Emanuel Moench

Deutsche Bundesbank

Head of Research

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

http://https://www.bundesbank.de/en/emanuel-moench

Goethe University Frankfurt - Department of Money and Macroeconomics

Germany

SCHOLARLY PAPERS

27

DOWNLOADS
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Top 5,489

in Total Papers Downloads

9,607

SSRN CITATIONS
Rank 1,816

SSRN RANKINGS

Top 1,816

in Total Papers Citations

455

CROSSREF CITATIONS

266

Scholarly Papers (27)

1.

The Pre-FOMC Announcement Drift

Journal of Finance, Forthcoming, FRB of New York Staff Report No. 512
Number of pages: 62 Posted: 07 Sep 2011 Last Revised: 01 Aug 2013
David O. Lucca and Emanuel Moench
Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 3,083 (4,673)
Citation 87

Abstract:

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FOMC announcements, equity premium, anomaly

2.

Pricing the Term Structure with Linear Regressions

FRB of New York Staff Report No. 340
Number of pages: 68 Posted: 22 Mar 2009 Last Revised: 07 May 2013
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 1,254 (19,812)
Citation 134

Abstract:

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term structure of interest rates, Fama-MacBeth regressions, dynamic asset pricing model estimation

3.

Financial Intermediation, Asset Prices and Macroeconomic Dynamics

FRB of New York Staff Report No. 422
Number of pages: 42 Posted: 07 Jan 2010
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements (BIS)
Downloads 595 (56,047)
Citation 71

Abstract:

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return predictability, financial intermediation, macroeconomic dynamics, macroprudential policy

4.
Downloads 528 ( 65,356)
Citation 12

Anchored Inflation Expectations

Number of pages: 70 Posted: 15 Aug 2017 Last Revised: 09 Apr 2021
Asset 1 Investment Company, University of Texas at Austin, Deutsche Bundesbank and University of Melbourne - Department of Economics
Downloads 513 (66,834)
Citation 13

Abstract:

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Anchored expectations, in ation expectations, survey data

Anchored Inflation Expectations

CAMA Working Paper No. 25/2020 (Updated May 2021)
Number of pages: 70 Posted: 17 Mar 2020 Last Revised: 13 Jun 2021
Asset 1 Investment Company, University of Texas at Austin, Deutsche Bundesbank and University of Melbourne - Department of Economics
Downloads 15 (695,944)
Citation 4

Abstract:

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Anchored expectations, inflation expectations, survey data

Anchored Inflation Expectations

CEPR Discussion Paper No. DP13900
Number of pages: 73 Posted: 20 Aug 2019 Last Revised: 14 May 2021
University of Texas at Austin, Deutsche Bundesbank, University of Melbourne - Department of Economics and Asset 1 Investment Company
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5.

Forecasting through the Rear-View Mirror: Data Revisions and Bond Return Predictability

FRB of New York Staff Report No. 581
Number of pages: 41 Posted: 13 Nov 2012 Last Revised: 22 Mar 2014
Eric Ghysels, Casidhe Horan and Emanuel Moench
University of North Carolina Kenan-Flagler Business School, The Stephen M. Ross School of Business at the University of Michigan and Deutsche Bundesbank
Downloads 504 (68,926)
Citation 31

Abstract:

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return predictability, real-time data, macroeconomic announcements, dynamic factor models

6.
Downloads 414 ( 87,234)
Citation 8

The Persistent Effects of a False News Shock

FRB of New York Staff Report No. 374
Number of pages: 32 Posted: 21 May 2009 Last Revised: 17 Nov 2011
Carlos Carvalho, Nicholas Klagge and Emanuel Moench
Asset 1 Investment Company, Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 297 (125,694)
Citation 8

Abstract:

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false news, natural experiment, United Airlines, noise, market efficiency, contagion

The Persistent Effects of a False News Shock

Number of pages: 31 Posted: 17 Nov 2011 Last Revised: 22 Jul 2019
Carlos Carvalho, Nicholas Klagge and Emanuel Moench
Asset 1 Investment Company, Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 117 (290,540)
Citation 1

Abstract:

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fake news, false news, natural experiment, United Airlines, noise, market efficiency, contagion

The Persistent Effects of a False News Shock

Journal of Empirical Finance, Vol. 18, No. 4, 2011
Posted: 17 Nov 2011 Last Revised: 22 Jul 2019
Carlos Carvalho, Nicholas Klagge and Emanuel Moench
Asset 1 Investment Company, Federal Reserve Bank of New York and Deutsche Bundesbank

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Fake News, False News, Natural Experiment, United Airlines, Noise, Market Efficiency

7.

