CMStatistics 2022: Start Registration
View Submission - CFE
Title: Policy spillovers and asset prices: Evidence from the United States and euro area Authors:  Mohammad Jahan-Parvar - Federal Reserve Baord of Governors (United States) [presenting]
Abstract: Following and expanding previous methods, a scheme is implemented to identify economic shocks from exchange rates, stock returns, sovereign yield changes, and inflation compensation changes at a daily frequency. We consider growth, monetary policy, hedging premium, common premium, and inflation shocks. This method combines the finance perspective following previous work that studies cash-flow and discount-rate news as drivers of asset prices with the macro view that focuses on structural disturbances.