Details about Emanuel Moench

Access statistics for papers by Emanuel Moench.

Last updated 2023-12-05. Update your information in the RePEc Author Service.

Short-id: pmo414

Working Papers

2024

1. Is There Hope for the Expectations Hypothesis?
   Staff Reports, Federal Reserve Bank of New York

2023

2. Carbon Intensity, Productivity, and Growth
   Bank of Lithuania Working Paper Series, Bank of Lithuania
3. Forceful or persistent: Wow the ECB's new inflation target affects households' inflation expectations
   Discussion Papers, Deutsche Bundesbank View citations (2)

2022

4. Safe asset scarcity, collateral reuse, and market functioning
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
5. Safe asset shortage and collateral reuse
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (2)
   Also in Discussion Papers, Deutsche Bundesbank (2021) View citations (4)
6. What Moves Treasury Yields?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
   Also in Bank of Lithuania Working Paper Series, Bank of Lithuania (2021) View citations (2)
   See also Journal Article What moves treasury yields?, Journal of Financial Economics, Elsevier (2022) View citations (2) (2022)
7. Would Households Understand Average Inflation Targeting?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Discussion Papers, Deutsche Bundesbank (2022) View citations (23)
   See also Journal Article Would households understand average inflation targeting?, Journal of Monetary Economics, Elsevier (2022) View citations (14) (2022)

2021

8. Clear, consistent and engaging: ECB monetary policy communication in a changing world
   Occasional Paper Series, European Central Bank View citations (6)
9. Climate change and monetary policy in the euro area
   Occasional Paper Series, European Central Bank View citations (20)
10. Equity premium predictability over the business cycle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Discussion Papers, Deutsche Bundesbank (2021) View citations (7)
11. OTC discount
    SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE
    Also in Discussion Papers, Deutsche Bundesbank (2019)
12. Procyclical asset management and bond risk premia
    ESRB Working Paper Series, European Systemic Risk Board View citations (2)
    Also in Discussion Papers, Deutsche Bundesbank (2020) View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (3)
13. The ECB’s price stability framework: past experience, and current and future challenges
    Occasional Paper Series, European Central Bank View citations (18)
14. The Term Structure of Expectations
    Staff Reports, Federal Reserve Bank of New York View citations (2)

2020

15. Anchored inflation expectations
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (9)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (14)
    See also Journal Article Anchored Inflation Expectations, American Economic Journal: Macroeconomics, American Economic Association (2023) View citations (15) (2023)
16. Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates
    Staff Reports, Federal Reserve Bank of New York View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (5)

2018

17. The Pre-FOMC Announcement Drift: More Recent Evidence
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)

2016

18. Dynamic Leverage Asset Pricing
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
    Also in Staff Reports, Federal Reserve Bank of New York (2013) View citations (10)
19. The term structure of expectations and bond yields
    Staff Reports, Federal Reserve Bank of New York View citations (18)

2015

20. Regression Based Estimation of Dynamic Asset Pricing Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (41)
    Also in Staff Reports, Federal Reserve Bank of New York (2011) View citations (2)
    See also Journal Article Regression-based estimation of dynamic asset pricing models, Journal of Financial Economics, Elsevier (2015) View citations (34) (2015)
21. What drives long-run inflation expectations?
    2015 Meeting Papers, Society for Economic Dynamics

2014

22. Connecting “The Dots”: Disagreement in the Federal Open Market Committee
    Liberty Street Economics, Federal Reserve Bank of New York
23. Data Insight: Which Growth Rate? It’s a Weighty Subject
    Liberty Street Economics, Federal Reserve Bank of New York
24. Fundamental disagreement
    Working papers, Banque de France View citations (34)
    Also in Staff Reports, Federal Reserve Bank of New York (2013) View citations (8)
    See also Journal Article Fundamental disagreement, Journal of Monetary Economics, Elsevier (2016) View citations (67) (2016)
25. Interest Rate Derivatives and Monetary Policy Expectations
    Liberty Street Economics, Federal Reserve Bank of New York
26. Noisy Information and Fundamental Disagreement
    2014 Meeting Papers, Society for Economic Dynamics View citations (8)
27. Survey Measures of Expectations for the Policy Rate
    Liberty Street Economics, Federal Reserve Bank of New York
28. Treasury Term Premia: 1961-Present
    Liberty Street Economics, Federal Reserve Bank of New York View citations (1)
29. What predicts U.S. recessions?
    Staff Reports, Federal Reserve Bank of New York View citations (3)
    See also Journal Article What predicts US recessions?, International Journal of Forecasting, Elsevier (2016) View citations (62) (2016)