Forecasting the Yield Curve in a Data-Rich Environment: A No-Arbitrage Factor-Augmented VAR Approach

EFA 2005 Moscow Meetings, ECB Working Paper No. 544, AFA 2007 Chicago Meetings Paper
Number of pages: 41 Posted: 06 Mar 2005
Emanuel Moench
Deutsche Bundesbank
Downloads 405 (89,538)
Citation 4

Abstract:

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Affine term structure models, Yield curve, dynamic factor models, FAVAR

8.
Downloads 341 (108,894)
Citation 31

Decomposing Real and Nominal Yield Curves

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 62 Posted: 03 Sep 2012 Last Revised: 07 Dec 2013
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 190 (195,230)
Citation 26

Abstract:

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TIPS, inflation expectations, affine term structure models

Pricing TIPS and Treasuries with Linear Regressions

FRB of New York Staff Report No. 570
Number of pages: 57 Posted: 22 Sep 2012 Last Revised: 07 May 2013
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 151 (238,230)
Citation 3

Abstract:

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TIPS, inflation expectations, affine term structure models

9.

The Term Structure of Expectations and Bond Yields

FRB of NY Staff Report No. 775
Number of pages: 88 Posted: 31 May 2016 Last Revised: 11 Apr 2018
Richard K. Crump, Stefano Eusepi and Emanuel Moench
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Deutsche Bundesbank
Downloads 330 (112,904)
Citation 10

Abstract:

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term premiums, expectations formation, survey forecasts, monetary policy, business cycle fluctuations

10.

Leverage Asset Pricing

FRB of New York Staff Report No. 625
Number of pages: 45 Posted: 05 Sep 2013
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements (BIS)
Downloads 296 (126,784)
Citation 33

Abstract:

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return predictability, cross-sectional asset pricing, financial intermediation, macro-finance

Towards a Monthly Business Cycle Chronology for the Euro Area

Number of pages: 28 Posted: 01 Apr 2004
Emanuel Moench and Harald Uhlig
Deutsche Bundesbank and University of Chicago - Department of Economics
Downloads 251 (149,677)
Citation 5

Abstract:

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Business cycle, European business cycle, Euro area, Bry-Boschan, NBER methodology

Towards a Monthly Business Cycle Chronology for the Euro Area

CEPR Discussion Paper No. 4377
Number of pages: 29 Posted: 27 May 2004
Emanuel Moench and Harald Uhlig
Deutsche Bundesbank and University of Chicago - Department of Economics
Downloads 20 (648,801)
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Business cycle, European business cycle, euro area, Bry-Boschan, NBER methodology

Towards a Monthly Business Cycle Chronology for the Euro Area

Journal of Business Cycle Measurement and Analysis, Vol. 1, No. 2, 2004
Posted: 20 Jun 2005
Emanuel Moench and Harald Uhlig
Deutsche Bundesbank and University of Chicago - Department of Economics

Abstract:

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Business cycle, European business cycle, Euro area, Bry-Boschan, NBER methodology

Regression-Based Estimation of Dynamic Asset Pricing Models

FRB of New York Staff Report No. 493
Number of pages: 55 Posted: 12 May 2011 Last Revised: 09 Dec 2014
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 248 (151,510)
Citation 4

Abstract:

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dynamic asset pricing, Fama-MacBeth regression, financial econometrics, GMM, minimum distance estimation, reduced rank regression

Regression Based Estimation of Dynamic Asset Pricing Models

CEPR Discussion Paper No. DP10449
Number of pages: 56 Posted: 02 Mar 2015
Tobias Adrian, Richard K. Crump and Emanuel Moench
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank
Downloads 0
Citation 8
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Dynamic Asset Pricing, Fama-MacBeth Regressions, GMM, Minimum Distance Estimation, Reduced Rank Regression, Time-varying Betas

13.

