create a website

Spillover effects of multidimensional information in Fed statements on Chinas bond market. (2024). Chen, Xiaoli ; Liu, Chunzi.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:93:y:2024:i:pb:p:712-741.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 38

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Adrian, T. ; Crump, R.K. ; Moench, E. Pricing the term structure with linear regressions. 2013 Journal of Financial Economics. 110 -

  2. Albagli, E. ; Ceballos, L. ; Claro, S. ; Romero, D. Channels of US monetary policy spillovers to international bond markets. 2019 Journal of Financial Economics. 134 -

  3. Apel, M. ; Blix Grimaldi, M. ; Hull, I. How much information do monetary policy committees disclose? Evidence from the FOMC's minutes and transcripts. 2022 Journal of Money, Credit, and Banking. 54 1459-1490

  4. Armelius, H. ; Bertsch, C. ; Hull, I. ; Zhang, X. Spread the word: International spillovers from central bank communication. 2020 Journal of International Money and Finance. 103 -

  5. Bauer, M.D. ; Neely, C.J. International channels of the Fed's unconventional monetary policy. 2014 Journal of International Money and Finance. 44 -

  6. Bauer, M.D. ; Rudebusch, G.D. The signaling channel for Federal Reserve bond purchases. 2014 International Journal of Central Banking. 10 -

  7. Baumeister, R.F. ; Bratslavsky, E. ; Finkenauer, C. ; Vohs, K.D. Bad is stronger than good. 2001 Review of General Psychology. 5 -
    Paper not yet in RePEc: Add citation now
  8. Bennani, H. Does People's Bank of China communication matter? Evidence from stock market reaction. 2019 Emerging Markets Review. 40 -

  9. Blinder, A.S. ; Ehrmann, M. ; Fratzscher, M. ; de Haan, J. ; Jansen, D.J. Central bank communication and monetary policy: A survey of theory and evidence. 2008 Journal of Economic Literature. 46 -

  10. Bruno, V. ; Shin, H.S. Capital flows and the risk-taking channel of monetary policy. 2015 Journal of Monetary Economics. 71 -

  11. Christensen, J.H.E. ; Rudebusch, G.D. The response of interest rates to US and UK quantitative easing. 2012 Economic Journal. 122 -

  12. Curcuru, S.E. ; Pooter, M. De ; Eckerd, G. Measuring monetary policy spillovers between U.S. and German bond yields. 2018 International Finance Discussion Paper. 2018 1-23

  13. Duffee, G.R. Term premia and interest rate forecasts in affine models. 2002 The Journal of Finance. 57 -

  14. Ehrmann, M. ; Fratzscher, M. Purdah - on the rationale for central bank silence around policy meetings. 2009 Journal of Money, Credit, and Banking. 41 -

  15. Fayad, G. ; Huang, C. ; Shibuya, Y. ; Zhao, P. How do member countries receive IMF policy advice. 2020 IMF Working Papers. 20 -
    Paper not yet in RePEc: Add citation now
  16. Gilchrist, S. ; Yue, V. ; Zakrajšek, E. U.S. monetary policy and international bond markets. 2019 Journal of Money, Credit, and Banking. 51 -

  17. Gürkaynak, R.S. ; Sack, B.P. ; Swanson, E.T. Do actions speak louder than words? The response of asset prices to monetary policy actions and statements. 2005 International Journal of Central Banking. 1 55-93

  18. Hansen, S. ; McMahon, M. ; Prat, A. Transparency and deliberation within the FOMC: A computational linguistics approach. 2018 Quarterly Journal of Economics. 133 -

  19. Hausman, J. ; Wongswan, J. Global asset prices and FOMC announcements. 2011 Journal of International Money and Finance. 30 -

  20. Huang, Y.L. ; Kuan, C.M. Economic prediction with the FOMC minutes: An application of text mining. 2021 International Review of Economics & Finance. 71 -

