Anna I Cieslak

Journal Article Annual Review of Financial Economics · November 1, 2023 The past half-century has seen major shifts in inflation expectations, how inflation comoves with the business cycle, and how stocks comove with Treasury bonds. Against this backdrop, we review the economic channels and empirical evidence on how inflation ... Full text Cite

Common shocks in stocks and bonds

Journal Article Journal of Financial Economics · November 1, 2021 We propose an approach to identify economic shocks (monetary, growth, and risk premium news) from stock returns and Treasury yield changes, which allows us to study the drivers of asset prices at a daily frequency since the early 1980s. We apply the identi ... Full text Cite

The Economics of the Fed Put

Journal Article Review of Financial Studies · September 1, 2021 Since the mid-1990s, negative stock returns comove with downgrades to the Fed's growth expectations and predict policy accommodations. Textual analysis of FOMC documents reveals that policy makers pay attention to the stock market. The primary mechanism is ... Full text Cite

Stock Returns over the FOMC Cycle

Journal Article Journal of Finance · October 1, 2019 We document that since 1994, the equity premium is earned entirely in weeks 0, 2, 4, and 6 in Federal Open Market Committee (FOMC) cycle time, that is, even weeks starting from the last FOMC meeting. We causally tie this fact to the Fed by studying interme ... Full text Cite

Short-rate expectations and unexpected returns in treasury bonds

Journal Article Review of Financial Studies · September 1, 2018 I document large and persistent errors in investors' expectations about the short-term interest rate over the business cycle. The largest errors arise in economic downturns and during Fed easings when investors overestimate future short rates and, thus, un ... Full text Cite

Information in the Term Structure of Yield Curve Volatility

Journal Article Journal of Finance · June 1, 2016 Using a novel no-arbitrage model and extensive second-moment data, we decompose conditional volatility of U.S. Treasury yields into volatilities of short-rate expectations and term premia. Short-rate expectations become more volatile than premia before rec ... Full text Cite

Expected Returns in Treasury Bonds

Journal Article Review of Financial Studies · October 2015 Full text Cite