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Details about Emanuel Moench

E-mail:
Homepage:http://bundesbank.de/research_emanuel_moench
Phone:+49 69 9566 2312
Postal address:Deutsche Bundesbank Wilhelm-Epstein-Str. 14 60431 Frankfurt am Main
Workplace:Deutsche Bundesbank (German Federal Bank), (more information at EDIRC)

Access statistics for papers by Emanuel Moench.

Last updated 2017-02-28. Update your information in the RePEc Author Service.

Short-id: pmo414


Jump to Journal Articles

Working Papers

2017

  1. The term structure of expectations and bond yields
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)

2016

  1. Dynamic Leverage Asset Pricing
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in Staff Reports, Federal Reserve Bank of New York (2014) Downloads View citations (1)

2015

  1. Decomposing real and nominal yield curves
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (3)
    See also Journal Article in Journal of Monetary Economics (2016)
  2. Regression Based Estimation of Dynamic Asset Pricing Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Staff Reports, Federal Reserve Bank of New York (2014) Downloads View citations (1)

    See also Journal Article in Journal of Financial Economics (2015)
  3. What drives long-run inflation expectations?
    2015 Meeting Papers, Society for Economic Dynamics Downloads

2014

  1. Fundamental disagreement
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (4)
    Also in Working papers, Banque de France (2014) Downloads View citations (8)

    See also Journal Article in Journal of Monetary Economics (2016)
  2. Noisy Information and Fundamental Disagreement
    2014 Meeting Papers, Society for Economic Dynamics Downloads View citations (3)
  3. What predicts U.S. recessions?
    Staff Reports, Federal Reserve Bank of New York Downloads
    See also Journal Article in International Journal of Forecasting (2016)

2012

  1. Forecasting through the rear-view mirror: data revisions and bond return predictability
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (4)

2011

  1. The pre-FOMC announcement drift
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)
    See also Journal Article in Journal of Finance (2015)

2010

  1. Financial Intermediation, Asset Prices, and Macroeconomic Dynamics
    2010 Meeting Papers, Society for Economic Dynamics View citations (2)
    Also in Staff Reports, Federal Reserve Bank of New York (2010) Downloads View citations (20)
  2. Macro risk premium and intermediary balance sheet quantities
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (26)
    See also Journal Article in IMF Economic Review (2010)

2009

  1. Dynamic hierarchical factor models
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (18)
    See also Journal Article in The Review of Economics and Statistics (2013)
  2. Sectoral Price Data and Models of Price Setting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (46)
    Also in 2009 Meeting Papers, Society for Economic Dynamics (2009) Downloads View citations (15)

    See also Journal Article in Journal of Monetary Economics (2009)
  3. The persistent effects of a false news shock
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)
    See also Journal Article in Journal of Empirical Finance (2011)

2008

  1. Pricing the term structure with linear regressions
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (17)
    See also Journal Article in Journal of Financial Economics (2013)

2005

  1. Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
    Working Paper Series, European Central Bank Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2008)

2004

  1. Towards a Monthly Business Cycle Chronology for the Euro Area
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in Journal of Business Cycle Measurement and Analysis (2005)

Journal Articles

2016

  1. Decomposing real and nominal yield curves
    Journal of Monetary Economics, 2016, 84, (C), 182-200 Downloads
    See also Working Paper (2015)
  2. Fundamental disagreement
    Journal of Monetary Economics, 2016, 83, (C), 106-128 Downloads View citations (2)
    See also Working Paper (2014)
  3. What predicts US recessions?
    International Journal of Forecasting, 2016, 32, (4), 1138-1150 Downloads View citations (2)
    See also Working Paper (2014)

2015

  1. Regression-based estimation of dynamic asset pricing models
    Journal of Financial Economics, 2015, 118, (2), 211-244 Downloads View citations (3)
    See also Working Paper (2015)
  2. The Pre-FOMC Announcement Drift
    Journal of Finance, 2015, 70, (1), 329-371 Downloads View citations (28)
    See also Working Paper (2011)

2013

  1. Dynamic Hierarchical Factor Model
    The Review of Economics and Statistics, 2013, 95, (5), 1811-1817 Downloads View citations (2)
    See also Working Paper (2009)
  2. Pricing the term structure with linear regressions
    Journal of Financial Economics, 2013, 110, (1), 110-138 Downloads View citations (67)
    See also Working Paper (2008)

2012

  1. Term structure surprises: the predictive content of curvature, level, and slope
    Journal of Applied Econometrics, 2012, 27, (4), 574-602 Downloads View citations (7)

2011

  1. A hierarchical factor analysis of U.S. housing market dynamics
    Econometrics Journal, 2011, 14, (1), C1-C24 Downloads View citations (27)
    Also in Econometrics Journal, 2011, 14, C1-C24 (2011) Downloads View citations (6)
  2. The persistent effects of a false news shock
    Journal of Empirical Finance, 2011, 18, (4), 597-615 Downloads View citations (3)
    See also Working Paper (2009)

2010

  1. Macro Risk Premium and Intermediary Balance Sheet Quantities
    IMF Economic Review, 2010, 58, (1), 179-207 Downloads View citations (27)
    See also Working Paper (2010)
  2. Why is the market share of adjustable-rate mortgages so low?
    Current Issues in Economics and Finance, 2010, 16, (Dec) Downloads View citations (11)

2009

  1. Sectoral price data and models of price setting
    Journal of Monetary Economics, 2009, 56, (S), S78-S99 Downloads View citations (37)
    See also Working Paper (2009)

2008

  1. Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach
    Journal of Econometrics, 2008, 146, (1), 26-43 Downloads View citations (61)
    See also Working Paper (2005)

2005

  1. Towards a Monthly Business Cycle Chronology for the Euro Area
    Journal of Business Cycle Measurement and Analysis, 2005, 2005, (1), 43-69 Downloads View citations (6)
    See also Working Paper (2004)
 
Page updated 2017-03-28