  21. Hubert, P. ; Labondance, F. The signaling effects of central bank tone. 2021 European Economic Review. 133 -

  22. Jarociński, M. Central bank information effects and transatlantic spillovers. 2022 Journal of International Economics. 139 -
    Paper not yet in RePEc: Add citation now
  23. Jurado, K. ; Ludvigson, S.C. ; Ng, S. Measuring uncertainty. 2015 The American Economic Review. 105 -

  24. Kuhnen, C.M. Asymmetric learning from financial information. 2015 The Journal of Finance. 70 -

  25. Lin, M. ; Niu, L. Echo over the great wall: Spillover effects of QE announcements on Chinese yield curve. 2021 Journal of International Money and Finance. 111 -

  26. Loughran, T. ; Mcdonald, B. When is a liability not a liability? Textual analysis, dictionaries, and 10-Ks. 2011 The Journal of Finance. 66 -
    Paper not yet in RePEc: Add citation now
  27. Ludvigson, S.C. ; Ma, S. ; Ng, S. Uncertainty and business cycles: Exogenous impulse or endogenous response?. 2021 American Economic Journal: Macroeconomics. 13 -

  28. Möller, R. ; Reichmann, D. ECB language and stock returns – a textual analysis of ECB press conferences. 2021 The Quarterly Review of Economics and Finance. 80 590-604
    Paper not yet in RePEc: Add citation now
  29. Picault, M. ; Renault, T. Words are not all created equal: A new measure of ECB communication. 2017 Journal of International Money and Finance. 79 -

  30. Rey, H. Dilemma not trilemma: The global financial cycle and monetary policy independence, London Business School, CEPR. 2013 Federal Reserve Bank of Kansas City Economic Policy Symposium. -
    Paper not yet in RePEc: Add citation now
  31. Romer, C.D. ; Romer, D.H. Federal reserve information and the behavior of interest rates. 2000 The American Economic Review. 90 -

  32. Rozin, P. ; Royzman, E.B. Negativity bias, negativity dominance, and contagion. 2001 Personality and Social Psychology Review. 5 -
    Paper not yet in RePEc: Add citation now
  33. Sadique, S. ; In, F. ; Veeraraghavan, M. ; Wachtel, P. Soft information and economic activity: Evidence from the Beige book. 2013 Journal of Macroeconomics. 37 -

  34. Schmeling, M. ; Wagner, C. Does central bank tone move asset prices?. 2022 SSRN Electronic Journal. -
    Paper not yet in RePEc: Add citation now
  35. Tetlock, P.C. Giving content to investor sentiment: The role of media in the stock market. 2007 The Journal of Finance. 62 -

  36. Woodford, M. Methods of policy accommodation at the interest-rate lower bound. 2012 En : Proceedings - economic policy symposium - Jackson Hole, december 2008. :

  37. Yu, Z. ; Liu, W. ; Yang, F. A central bankers' sentiment index of global financial cycle. 2023 Finance Research Letters. 57 -

  38. Zhang, J.L. ; Härdle, W.K. ; Chen, C.Y. ; Bommes, E. Distillation of news flow into analysis of stock reactions. 2016 Journal of Business & Economic Statistics. 34 -
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Quantitative Easing During the COVID-19 Pandemic: A Cross-Country Study. (2023). Stefaski, Maciej.
    In: KAE Working Papers.
    RePEc:sgh:kaewps:2023088.

    Full description at Econpapers || Download paper

  2. Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium*. (2022). Damico, Stefania ; Pancost, Aaron N.
    In: Review of Finance.
    RePEc:oup:revfin:v:26:y:2022:i:1:p:117-162..

    Full description at Econpapers || Download paper

  3. A Macroeconomic Approach to the Term Premium. (2018). Williams, Peter D ; Kopp, Emanuel.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2018/140.

    Full description at Econpapers || Download paper

  4. The Term Premium as a Leading Macroeconomic Indicator. (2016). Plakandaras, Vasilios ; Papadimitriou, Theophilos ; GUPTA, RANGAN ; Gogas, Periklis.
    In: Working Papers.
    RePEc:pre:wpaper:201613.

