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A Risk-Premium Adjustment to the Policy Rate Path
We offer a method to derive a risk-premium adjustment to the risk-neutral policy rate path implied by raw financial quotes. Our method aims to preserve the information derived from high-frequency data, while also filtering out noise unrelated to future macro-finance conditions.
Working Paper
Impacts of the Fed Corporate Credit Facilities through the Lenses of ETFs and CDX
In this study, we use the liquid and efficient bond ETF prices and CDX spreads to quantify the effects of the announcements of the Primary and Secondary Market Corporate Credit Facilities on the underlying corporate bonds. We find that those announcements triggered: (i) large and positive jumps in the prices of directly-eligible ETFs as well as ETFs holding eligible bonds and their close substitutes; (ii) a discrete drop in the perceived credit risk of eligible bonds especially following the April 9th announcement; (iii) a roaring back of investment-grade issuance and a pick-up in high-yield ...