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Full-Text Articles in Portfolio and Security Analysis
Capital Allocation Imbalance And The Effects On Monetary Policy, Peter G. George
Capital Allocation Imbalance And The Effects On Monetary Policy, Peter G. George
Doctoral Dissertations (DBA)
This paper examines the association between liquidity injections and capital allocations in the United States. In the analysis, liquidity injections are proxied by monetary base and the capital allocations are reflected by excess reserves, vault cash, total bank credit, and M2-M1. Monthly data are utilized for all variables for the sample period March 1984 – June 2020. Four Bai-Perron multiple breakpoint regressions and Markov switching estimations are employed to examine changeable patterns and interactions. The results indicate that liquidity injections are imbalanced and are allocated to total bank credit prior to quantitative easing, excess reserves prior to QE through post-QE, …
Market Risk And Market-Implied Inflation Expectations, Lucjan T. Orlowski, Carolyne Cebrian Soper
Market Risk And Market-Implied Inflation Expectations, Lucjan T. Orlowski, Carolyne Cebrian Soper
WCBT Faculty Publications
We examine interactions between market risk and market-implied inflation expectations. We argue that these interactions are asymmetric and varied in time. Specifically, market risk becomes elevated by expectations of either very low or high expected inflation. Market risk does not react to expectations of moderate, stable inflation. In our analysis, market risk is proxied by VIX and market-implied inflation expectations are reflected by five- and ten-year breakeven inflation. We use daily data for 5 and 10 year breakeven inflation and VIX for the sample period January 3, 2003 – January 24, 2019 for empirical testing. We employ asymptotic VAR, multiple …