    Full description at Econpapers || Download paper

  5. U.S. Monetary Policy Normalization and Global Interest Rates. (2016). Demir, İshak ; Carrière-Swallow, Yan ; Caceres, Carlos ; Carriere-Swallow, Yan ; Gruss, Bertrand.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2016/195.

    Full description at Econpapers || Download paper

  6. The term structure of expectations and bond yields. (2016). Moench, Emanuel ; Eusepi, Stefano ; Crump, Richard.
    In: Staff Reports.
    RePEc:fip:fednsr:775.

    Full description at Econpapers || Download paper

  7. The international transmission of risk: Causal relations among developed and emerging countries’ term premia. (2016). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Espinosa Torres, Juan ; Espinosa-Torres, Juan Andres ; Moreno-Gutierrez, Jose Fernando .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:37:y:2016:i:c:p:646-654.

    Full description at Econpapers || Download paper

  8. Global corporate bond issuance: What role for US quantitative easing?. (2016). Lo Duca, Marco ; Nicoletti, Giulio ; Martinez, Ariadna Vidal .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:60:y:2016:i:c:p:114-150.

    Full description at Econpapers || Download paper

  9. Evaluating the robustness of UK term structure decompositions using linear regression methods. (2016). Meldrum, Andrew ; Malik, Sheheryar.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:67:y:2016:i:c:p:85-102.

    Full description at Econpapers || Download paper

  10. The economic value of predicting bond risk premia. (2016). Wagner, Christian ; Schneider, Paul ; Sarno, Lucio.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:37:y:2016:i:c:p:247-267.

    Full description at Econpapers || Download paper

  11. Explaining Asset Prices with Low Risk Aversion and Low Intertemporal Substitution. (2016). Andreasen, Martin M ; Jorgensen, Kasper.
    In: CREATES Research Papers.
    RePEc:aah:create:2016-16.

    Full description at Econpapers || Download paper

  12. Inflation targeting and term premia estimates for Latin America. (2015). Rule, Garreth ; Rummel, Ole ; Blake, Andrew.
    In: Latin American Economic Review.
    RePEc:spr:laecrv:v:24:y:2015:i:1:p:1-21:10.1007/s40503-015-0017-7.

    Full description at Econpapers || Download paper

  13. Forward Guidance in the Yield Curve: Short Rates versus Bond Supply. (2015). Vayanos, Dimitri ; Hanson, Samuel ; Greenwood, Robin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21750.

    Full description at Econpapers || Download paper

  14. Term-Structure Modelling at the Zero Lower Bound: Implications for Estimating the Term Premium. (2015). Chung, Tsz-Kin ; Li, Ka-Fai ; Hui, Cho-Hoi.
    In: Working Papers.
    RePEc:hkm:wpaper:212015.

    Full description at Econpapers || Download paper

  15. The First Arrow Hitting the Currency Target: A Long-run Risk Perspective. (2015). Kano, Takashi ; Wada, Kenji.
    In: Discussion paper series.
    RePEc:hit:hiasdp:hias-e-13.

    Full description at Econpapers || Download paper

  16. Betting against beta (and gamma) using government bonds. (2015). Durham, J. Benson.
    In: Staff Reports.
    RePEc:fip:fednsr:708.

    Full description at Econpapers || Download paper

  17. Regression-based estimation of dynamic asset pricing models. (2015). Moench, Emanuel ; Crump, Richard ; Adrian, Tobias.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:118:y:2015:i:2:p:211-244.

    Full description at Econpapers || Download paper

  18. Identifying fiscal inflation. (2015). Queijo von Heideken, Virginia ; De Graeve, Ferre.
    In: European Economic Review.
    RePEc:eee:eecrev:v:80:y:2015:i:c:p:83-93.

    Full description at Econpapers || Download paper

  19. Forward Guidance in the Yield Curve: Short Rates versus Bond Supply. (2015). Vayanos, Dimitri ; Hanson, Samuel ; Greenwood, Robin.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11005.

