非常规货币政策与空头行为

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2023-04-14 DOI:10.1111/jmcb.13045

THOMAS MCINISH, CHRISTOPHER J. NEELY, JADE PLANCHON

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引用次数: 0

摘要

我们研究了被视为成熟投资者的空头在美联储一系列非常规货币政策公布前后的行为，现货债券市场并未完全预料到这些政策。机构证券的空头兴趣系统地预测了货币政策公布当天的债券价格变化和其他资产回报，尤其是在发布经济增长或货币政策消息时，这表明空头正确地预测了这些意外。当公告发布货币或经济增长消息时，空头在公告发布后也会系统地朝着公告意外的方向重新平衡，这表明空头将这些公告解释为意味着收益率会朝着同一方向进一步变化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Unconventional Monetary Policy and the Behavior of Shorts

We investigate the behavior of shorts, considered sophisticated investors, before and after a set of Federal Reserve unconventional monetary policy announcements that spot bond markets did not fully anticipate. Short interest in agency securities systematically predicts bond price changes and other asset returns on the days of monetary announcements, particularly when growth or monetary news is released, indicating shorts correctly anticipate these surprises. Shorts also systematically rebalance after announcements in the direction of the announcement surprise when the announcement releases monetary or growth news, suggesting that shorts interpret these announcements to imply further yield changes in the same direction.

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.