Why is the Market Share of Adjustable-Rate Mortgages so Low?

Current Issues in Economics and Finance, Vol. 16, No. 8, December 2010
Number of pages: 11 Posted: 09 Jan 2011
Emanuel Moench, James I. Vickery and David Aragon
Deutsche Bundesbank, Federal Reserve Bank of Philadelphia and affiliation not provided to SSRN
Downloads 202 (185,655)
Citation 11

Abstract:

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mortgage, fixed-rate mortgage, adjustable-rate mortgage

14.
Downloads 183 (201,910)
Citation 3

OTC Discount

SAFE Working Paper No. 298
Number of pages: 81 Posted: 08 Dec 2020
Reserve Bank of Australia, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 95 (335,192)
Citation 3

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Market Microstructure, Hybrid Markets, Venue Choice, Interdealer Brokerage, Fixed-Income, OTC Markets, Search Frictions, Information Frictions

OTC Discount

Deutsche Bundesbank Discussion Paper No. 42/2019
Number of pages: 69 Posted: 20 Dec 2019
Reserve Bank of Australia, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 53 (464,441)

Abstract:

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Market Microstructure,Hybrid Markets,Venue Choice,Interdealer Brokerage,Fixed-Income,OTC Markets,Intermediation Frictions,Search Frictions,Information Frictions

OTC Discount

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 54 Posted: 04 Jun 2018
Reserve Bank of Australia, Deutsche Bundesbank, Goethe University Frankfurt - Faculty of Economics and Business Administration and Deutsche Bundesbank
Downloads 35 (549,122)

Abstract:

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venue choice, hybrid markets, sovereign bond markets

15.

Dynamic Hierarchical Factor Models

FRB of New York Staff Report No. 412
Number of pages: 17 Posted: 15 Dec 2009 Last Revised: 31 Jul 2011
Emanuel Moench, Serena Ng and Simon Potter
Deutsche Bundesbank, Columbia Business School - Economics Department and Peter G. Peterson Institute for International Economics
Downloads 167 (218,440)
Citation 27

Abstract:

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forecasting, monitoring, comovements, large dimensional panel, diffusion index

16.
Downloads 162 (224,092)
Citation 44

Fundamental Disagreement

FRB of New York Staff Report No. 655
Number of pages: 52 Posted: 11 Jan 2014 Last Revised: 07 Dec 2014
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Deutsche Bundesbank
Downloads 122 (281,788)
Citation 4

Abstract:

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expectations, survey forecasts, imperfect information, term structure of disagreement

Fundamental Disagreement

Banque de France Working Paper No. 524
Number of pages: 57 Posted: 29 Nov 2014
Federal Reserve Banks - Federal Reserve Bank of Boston, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Deutsche Bundesbank
Downloads 40 (522,947)
Citation 44

Abstract:

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Expectations, survey forecasts, imperfect information, term structure of disagreement

17.

Conditional Asset Pricing with a Large Information Set

Number of pages: 38 Posted: 01 Mar 2007
Emanuel Moench
Deutsche Bundesbank
Downloads 143 (248,510)

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asset pricing, conditional CAPM, dynamic factor models, GMM

18.

What Predicts U.S. Recessions?

FRB of New York Staff Report No. 691
Number of pages: 34 Posted: 22 Jul 2019
Weiling Liu and Emanuel Moench
Northeastern University and Deutsche Bundesbank
Downloads 117 (289,123)
Citation 13

Abstract:

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recession predictability, ROC, term spread, leading indicators, efficient probit

Procyclical Asset Management and Bond Risk Premia

Deutsche Bundesbank Discussion Paper No. 38/2020
Number of pages: 60 Posted: 04 Aug 2020
Alexandru Barbu, Christoph Fricke and Emanuel Moench
London Business School, European Systemic Risk Board and Deutsche Bundesbank
Downloads 76 (384,744)

Abstract:

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institutional funds, institutional accounts, procyclical asset management, portfolio rebalancing, price impact, demand pressures, asset price volatility, career concerns

