AMPF Papers

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Policy Note

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May 2019

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Annual Conference

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International Macroeconomics, Money & Banking

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May 2022

We propose a household housing portfolio channel of quantitative easing (QE) transmission. QE induces households to rebalance portfolios from bonds to houses, lowering their expected future returns and thus stimulating consumption and output. We document this channel using both regional and househol...
Keywords: Asset Market Segmentation, Buy-to-let, Germany, Housing Returns, Household Portfolio Rebalancing, Qu
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Annual Conference

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Accounting

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May 2022

Firms with correlated fundamentals often issue reports sequentially, leading to information spillovers. The theoretical literature has investigated multi-firm reporting, but only when firms report simultaneously. We examine the implications of sequential reporting, where firms aim to maximize their ...
Keywords: Disclosure, information spillovers, reporting, manipulation, bias
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Annual Conference

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Accounting

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May 2022

We document empirical evidence for post-earnings announcement drift (PEAD) in corporate bond prices using transaction data. PEAD is more pronounced for bonds that trade more frequently than those that trade infrequently and also manifests in the credit default swap (CDS) market, rejecting the idea t...
Keywords: Disagreement, Liquidity, Informational Efficiency, Corporate Bonds, Post Earnings Announcement Drift
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Annual Conference

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Accounting

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May 2022

We study the dynamic transmission of monetary policy shocks into corporate profitability. We find an initial negative association between monetary policy shocks and corporate revenues and expenses. The revenue response is consistent with a consumer substitution effect, while the expense response is ...
Keywords: Monetary Policy, Consumption, Investment, Revenues, Expenses, Earnings
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