2013

30. Do Treasury Term Premia Rise around Monetary Tightenings?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (4)
31. Making a Statement: How Did Professional Forecasters React to the August 2011 FOMC Statement?
    Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
32. Preparing for Takeoff? Professional Forecasters and the June 2013 FOMC Meeting
    Liberty Street Economics, Federal Reserve Bank of New York

2012

33. Decomposing real and nominal yield curves
    Staff Reports, Federal Reserve Bank of New York View citations (18)
    See also Journal Article Decomposing real and nominal yield curves, Journal of Monetary Economics, Elsevier (2016) View citations (82) (2016)
34. Forecasting through the rear-view mirror: data revisions and bond return predictability
    Staff Reports, Federal Reserve Bank of New York View citations (5)
    See also Journal Article Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability, The Review of Financial Studies, Society for Financial Studies (2018) View citations (40) (2018)
35. The Puzzling Pre-FOMC Announcement “Drift”
    Liberty Street Economics, Federal Reserve Bank of New York

2011

36. A Look at the Accuracy of Policy Expectations
    Liberty Street Economics, Federal Reserve Bank of New York View citations (2)
37. The pre-FOMC announcement drift
    Staff Reports, Federal Reserve Bank of New York View citations (3)
    See also Journal Article The Pre-FOMC Announcement Drift, Journal of Finance, American Finance Association (2015) View citations (206) (2015)

2010

38. Financial Intermediation, Asset Prices, and Macroeconomic Dynamics
    2010 Meeting Papers, Society for Economic Dynamics View citations (69)
    Also in Staff Reports, Federal Reserve Bank of New York (2010) View citations (33)
39. Macro risk premium and intermediary balance sheet quantities
    Staff Reports, Federal Reserve Bank of New York View citations (49)
    See also Journal Article Macro Risk Premium and Intermediary Balance Sheet Quantities, IMF Economic Review, Palgrave Macmillan (2010) View citations (72) (2010)

2009

40. Dynamic hierarchical factor models
    Staff Reports, Federal Reserve Bank of New York View citations (20)
    See also Journal Article Dynamic Hierarchical Factor Model, The Review of Economics and Statistics, MIT Press (2013) View citations (7) (2013)
41. Sectoral Price Data and Models of Price Setting
    2009 Meeting Papers, Society for Economic Dynamics View citations (94)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (104)
    See also Journal Article Sectoral price data and models of price setting, Journal of Monetary Economics, Elsevier (2009) View citations (98) (2009)
42. The persistent effects of a false news shock
    Staff Reports, Federal Reserve Bank of New York View citations (1)
    See also Journal Article The persistent effects of a false news shock, Journal of Empirical Finance, Elsevier (2011) View citations (22) (2011)

2008

43. Pricing the term structure with linear regressions
    Staff Reports, Federal Reserve Bank of New York View citations (18)
    See also Journal Article Pricing the term structure with linear regressions, Journal of Financial Economics, Elsevier (2013) View citations (370) (2013)

2005

44. Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach
    Working Paper Series, European Central Bank View citations (9)
    See also Journal Article Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach, Journal of Econometrics, Elsevier (2008) View citations (100) (2008)
45. Towards a Monthly Business Cycle Chronology for the Euro Area
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (2)
    See also Journal Article Towards a Monthly Business Cycle Chronology for the Euro Area, Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys (2005) View citations (8) (2005)

Journal Articles

2023

1. Anchored Inflation Expectations
   American Economic Journal: Macroeconomics, 2023, 15, (1), 1-47 View citations (15)
   See also Working Paper Anchored inflation expectations, CAMA Working Papers (2020) View citations (9) (2020)

2022

2. What moves treasury yields?
   Journal of Financial Economics, 2022, 146, (3), 1016-1043 View citations (2)
   See also Working Paper What Moves Treasury Yields?, CEPR Discussion Papers (2022) View citations (2) (2022)
3. Would households understand average inflation targeting?
   Journal of Monetary Economics, 2022, 129, (S), S52-S66 View citations (14)
   See also Working Paper Would Households Understand Average Inflation Targeting?, CEPR Discussion Papers (2022) (2022)