Procyclical Asset Management and Bond Risk Premia

ESRB: Working Paper Series 2021/116
Number of pages: 69 Posted: 15 Mar 2021
Alexandru Barbu, Christoph Fricke and Emanuel Moench
London Business School, European Systemic Risk Board and Deutsche Bundesbank
Downloads 38 (533,063)

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Procyclical Asset Management and Bond Risk Premia

CEPR Discussion Paper No. DP15123
Number of pages: 70 Posted: 18 Aug 2020 Last Revised: 01 Mar 2021
Alexandru Barbu, Christoph Fricke and Emanuel Moench
London Business School, European Systemic Risk Board and Deutsche Bundesbank
Downloads 1 (813,335)
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20.

Macro Risk Premium and Intermediary Balance Sheet Quantities

FRB of New York Staff Report No. 428
Number of pages: 39 Posted: 03 Feb 2010
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements (BIS)
Downloads 110 (301,804)
Citation 6

Abstract:

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monetary policy, financial intermediation, capital markets

21.

On the Transmission of News and Mining Shocks in Bitcoin

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 41 Posted: 31 Oct 2019 Last Revised: 05 Nov 2019
Goethe University Frankfurt, Goethe University Frankfurt, Goethe University Frankfurt and Deutsche Bundesbank
Downloads 61 (427,774)

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Bitcoin, Narrative approach, Electricity costs, Mining competition, Search frictions

Fundamental Disagreement about Monetary Policy and the Term Structure of Interest Rates

FRB of New York Staff Report No. 934
Number of pages: 39 Posted: 21 Jul 2020
Shenzhen Stock Exchange, Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin and Deutsche Bundesbank
Downloads 52 (468,424)

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disagreement, heterogeneous beliefs, noisy information, speculation, survey forecasts, yield curve, term premium

Fundamental Disagreement About Monetary Policy and the Term Structure of Interest Rates

CEPR Discussion Paper No. DP15122
Number of pages: 41 Posted: 18 Aug 2020
Shenzhen Stock Exchange, Federal Reserve Banks - Federal Reserve Bank of New York, Deutsche Bundesbank and The University of Texas at Austin
Downloads 0
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disagreement, heterogeneous beliefs, Noisy information, Speculation, Survey Forecasts, Term premium, yield curve

23.

Procyclical Asset Management and Bond Risk Premia

Number of pages: 67 Posted: 27 Mar 2019 Last Revised: 05 Mar 2021
Alexandru Barbu, Christoph Fricke and Emanuel Moench
London Business School, European Systemic Risk Board and Deutsche Bundesbank
Downloads 23 (607,380)

Abstract:

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Institutional accounts,procyclical asset management,portfolio rebalancing,price impact, demand pressures, asset price volatility

24.

Sectoral Price Data and Models of Price Setting

CEPR Discussion Paper No. DP7339
Number of pages: 69 Posted: 26 Aug 2009
Bartosz Maćkowiak, Emanuel Moench and Mirko Wiederholt
European Central Bank (ECB), Deutsche Bundesbank and Northwestern University - Department of Economics
Downloads 2 (765,820)
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Bayesian dynamic factor model, Calvo model, menu cost, rational inattention, sticky information

25.

Equity Premium Predictability Over the Business Cycle

CEPR Discussion Paper No. DP16357
Number of pages: 72 Posted: 14 Jul 2021
Emanuel Moench and Tobias Stein
Deutsche Bundesbank and Goethe University Frankfurt
Downloads 1 (777,337)
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26.

What Moves Treasury Yields?

CEPR Discussion Paper No. DP15978
Number of pages: 69 Posted: 31 Mar 2021
Emanuel Moench and Soofi Siavash Soroosh
Deutsche Bundesbank and Bank of Lithuania
Downloads 0 (794,362)
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27.

Dynamic Leverage Asset Pricing

CEPR Discussion Paper No. DP11466
Number of pages: 58 Posted: 30 Aug 2016 Last Revised: 02 Dec 2019
Tobias Adrian, Emanuel Moench and Hyun Song Shin
International Monetary Fund, Deutsche Bundesbank and Bank for International Settlements (BIS)
Downloads 0 (794,362)
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intermediary asset pricing, Leverage Cycles, Macro-Finance