Emanuel Mönch Head of Research

Research Interests

  • Risk Premium Modeling
  • Financial Intermediation, Asset Prices, and Macroeconomic Dynamics
  • Asset Price Anomalies
  • Business Cycle Analysis and Macroeconomic Forecasting
  • Modeling Macroeconomic Expectations

Refereed Publications

  • Ghysels, E., C. Horan and E. Moench (2018), Forecasting through the Rear-view Mirror: Data Revisions and Bond Return Predictability, Review of Financial Studies, Vol. 31(2), pp. 678-714.
  • Abrahams, M., T. Adrian, R. K. Crump, E. Moench and R. Yu (2016), Decomposing Real and Nominal Yield Curves, Journal of Monetary Economics, Vol. 84, pp. 182-200.
  • Andrade, P., R. K. Crump, S. Eusepi and E. Moench (2016), Fundamental Disagreement, Journal of Monetary Economics, Vol. 83, pp. 106-128.
  • Liu, W. and E. Moench (2016), What Predicts U.S. Recessions, International Journal of Forecasting, Vol. 32(4), pp. 1138–1150.
  • Adrian, T., R. K. Crump and E. Moench (2015), Regression-Based Estimation of Dynamic Asset Pricing Models, Journal of Financial Economics, Vol. 118 (2), pp. 211–244.
  • Lucca, D. and E. Moench (2015), The Pre-FOMC Announcement Drift, Journal of Finance, Vol. 70(1), pp. 329-371, winner of the Amundi Smith Breeden First Prize for the best capital markets paper published in the Journal of Finance in 2015.
  • Adrian, T., R. K. Crump and E. Moench (2013), Pricing the Term Structure with Linear Regressions, Journal of Financial Economics, Vol. 110(1), pp. 110-138.
  • Moench, E., S. Ng, and S. Potter (2013), Dynamic Hierarchical Factor Models, Review of Economics and Statistics, Vol. 95(5), pp. 1811-1817.
  • Moench, E. (2012), Term Structure Surprises: The Predictive Content of Curvature, Level, and Slope, Journal of Applied Econometrics, Vol. 27(4), pp. 574-602.
  • Carvalho, C., N. Klagge and E. Moench (2011), The Persistent Effects of a False News Shock, Journal of Empirical Finance, Vol 18(4), pp. 597-615.
  • Moench, E. and S. Ng (2011), A Hierarchical Factor Analysis of US Housing Market Dynamics, The Econometrics Journal, Vol. 14(1), pp. C1-C24.
  • Adrian, T., E. Moench, H.S. Shin (2010), Macro Risk Premium and Intermediary Balance Sheet Quantities, IMF Economic Review, Vol 58(1), pp. 179-207.
  • Aragon, D., E. Moench and J. Vickery (2010), Why is the Market Share of Adjustable-Rate Mortgages so Low?, Current Issues in Economics and Finance, Vol. 16(8).
  • Mackowiak, B., E. Moench and M. Wiederholt (2009), Sectoral Price Data and Models of Price Setting, Journal of Monetary Economics, Vol. 56, pp. S78-S99.
  • Moench, E. (2008), Forecasting the Yield Curve in a Data-Rich Environment: A No-Arbitrage Factor-Augmented VAR Approach, Journal of Econometrics, Vol. 146(1), pp. 26-43.
  • Moench, E. and H. Uhlig (2005), Towards a Monthly Business Cycle Chronology for the Euro Area, Journal of Business Cycle Measurement and Analysis, Vol. 2(1), pp. 43-69.

Working Papers


  • Amundi Smith Breeden First Prize, Journal of Finance, 2015
  • Young Economist Award, European Economic Association, 2008