Rule Gap US — Policy reaction, fiscal-monetary, or macroprudential concept.
Taylor Rule Gap Euro Area — Policy reaction, fiscal-monetary, or macroprudential concept.
Taylor Rule Gap UK — Policy reaction, fiscal-monetary, or macroprudential concept.
Taylor Rule Gap Japan — Policy reaction, fiscal-monetary, or macroprudential concept.
Taylor Rule Gap China — Policy reaction, fiscal-monetary, or macroprudential concept.
Taylor Rule Gap EM Asia — Policy reaction, fiscal-monetary, or macroprudential concept.
Taylor Rule Gap LatAm — Policy reaction, fiscal-monetary, or macroprudential concept.
Fiscal Monetary Mix ASEAN — Policy reaction, fiscal-monetary, or macroprudential concept.
Fiscal Monetary Mix Australia — Policy reaction, fiscal-monetary, or macroprudential concept.
Fiscal Monetary Mix Brazil (Macro Policy).
Fiscal Monetary Mix Canada — Policy reaction, fiscal-monetary, or macroprudential concept.
Fiscal Monetary Mix CEEMEA — Policy reaction, fiscal-monetary, or macroprudential concept.
Fiscal Monetary Mix China — Policy reaction, fiscal-monetary, or macroprudential concept.
Fiscal Monetary Mix easing (Macro Policy).
Fiscal Monetary Mix EM Asia — Policy reaction, fiscal-monetary, or macroprudential concept.
Fiscal Monetary Mix Euro Area — Policy reaction, fiscal-monetary, or macroprudential concept.
Fiscal Monetary Mix India — Policy reaction, fiscal-monetary, or macroprudential concept.
Fiscal Monetary Mix Indonesia (Macro Policy).
Fiscal Monetary Mix Japan — Policy reaction, fiscal-monetary, or macroprudential concept.
Fiscal Monetary Mix Korea — Policy reaction, fiscal-monetary, or macroprudential concept.
Fiscal Monetary Mix LatAm — Policy reaction, fiscal-monetary, or macroprudential concept.
Fiscal Monetary Mix Mexico (Macro Policy).
Fiscal Monetary Mix Nordics — Policy reaction, fiscal-monetary, or macroprudential concept.
Fiscal Monetary Mix Poland (Macro Policy).
Fiscal Monetary Mix reflation (Macro Policy).
Fiscal Monetary Mix risk-off (Macro Policy).
Fiscal Monetary Mix risk-on (Macro Policy).
Fiscal Monetary Mix South Africa (Macro Policy).
Fiscal Monetary Mix stagflation (Macro Policy).
Fiscal Monetary Mix tightening (Macro Policy).
Fiscal Monetary Mix Turkey (Macro Policy).