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Sack, Brian

Overview
Works: 29 works in 157 publications in 1 language and 938 library holdings
Genres: History 
Roles: Narrator
Classifications: HJ2051, 973.92
Publication Timeline
Key
Publications about Brian Sack
Publications by Brian Sack
Most widely held works by Brian Sack
Broke by Glenn Beck( Sound Recording )
2 editions published in 2010 in English and held by 282 libraries worldwide
Conservative television and radio personality Glenn Beck takes listeners on a ride through 234 years of American history, starting with the American Revolution and ending with the 2008 recession. Here, Beck reveals how America has arrived at its current miserable state, exposing exactly where, when, and how the cracks formed in the American system
Measuring the reaction of monetary policy to the stock market by Roberto Rigobón( Book )
14 editions published in 2001 in English and held by 89 libraries worldwide
Movements in the stock market can have a significant impact on the macroeconomy and are therefore likely to be an important factor in the determination of monetary policy. However, little is known about the magnitude of the Federal Reserve's reaction to the stock market. One reason is that it is difficult to estimate the policy reaction because of the simultaneous response of equity prices to interest rate changes. This paper uses an identification technique based on the heteroskedasticity of stock market returns to identify the reaction of monetary policy to the stock market. The results indicate that monetary policy reacts significantly to stock market movements, with a 5% rise (fall) in the S & P 500 index increasing the likelihood of a 25 basis point tightening (easing) by about a half. This reaction is roughly of the magnitude that would be expected from estimates of the impact of stock market movements on aggregate demand. Thus, it appears that the Federal Reserve systematically responds to stock price movements only to the extent warranted by their impact on the macroeconomy
The impact of monetary policy on asset prices by Roberto Rigobón( Book )
14 editions published between 2001 and 2002 in English and held by 88 libraries worldwide
Estimating the response of asset prices to changes in monetary policy is complicated by the endogeneity of policy decisions and the fact that both interest rates and asset prices react to numerous other variables. This paper develops a new estimator that is based on the heteroskedasticity that exists in high frequency data. We show that the response of asset prices to changes in monetary policy can be identified based on the increase in the variance of policy shocks that occurs on days of FOMC meetings and of the Chairman's semi-annual monetary policy testimony to Congress. The identification approach employed requires a much weaker set of assumptions than needed under the 'event-study' approach that is typically used in this context. The results indicate that an increase in short-term interest rates results in a decline in stock prices and in an upward shift in the yield curve that becomes smaller at longer maturities. The findings also suggest that the event-study estimates contain biases that make the estimated effects on stock prices appear too small and those on Treasury yields too large
The effects of war risk on U.S. financial markets by Roberto Rigobón( Book )
14 editions published in 2003 in English and held by 83 libraries worldwide
This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor' accounted for a considerable portion of the variance of these financial variables over the ten weeks leading up to the onset of war with Iraq
Spillovers across U.S. financial markets by Roberto Rigobón( Book )
11 editions published in 2003 in English and held by 78 libraries worldwide
Movements in the prices of different assets are likely to directly influence one another. This paper develops a model that identifies the contemporaneous interactions between asset prices in U.S. financial markets by relying on the heteroskedasticity in their movements. In particular, we estimate a structural-form GARCH' model that includes the short-term interest rate, the long-term interest rate, and the stock market. The results indicate that there are strong contemporaneous interactions between these variables. Accounting for this behavior is critical for interpreting daily changes in asset prices and for predicting the future paths of their variances and correlations. We demonstrate the importance of this consideration in a risk-management application
Noisy macroeconomic announcements, monetary policy, and asset prices by Roberto Rigobón( Computer File )
6 editions published in 2006 in English and held by 50 libraries worldwide
"The current literature has provided a number of important insights about the effects of macroeconomic data releases on monetary policy expectations and asset prices. However, one puzzling aspect of that literature is that the estimated responses are quite small. Indeed, these studies typically find that the major economic releases, taken together, account for only a small amount of the variation in asset prices even those closely tied to near-term policy expectations. In this paper we argue that this apparent detachment arises in part from the difficulties associated with measuring macroeconomic news. We propose two new econometric approaches that allow us to account for the noise in measured data surprises. Using these estimators, we find that asset prices and monetary policy expectations are much more responsive to incoming news than previously believed. Our results also clarify the set of facts that should be captured by any model attempting to understand the interactions between economic data, monetary policy, and asset prices"--National Bureau of Economic Research web site
Anticipations of monetary policy in financial markets by Joe Lange( Book )
6 editions published in 2001 in English and held by 21 libraries worldwide
Interest-rate smoothing and optimal monetary policy : a review of recent empirical evidence by Brian Sack( Book )
5 editions published in 1999 in English and held by 19 libraries worldwide
Monetary policy alternatives at the zero bound an empirical assessment by Ben Bernanke( Book )
7 editions published in 2004 in English and held by 19 libraries worldwide