    Full description at Econpapers || Download paper

  20. Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano. (2015). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Espinosa Torres, Juan ; Espinosa-Torres, Juan Andres ; Moreno-Gutierrez, Jose Fernando .
    In: Borradores de Economia.
    RePEc:col:000094:013700.

    Full description at Econpapers || Download paper

  21. The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries Term Premia. (2015). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Espinosa Torres, Juan ; Espinosa-Torres, Juan Andres ; Moreno-Gutierrez, Jose Fernando .
    In: Borradores de Economia.
    RePEc:col:000094:012609.

    Full description at Econpapers || Download paper

  22. Channels of US Monetary Policy Spillovers into International Bond Markets. (2015). Romero, Damian ; Claro, Sebastian ; Ceballos, Luis ; Albagli, Elias.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:771.

    Full description at Econpapers || Download paper

  23. Tasas de Interés de Largo Plazo en Economías Desarrolladas: Tendencias Recientes e Implicancias de Política Monetaria en Chile.. (2015). Vergara, Rodrigo ; Albagli, Elias.
    In: Economic Policy Papers Central Bank of Chile.
    RePEc:chb:bcchep:52.

    Full description at Econpapers || Download paper

  24. Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model. (2015). Nakajima, Jouchi ; Imakubo, Kei.
    In: Bank of Japan Working Paper Series.
    RePEc:boj:bojwps:wp15e01.

    Full description at Econpapers || Download paper

  25. A global factor in variance risk premia and local bond pricing. (2015). Roberts-Sklar, Matt ; Kaminska, Iryna.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0576.

    Full description at Econpapers || Download paper

  26. Long-run priors for term structure models. (2015). Roberts-Sklar, Matt ; Meldrum, Andrew.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0575.

    Full description at Econpapers || Download paper

  27. Dynamic term structure models: the best way to enforce the zero lower bound in the United States. (2015). Meldrum, Andrew ; Andreasen, Martin M.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0550.

    Full description at Econpapers || Download paper

  28. Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach. (2015). Meldrum, Andrew ; Andreasen, Martin M.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0541.

    Full description at Econpapers || Download paper

  29. Long-term rates and the term premium: evidence from Chile. (2015). Claro, Sebastian ; Moreno, Carola.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:83-06.

    Full description at Econpapers || Download paper

  30. Expectativas de inflación, prima de riesgo inflacionario y prima de liquidez: una descomposición del break-even inflation para los bonos del gobierno colombiano. (2015). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Espinosa Torres, Juan ; Espinosa-Torres, Juan Andres ; Moreno-Gutierrez, Jose Fernando .
    In: Borradores de Economia.
    RePEc:bdr:borrec:903.

    Full description at Econpapers || Download paper

  31. The International Transmission of Risk: Causal Relations Among Developed and Emerging Countries’ Term Premia. (2015). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Espinosa Torres, Juan ; Espinosa-Torres, Juan Andres ; Moreno-Gutierrez, Jose Fernando .
    In: Borradores de Economia.
    RePEc:bdr:borrec:869.

    Full description at Econpapers || Download paper

  32. Tractable Term Structure Models. (2015). Fontaine, Jean-Sebastien ; Feunou, Bruno ; Lundblad, Christian ; Le, An H.
    In: Staff Working Papers.
    RePEc:bca:bocawp:15-46.

    Full description at Econpapers || Download paper

  33. Financial conditions, macroeconomic factors and (un)expected bond excess returns. (2014). Menkhoff, Lukas ; Fricke, Christoph.
    In: Discussion Papers.
    RePEc:zbw:bubdps:352014.

    Full description at Econpapers || Download paper

  34. Nominal Term Structure and Term Premia. Evidence from Chile. (2014). Romero, Damian ; Naudon, Alberto ; Ceballos, Luis.
    In: MPRA Paper.
    RePEc:pra:mprapa:60911.

    Full description at Econpapers || Download paper

  35. Term structure estimation in the presence of autocorrelation. (2014). Juneja, Januj.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:28:y:2014:i:c:p:119-129.

