Asset pricing

• Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification

  Staff Working Paper 2022-24 Pablo Ottonello, Wenting Song

  We provide empirical evidence of effects to the aggregate economy from surprises about financial intermediaries’ net worth based on a high-frequency identification strategy. We estimate that news of a 1% decline in intermediaries’ net worth leads to a 0.2%–0.4% decrease in the market value of nonfinancial firms.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Business fluctuations and cycles, Credit and credit aggregates, Financial institutions, Financial markets, Financial system regulation and policies, Monetary and financial indicators JEL Code(s): E, E3, E32, E4, E44, E5, E51, G, G0, G01, G1, G12, G2, G21, G23, G24, G3, G32

• Expectation-Driven Term Structure of Equity and Bond Yields

  Staff Working Paper 2022-21 Ming Zeng, Guihai Zhao

  Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield spreads).

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G0, G00, G1, G12