Papers by Frederiek Van Holle
Social Science Research Network, 2002
Ga onmiddellijk naar paginanavigatie. Cash-en obligatiefondsen in België : prestatie in tijden va... more Ga onmiddellijk naar paginanavigatie. Cash-en obligatiefondsen in België : prestatie in tijden van rentefluctuaties. Please use this identifier to cite or link to this item: Record Details. Record ID, 155290. Record Type, journalArticle. ...
Social Science Research Network, 2020
Social Science Research Network, 2017
The relationship between macroeconomic variables and asset prices varies over time. Recent resear... more The relationship between macroeconomic variables and asset prices varies over time. Recent research points to monetary policy as an important driver of this dynamic relationship. On the one hand, most central banks pursue a mandate that takes into account expected inflation and some measure of the expected output gap. On the other hand, realized inflation and output gap are influenced by monetary policy. The main part of this paper provides an overview of the most important transmission channels of conventional and unconventional monetary policy (and their potential impact on asset prices). The current environment of low to zero interest rates challenges the traditional transmission of monetary policy. However, recent academic research suggests that the central bank is not armless in such an environment. Unconventional monetary policy has been adopted by most developed markets central banks since the start of the Great Financial crisis. This paper also reviews potential limits and side-effects of such policies. Finally, some policy implications of tapering are presented.
Social Science Research Network, 2017
RePEc: Research Papers in Economics, 2017
Ga onmiddellijk naar paginanavigatie. The value effect : now you see it, now you don't. Plea... more Ga onmiddellijk naar paginanavigatie. The value effect : now you see it, now you don't. Please use this identifier to cite or link to this item: Record Details. Record ID, 145302. Record Type, misc. Author, Jan Annaert [801001338960 ...
... 32 - (0)9 264.34.61 Fax. : 32 - (0)9 264.35.92 WORKING PAPER Value and size effect: Now y... more ... 32 - (0)9 264.34.61 Fax. : 32 - (0)9 264.35.92 WORKING PAPER Value and size effect: Now you see it, now you don't Jan Annaert 1 John Crombez 2 Bart Spinel 3 Frederiek Van Holle 4,5 May 2002 2002/146 1 Ghent University, University of Antwerp, St. ...
Data Science for Economics and Finance, 2021
We present a general monitoring methodology to summarize news about predefined entities and topic... more We present a general monitoring methodology to summarize news about predefined entities and topics into tractable time-varying indices. The approach embeds text mining techniques to transform news data into numerical data, which entails the querying and selection of relevant news articles and the construction of frequency- and sentiment-based indicators. Word embeddings are used to achieve maximally informative news selection and scoring. We apply the methodology from the viewpoint of a sustainable asset manager wanting to actively follow news covering environmental, social, and governance (ESG) aspects. In an empirical analysis, using a Dutch-written news corpus, we create news-based ESG signals for a large list of companies and compare these to scores from an external data provider. We find preliminary evidence of abnormal news dynamics leading up to downward score adjustments and of efficient portfolio screening.
This dissertation consists of three essays. In the first paper, “Stock-Bond Correlations, Macroec... more This dissertation consists of three essays. In the first paper, “Stock-Bond Correlations, Macroeconomic Regimes and Monetary Policy”, we link the evolution of stock-bond correlations for an international sample to both local and global regimes in inflation, the output gap and monetary policy. We find that negative stock-bond correlations only occur during regimes of low to medium inflation, combined with an accommodating monetary policy. This observation is highly relevant in the current environment of potential policy normalization by central banks. Normalizing policy could push stock-bond correlations back into positive territory resulting in a higher volatility of balanced investment portfolios. The second paper, “The Dynamic Risk Profile of Currency Carry Strategies”, contributes to a better understanding of the time-varying risk exposure of the currency carry strategy applied on the G10 currencies. Risk factor migration over time is captured using Bayesian model averaging techn...
SSRN Electronic Journal, 2017
The relationship between macroeconomic variables and asset prices varies over time. Recent resear... more The relationship between macroeconomic variables and asset prices varies over time. Recent research points to monetary policy as an important driver of this dynamic relationship. On the one hand, most central banks pursue a mandate that takes into account expected inflation and some measure of the expected output gap. On the other hand, realized inflation and output gap are influenced by monetary policy. The main part of this paper provides an overview of the most important transmission channels of conventional and unconventional monetary policy (and their potential impact on asset prices). The current environment of low to zero interest rates challenges the traditional transmission of monetary policy. However, recent academic research suggests that the central bank is not armless in such an environment. Unconventional monetary policy has been adopted by most developed markets central banks since the start of the Great Financial crisis. This paper also reviews potential limits and side-effects of such policies. Finally, some policy implications of tapering are presented.
SSRN Electronic Journal, 2019
SSRN Electronic Journal, 2002
Mimeo 2001, 2001
Ga onmiddellijk naar paginanavigatie. The value effect : now you see it, now you don't. Plea... more Ga onmiddellijk naar paginanavigatie. The value effect : now you see it, now you don't. Please use this identifier to cite or link to this item: Record Details. Record ID, 145302. Record Type, misc. Author, Jan Annaert [801001338960 ...
… FORUM. BANK-EN …, 2002
Ga onmiddellijk naar paginanavigatie. Cash-en obligatiefondsen in België : prestatie in tijden va... more Ga onmiddellijk naar paginanavigatie. Cash-en obligatiefondsen in België : prestatie in tijden van rentefluctuaties. Please use this identifier to cite or link to this item: Record Details. Record ID, 155290. Record Type, journalArticle. ...
SSRN Electronic Journal, 2017
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Papers by Frederiek Van Holle