We investigate the role of monetary policy in stock price misalignments and explore whether central banks can attenuate excessive mispricing as suggested by the proponents of a “leaning against the wind” monetary policy. Decomposing stock prices into expected excess dividends, an equity risk premium, and a mispricing component, we find that prices fall more strongly in response to an increase in the ...
We study the multifaceted effects of trade policy shocks on financial markets using a structural vector autoregression identified via event day heteroskedasticity. We find that restrictive US trade policy shocks affect US and international stock prices heterogeneously, but generally negatively. They increase market uncertainty, lower US interest rates, and lead to an appreciation of the US dollar. ...
The 3rd annual Workshop for Women in Macroeconomics, Finance and Economic History is being organized by the German Institute for Economic Research. The aim is to bring together female academic researchers and practitioners to promote and exchange ideas in the fields of Macroeconomics, Finance, and Economic History.
Der 3. Workshop for Women in Macroeconomics, Finance and Economic History (WIMFEH) wird vom DIW Berlin organisiert. Er bietet Forscherinnen die Gelegenheit, Ideen aus den Bereichen der Makroökonomie, Finance und Wirtschaftsgeschichte auszutauschen.
This paper investigates the effect of insolvency regulation reforms on cross-border debt and equity investments at aggregate and sectoral levels. Using disaggregated data from the ECB’s Securities Holdings Statistics by Sector (SHSS) database and the OECD indicators on efficiency of insolvency regulations, we find that investors increase their debt and equity holdings in the countries that undertook ...
We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The exchange rate is significantly affected by US monetary policy shocks, where the persistence of this shock ...
Der Klimawandel kann immer weniger ignoriert werden, so dass auch die Herausforderung einer ökologischen Transformation des Finanzsektors zunenehmend an Bedeutung gewinnt. Die für den Finanzsektor diskutierten Reformpotenziale und Maßnahmenbündel erreichen jedoch absehbar nicht einmal annähernd die notwendigen gesamtwirtschaftlichen Effekte, um der Klimaerwärmung wirkungsvoll zu begegnen. Der aktuelle ...