scholarly journals The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields

2011 ◽  
Author(s):  
Kun Guo ◽  
Wei-Xing Zhou ◽  
Si-Wei Cheng ◽  
Didier Sornette
Keyword(s):  
Stock Market ◽  
Bond Yields ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
The Us ◽  
Treasury Bond

scholarly journals The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields

PLoS ONE ◽  
2011 ◽  
Vol 6 (8) ◽  
pp. e22794 ◽  
Author(s):  
Kun Guo ◽  
Wei-Xing Zhou ◽  
Si-Wei Cheng ◽  
Didier Sornette
Keyword(s):  
Stock Market ◽  
Bond Yields ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
The Us ◽  
Treasury Bond

scholarly journals AN ANALYSIS OF HERDING BEHAVIOR IN THE STOCK MARKET: A CASE STUDY OF THE ASEAN-5 AND THE UNITED STATES

2020 ◽  
Vol 23 (3) ◽  
pp. 297-318
Author(s):  
R. Eki Rahman ◽  
Ermawati Ermawati
Keyword(s):  
Stock Market ◽  
The United States ◽  
The Philippines ◽  
Herding Behavior ◽  
Stock Market Index ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Global Factor ◽  
Market Index ◽  
The Us

We construct a new dataset to examine herding behavior in the ASEAN-5 (Indonesia, Singapore, Malaysia, the Philippines and Thailand) and the US stock market. Our dataset consists of daily closing prices on the most liquid stock indices in the ASEAN-5 and the US stock market. Based on the Newey–West estimator, we show that the dominant global factor influencing herding behavior is the US federal funds rate, while the cross-market herding of the Singaporean stock market is the dominant regional factor that influence the other ASEAN stock markets. We find that herding behavior, caused by stock market index, spikes only occur in the Philippine stock market.  

scholarly journals Co-integration with score-driven models: an application to US real GDP growth, US inflation rate, and effective federal funds rate

2021 ◽  
pp. 1-21
Author(s):  
Szabolcs Blazsek ◽  
Alvaro Escribano ◽  
Adrian Licht
Keyword(s):  
Inflation Rate ◽  
Predictive Accuracy ◽  
Moving Average ◽  
Impulse Response Functions ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Vector Autoregressive ◽  
Autoregressive Moving Average Model ◽  
Long Run ◽  
The Us

Abstract Nonlinear co-integration is studied for score-driven models, using a new multivariate dynamic conditional score/generalized autoregressive score model. The model is named t-QVARMA (quasi-vector autoregressive moving average model), which is a location model for the multivariate t-distribution. In t-QVARMA, I(0) and co-integrated I(1) components of the dependent variables are included. For t-QVARMA, the conditions of the maximum likelihood estimator and impulse response functions (IRFs) are presented. A limiting special case of t-QVARMA, named Gaussian-QVARMA, is a Gaussian-VARMA specification with I(0) and I(1) components. As an empirical application, the US real gross domestic product growth, US inflation rate, and effective federal funds rate are studied for the period of 1954 Q3 to 2020 Q2. Statistical performance and predictive accuracy of t-QVARMA are superior to those of Gaussian-VAR. Estimates of the short-run IRF, long-run IRF, and total IRF impacts for the US data are reported.

US Fed will struggle to raise rates much in 2016

2016 ◽  
Keyword(s):  
Interest Rates ◽  
Investor Sentiment ◽  
Commodity Prices ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
Content Type ◽  
The Us ◽  
The Face ◽  
Lift Off ◽  
China’S Economy

Subject US monetary policy outlook for 2016 and its global impact. Significance There is a large discrepancy between the US Federal Reserve (Fed)'s estimates for interest rates at end-2016 and the expectations of bond investors. The latter are anticipating less tightening than the 100-basis-point (bp) rise in the Federal Funds rate the Fed has pencilled in for this year. Despite a successful rates 'lift-off' on December 16, the Fed faces many challenges in raising rates in the face of mounting stress in credit markets, disinflationary pressures from the plunge in commodity prices and a contraction manufacturing. Impacts While the Fed will tighten policy, other central banks, including the ECB, will provide further stimulus, accentuating policy divergence. Investors will price in a more hawkish Fed if US inflation accelerates faster than expected, potentially leading to a sell-off. Concerns about China's economy and the commodity prices slump will also shape investor sentiment.

Canadian monetary policy and the US federal funds rate

2008 ◽  
Vol 15 (11) ◽  
pp. 899-904 ◽  
Author(s):  
H. Sonmez Atesoglu ◽  
John Smithin
Keyword(s):  
Monetary Policy ◽  
Federal Funds ◽  
Federal Funds Rate ◽  
The Us

US-induced volatility clouds the 2019 markets outlook

2018 ◽  
Keyword(s):  
Financial Markets ◽  
Focal Point ◽  
Emerging Market ◽  
Bond Yields ◽  
Content Type ◽  
The Us ◽  
Treasury Bond ◽  
Asset Class ◽  
Main Support ◽  
Global Growth

Significance The idiosyncratic vulnerabilities that built up in financial markets in 2018 are morphing into a more pronounced global growth scare, exacerbated by concerns about the US Federal Reserve (Fed) being too hawkish. The combination of slower euro-area and Chinese growth and US monetary tightening is weighing on asset prices and increasing volatility after a year in which almost every major asset class suffered a loss. Monetary stimulus withdrawal is the focal point, as it has been the main support for markets since 2008. Impacts Ten-year US Treasury bond yields are down 50 basis points since April; global growth worries will make such ‘safe havens’ more attractive. Amid the worries, emerging market (EM) equities are up 1.5% from an October 29 low and may be more resilient than in previous downturns. The Brent crude oil price will be to the lower end of 50-80 dollars/barrel in 2019 amid growth and oversupply worries, reducing inflation.

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