    Full description at Econpapers || Download paper

  36. Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano. (2014). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Espinosa Torres, Juan ; Melovelandia, Luis Fernando ; Juan Andres Espinosa Torres, ; Jose Fernando Moreno Gutierrez, .
    In: Borradores de Economia.
    RePEc:col:000094:012333.

    Full description at Econpapers || Download paper

  37. An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields?. (2014). Vargas-Herrera, Hernando ; Moreno Gutiérrez, José ; Guarín López, Alexander ; Guarin, Alexander.
    In: Borradores de Economia.
    RePEc:col:000094:011311.

    Full description at Econpapers || Download paper

  38. Evaluating the robustness of UK term structure decompositions using linear regression methods. (2014). Meldrum, Andrew ; Malik, Sheheryar.
    In: Bank of England working papers.
    RePEc:boe:boeewp:0518.

    Full description at Econpapers || Download paper

  39. An empirical analysis of the relationship between US and Colombian long-term sovereign bond yields. (2014). Moreno, Jose Fernando ; Vargas, Hernando ; Guarin, Alexander.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:78-09.

    Full description at Econpapers || Download paper

  40. Specification Analysis of International Treasury Yield Curve Factors. (2014). Tiozzo Pezzoli, Luca ; Pegoraro, Fulvio ; Siegel, A. F..
    In: Working papers.
    RePEc:bfr:banfra:490.

    Full description at Econpapers || Download paper

  41. Estimación de la prima por vencimiento de los TES en pesos del gobierno colombiano. (2014). Moreno Gutiérrez, José ; Melo-Velandia, Luis ; Espinosa Torres, Juan ; Melovelandia, Luis Fernando ; Juan Andres Espinosa Torres, ; Jose Fernando Moreno Gutierrez, .
    In: Borradores de Economia.
    RePEc:bdr:borrec:854.

    Full description at Econpapers || Download paper

  42. An Empirical Analysis of the Relationship between US and Colombian Long-Term Sovereign Bond Yields. (2014). Vargas-Herrera, Hernando ; Moreno Gutiérrez, José ; Guarín López, Alexander ; Guarin, Alexander.
    In: Borradores de Economia.
    RePEc:bdr:borrec:822.

    Full description at Econpapers || Download paper

  43. Dynamic term structure models: The best way to enforce the zero lower bound. (2014). Meldrum, Andrew ; Andreasen, Martin M..
    In: CREATES Research Papers.
    RePEc:aah:create:2014-47.

    Full description at Econpapers || Download paper

  44. The US Economy, the Treasury Bond Market and the Specification of Macro-Finance Models. (2013). Spencer, Peter.
    In: Discussion Papers.
    RePEc:yor:yorken:13/22.

    Full description at Econpapers || Download paper

  45. More on U.S. Treasury term premiums: spot and expected measures. (2013). Durham, J. Benson.
    In: Staff Reports.
    RePEc:fip:fednsr:658.

    Full description at Econpapers || Download paper

  46. Financial stability monitoring. (2013). Adrian, Tobias ; Liang, Nellie J. ; Covitz, Daniel .
    In: Staff Reports.
    RePEc:fip:fednsr:601.

    Full description at Econpapers || Download paper

  47. Financial stability monitoring. (2013). Adrian, Tobias ; Liang, Nellie ; Covitz, Daniel .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2013-21.

    Full description at Econpapers || Download paper

  48. A New Linear Estimator for Gaussian Dynamic Term Structure Models. (2013). Diez de los Rios, Antonio.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-10.

    Full description at Econpapers || Download paper

  49. Forecasting through the rear-view mirror: data revisions and bond return predictability. (2012). Moench, Emanuel ; Ghysels, Eric.
    In: Staff Reports.
    RePEc:fip:fednsr:581.

    Full description at Econpapers || Download paper

  50. Decomposing real and nominal yield curves. (2012). Moench, Emanuel ; Crump, Richard ; Adrian, Tobias ; Abrahams, Michael.
    In: Staff Reports.
    RePEc:fip:fednsr:570.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-21 09:42:06 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.