"The success over the years in reducing inflation and, consequently, the average level of nominal interest rates has increased the likelihood that the nominal policy interest rate may become constrained by the zero lower bound. When that happens, a central bank can no longer stimulate aggregate demand by further interest-rate reductions and must rely on "non-standard" policy alternatives. To assess the potential effectiveness of such policies, we analyze the behavior of selected asset prices over short periods surrounding central bank statements or other types of financial or economic news and estimate "noarbitrage" models of the term structure for the United States and Japan. There is some evidence that central bank communications can help to shape public expectations of future policy actions and that asset purchases in large volume by a central bank would be able to affect the price or yield of the targeted asset"--Abstract
Market-based measures of monetary policy expectations by Refet S Gurkaynak( Book )
6 editions published between 2002 and 2006 in English and held by 18 libraries worldwide
Does the Fed act gradually? : a VAR analysis by Brian Sack( Book )
5 editions published in 1998 in English and held by 17 libraries worldwide
Do actions speak louder than words? the response of asset prices to monetary policy actions and statements by Refet S Gurkaynak( Book )
6 editions published in 2004 in English and held by 17 libraries worldwide
"We investigate the effects of U.S. monetary policy on asset prices using a high-frequency event-study analysis. We test whether these effects are adequately captured by a single factor--changes in the federal funds rate target-and find that they are not. Instead, we find that two factors are required. These factors have a structural interpretation as a "current federal funds rate target" factor and a "future path of policy" factor, with the latter closely associated with FOMC statements. We measure the effects of these two factors on bond yields and stock prices using a new intraday dataset going back to 1990. According to our estimates, both monetary policy actions and statements have important but differing effects on asset prices, with statements having a much greater impact on longer-term Treasury yields"--Federal Reserve Board web site
Uncertainty, learning, and gradual monetary policy by Brian Sack( Book )
5 editions published in 1998 in English and held by 16 libraries worldwide
Extracting the expected path of monetary policy from futures rates by Brian Sack( Book )
5 editions published in 2002 in English and held by 15 libraries worldwide
Treasury inflation-indexed debt : a review of the U.S. experience by Brian Sack( Book )
5 editions published in 2002 in English and held by 15 libraries worldwide
Interpreting the significance of lagged interest rate in estimated monetary policy rules by William B English( Book )
5 editions published in 2002 in English and held by 15 libraries worldwide
A monetary policy rule based on nominal and inflation-indexed treasury yields by Brian Sack( Book )
6 editions published in 2003 in English and held by 15 libraries worldwide
"The yields on nominal and inflation-indexed Treasury debt securities can be used to derive a proxy for the inflation expectations of financial market participants. This paper finds that one such measure has been an effective predictor of monetary policy decisions by the Federal Reserve since 1999. This finding suggests that the inflation compensation measure serves as a summary statistic for the factors that drive monetary policy decisions"--Federal Reserve Board web site
Central bank talk : does it matter and why? by Donald L Kohn( Book )
6 editions published in 2003 in English and held by 14 libraries worldwide
"Statements released by the Federal Open Market Committee (FOMC) and congressional testimony by Chairman Greenspan are found to significantly affect market interest rates, indicating that central bank "talk" conveys important information to market participants. These effects arise not only because the statements provide information about the near-term policy inclinations of the FOMC but also because the statements convey information about the outlook for the economy. By contrast, statements raising questions about asset valuations typically have not generated a significant response of those asset prices"--Federal Reserve Board web site
The excess sensitivity of long-run term interest rates : evidence and implications for macroeconomic models by Refet S Gurkaynak( Book )
6 editions published in 2003 in English and held by 13 libraries worldwide
"This paper demonstrates that long-term forward interest rates in the U.S. often react considerably to surprises in macroeconomic data releases and monetary policy announcements. This behavior is inconsistent with the assumption of many macroeconomic models that the long-run properties of the economy are time-invariant and perfectly known by all economic agents. Under those conditions, the shocks we consider would have only transitory effects on short-term interest rates, and hence would not generate large responses in forward rates. Our empirical findings suggest that private agents adjust their expectations of the long-run inflation rate in response to macroeconomic and monetary policy surprises. Consistent with our hypothesis, forward rates derived from inflation-indexed Treasury debt show little sensitivity to these shocks, indicating that the response of nominal forward rates is mostly driven by inflation compensation. In addition, we find that in the U.K., where the long-run inflation target is known by the private sector, long-term forward rates have not demonstrated excess sensitivity since the Bank of England achieved independence in mid-1997. We present an alternative model in which agents' perceptions of long-run inflation are not completely anchored, which fits all of our empirical results"--Federal Reserve Board web site
Deriving inflation expectations from nominal and inflation-indexed treasury yields by Brian Sack( Book )
4 editions published in 2000 in English and held by 13 libraries worldwide
 
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Alternative Names
Sack, Brian P.
Sack, Brian P. 1998-
Languages
English (138)
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