2021

4. Inflation: Drivers and Dynamics 2020 CEBRA Annual Meeting Session Summary
   Economic Commentary, 2021, 2021, (03), 3

2019

5. Comment on “Monetary Policy Communication, Policy Slope, and the Stock Market” by Andreas Neuhierl and Michael Weber
   Journal of Monetary Economics, 2019, 108, (C), 156-161

2018

6. Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability
   The Review of Financial Studies, 2018, 31, (2), 678-714 View citations (40)
   See also Working Paper Forecasting through the rear-view mirror: data revisions and bond return predictability, Staff Reports (2012) View citations (5) (2012)

2016

7. Decomposing real and nominal yield curves
   Journal of Monetary Economics, 2016, 84, (C), 182-200 View citations (82)
   See also Working Paper Decomposing real and nominal yield curves, Staff Reports (2012) View citations (18) (2012)
8. Fundamental disagreement
   Journal of Monetary Economics, 2016, 83, (C), 106-128 View citations (67)
   See also Working Paper Fundamental disagreement, Working papers (2014) View citations (34) (2014)
9. What predicts US recessions?
   International Journal of Forecasting, 2016, 32, (4), 1138-1150 View citations (62)
   See also Working Paper What predicts U.S. recessions?, Staff Reports (2014) View citations (3) (2014)

2015

10. Regression-based estimation of dynamic asset pricing models
    Journal of Financial Economics, 2015, 118, (2), 211-244 View citations (34)
    See also Working Paper Regression Based Estimation of Dynamic Asset Pricing Models, CEPR Discussion Papers (2015) View citations (41) (2015)
11. The Pre-FOMC Announcement Drift
    Journal of Finance, 2015, 70, (1), 329-371 View citations (206)
    See also Working Paper The pre-FOMC announcement drift, Staff Reports (2011) View citations (3) (2011)

2013

12. Dynamic Hierarchical Factor Model
    The Review of Economics and Statistics, 2013, 95, (5), 1811-1817 View citations (7)
    See also Working Paper Dynamic hierarchical factor models, Staff Reports (2009) View citations (20) (2009)
13. Pricing the term structure with linear regressions
    Journal of Financial Economics, 2013, 110, (1), 110-138 View citations (370)
    See also Working Paper Pricing the term structure with linear regressions, Staff Reports (2008) View citations (18) (2008)

2012

14. Term structure surprises: the predictive content of curvature, level, and slope
    Journal of Applied Econometrics, 2012, 27, (4), 574-602 View citations (25)

2011

15. A hierarchical factor analysis of U.S. housing market dynamics
    Econometrics Journal, 2011, 14, C1-C24 View citations (32)
    Also in Econometrics Journal, 2011, 14, (1), C1-C24 (2011) View citations (53)
16. The persistent effects of a false news shock
    Journal of Empirical Finance, 2011, 18, (4), 597-615 View citations (22)
    See also Working Paper The persistent effects of a false news shock, Staff Reports (2009) View citations (1) (2009)

2010

17. Macro Risk Premium and Intermediary Balance Sheet Quantities
    IMF Economic Review, 2010, 58, (1), 179-207 View citations (72)
    See also Working Paper Macro risk premium and intermediary balance sheet quantities, Staff Reports (2010) View citations (49) (2010)
18. Why is the market share of adjustable-rate mortgages so low?
    Current Issues in Economics and Finance, 2010, 16, (Dec) View citations (22)

2009

19. Sectoral price data and models of price setting
    Journal of Monetary Economics, 2009, 56, (S), S78-S99 View citations (98)
    See also Working Paper Sectoral Price Data and Models of Price Setting, 2009 Meeting Papers (2009) View citations (94) (2009)

2008

20. Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach
    Journal of Econometrics, 2008, 146, (1), 26-43 View citations (100)
    See also Working Paper Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach, Working Paper Series (2005) View citations (9) (2005)

2005

21. Towards a Monthly Business Cycle Chronology for the Euro Area
    Journal of Business Cycle Measurement and Analysis, 2005, 2005, (1), 43-69 View citations (8)
    See also Working Paper Towards a Monthly Business Cycle Chronology for the Euro Area, SFB 649 Discussion Papers (2005) View citations (5) (2005)

Chapters

2019

1. The term structures of global yields
   A chapter in Asia-Pacific fixed income markets: evolving structure, participation and pricing, 2019, vol. 102, pp 3-15