Maik Schmeling’s research while affiliated with Goethe University Frankfurt and other places

... Several studies articulate the informativeness of other verbal communication. Wischnewsky et al. (2021) used Fed testimonies that emphasized direct interaction with politicians; Schmeling and Wagner (2016) used ECB press conferences that emphasized improved communication with the public. The recent study by Kaminskas and Jurkšas (2024) used a large set of verbal tools, namely, speeches, monetary policy accounts and press conferences by highlighting the media attention regarding these tools. ...

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Who Is Leading in Communication Tone? Wavelet Analysis of the Fed and the ECB

... To achieve their desired capital structure, borrowers often need a mix of bank and nonbank types of claims, making for another complementarity. At the same time, to the extent that NBFIs just passively invest in securities (e.g., as in MMFs), their contribution to economic growth overall may be more limited, in part as such passive investment reduces the firm-specific information reflected in equity prices and lower liquidity (e.g., Höfler, Schlag & Schmeling 2023). And NBFIs clearly add less to overall liquidity than banks do (e.g., Ma, Xiao & Zeng 2022). ...

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Nonbank Financial Intermediation: Stock Take of Research, Policy, and Data

... .Schmeling (2022) concluded that investors face challenges when learning about the Federal Reserve's response to large, but infrequent, negative shocks in real-time. Indeed, Fed monetary policies will likely significantly impact the price changes. ...

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The Impact of the Monetary Policy of the US Federal Reserve on the Ratio of the US Dollar To the Japanese Yen in the Foreign Exchange Market during 2015-2023

... The TED spread is used to measure liquidity(FED, 2008). Moreover, liquidity risk is further associated with other types of risks, including sovereign risk(López-Espinosa et al., 2017); we also employ a separate measure for credit risk followingMenkhoff et al. (2012), and we further check the influence of monetary conditions proxied by the US 5-year yield(Della Corte et al., 2022). 7 The correlation matrix among determinants is provided inTable A13.Kočenda, 2024), significantly impacting forex interconnectedness. ...

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Event-Driven Changes in Volatility Connectedness in Global Forex Markets

... It does so by accounting for a wide range of central bank operations, including vis-à-vis residents and nonresident entities. This work complements the recent work by Fratzscher et al (2020), who focus on identifying periods when interventions took place through news searches for a smaller group of countries, although still relying on traditional coarse proxies of FXI to quantify the actual degree or magnitude of FXI. ...

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Foreign Exchange Intervention: A Dataset of Public Data and Proxies

... actions. Evidence suggests that market expectations can be biased predictors of future short rates (Söderström 2001, Schmeling, Schrimpf andSteffensen 2022) and are more dispersed when inflation volatility is driven by supply shocks (Madeira, Madeira and Monteiro 2023). likely future path of monetary policy or the true views of the policymaker. ...

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Forecasting for monetary policy

... In a recent paper, Kroencke, Schmeling, and Schrimpf (2018) document an "FOMC risk shift" as a separate dimension of FOMC announcement effects. They identify this risk-shift by changes in risk spreads and the VIX that are orthogonal to the conventional (first-moment) policy surprise, and show that this measure is correlated with stock returns. ...

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Market-Based Monetary Policy Uncertainty

... Central banks systematically tend to intervene in support of (against) undervalued (overvalued) currencies (see Fratzscher et al., 2018). However, their policy decisions may be considerably different during the period of crises. ...

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Measuring Currency Risk Premium: The Case of Turkey

... Recent studies have focused on testing the rationality of inflation expectations in industrialized countries (see for example, Mestre, 2007;Henzel and Wollmershaeuser, 2008;Schmeling and Schrimpf, 2008). Few studies have examined the REH of the financial and commodities markets in the business sector in developing countries. ...

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Testing the Rational Expectations Hypothesis on the Retail Trade Sector Using Survey Data from Malaysia

... Finally, our paper is also related to research that shows a strong positive relation between asset prices and net order flow in "traditional" financial markets. For example, Evans and Lyons (2002), Berger et al. (2008), and Fourel et al. (2015) look at foreign exchange markets; Brandt and Kavajecz (2004) at US Treasury markets; Deuskar and Johnson (2011) at the S&P 500 futures market; and Chordia, Roll, and Subrahmanyam (2002), Goyenko, Holden, andTrzcinka (2009), andHendershott andMenkveld (2014) for NYSE stocks. These papers suggest that order flow imbalances typically explain about 15%-30% of the day-to-day variation of stock returns or treasury yields and up to 50% of foreign exchange returns. ...

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Trading and Arbitrage in Cryptocurrency Markets