Emanuel Moench

Emanuel Moench

Research Officer
Capital Markets Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

Phone (212) 720-6625
emanuel.moench@ny.frb.org

Publications

Pricing the Term Structure with Linear Regressions
With Tobias Adrian and Richard K. Crump
Journal of Financial Economics, Vol. 110 No. 1, October 2013
See also ››
Federal Reserve Bank of New York Staff Reports, Number 340, Revised May 2012

The Pre-FOMC Announcement Drift
With David O. Lucca
Journal of Finance, Forthcoming
See also ››
Federal Reserve Bank of New York Staff Reports, Number 512, May 2013

Dynamic Hierarchical Factor Models
With Serena Ng and Simon Potter
Review of Economics and Statistics, Forthcoming
See also ››
Federal Reserve Bank of New York Staff Reports, Number 412, Revised July 2011
Data Appendix PDF

The Persistent Effects of a False News Shock
With Carlos Carvalho and Nick Klagge
Journal of Empirical Finance,Vol. 18 No.4, September 2011
See also ››
Federal Reserve Bank of New York Staff Reports, Number 374, Revised January 2011

Term Structure Surprises: The Predictive Content of Curvature, Level, and SlopePDF
Journal of Applied Econometrics, Vol. 27 No.4, June/July 2012

Macro Risk Premium and Intermediary Balance Sheet QuantitiesPDF
With Tobias Adrian and Hyun Song Shin
IMF Economic Review, Vol. 58, July 2010

A Hierarchical Factor Analysis of US Housing MarketDynamicsPDF
With Serena Ng
Econometrics Journal, Vol. 14, February 2011
40 pages / 330 kb

Why Is the Market Share of Adjustable-Rate Mortgages So Low?
With James Vickery and Diego Aragon
Federal Reserve Bank of New York Current Issues in Economics and Finance, Volume 16, Number 8, December 2010

Sectoral Price Data and Models of Price Setting PDF
With Bartosz Mackowiak and Mirko Wiederholt
Journal of Monetary Economics, Vol. 56, October 2009

Forecasting the Yield Curve in a Data-Rich Environment: A No-Arbitrage Factor-Augmented VAR ApproachPDF
Journal of Econometrics, Vol. 146 No. 1, September 2008

Towards a Monthly Business Cycle Chronology for the Euro Area
With Harald Uhlig
Journal of Business Cycle Measurement and Analysis, 2(1), May 2005, 340

Emanuel Moench's CVPDFThe views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.