Entering 2018, it may be worth keeping an eye on “unconventional” risks, including monetary policy risk, political risk, and geopolitical risk. This article examines one way of measuring such risks and shows how they may interact with both equity prices and volatility.
While the effects of monetary policy shocks are not directly observable, an analysis of historical evidence can help quantify the potential impact of such shocks on asset prices.
Sixty-five percent of respondents worry about the loss of G3 central bank credibility, defined as the ability of those banks to influence economic growth and market prices.
Applying a natural language processing algo to Fed meeting minutes shows a sharp post-crisis rise in the amount of time the Fed spent discussing financial markets.
The Fed expects to hike interest rates four times (by 25bps each) during 2016, while the market projects only two hikes. One side has to give.
The statistical relationship between US wages and consumer prices has broken down since 2008, potentially heralding greater uncertainty for Fed watchers.
Abenomics-inspired hopes for Japan’s economy continue to fade as Japanese inflation persistently falls short of the Bank of Japan’s target.
Soon, the U.S. Federal Reserve will likely begin hiking interest rates for the first time in almost seven years. The only question is “how fast?”