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Monetary Policy Shocks and Portfolio Choice
Fratzscher, Marcel; Saborowski, Christian; Straub, Roland - C.E.P.R. Discussion Papers - 2010
The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of...
Persistent link: https://www.econbiz.de/10008692318
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The International Financial Integration of China and India
Lane, Philip R.; Schmukler, Sergio - C.E.P.R. Discussion Papers - 2006
Three main features characterize the international financial integration of China and India. First, while only having a … small global share of privately-held external assets and liabilities (with the exception of China’s FDI liabilities), these … “short equity, long debt.” Third, China and India have improved their net external positions over the last decade although …
Persistent link: https://www.econbiz.de/10005662395
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When Credit Bites Back: Leverage, Business Cycles, and Crises
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2011
This paper studies the role of credit in the business cycle, with a focus on private credit overhang. Based on a study of the universe of over 200 recession episodes in 14 advanced countries between 1870 and 2008, we document two key facts of the modern business cycle: financial-crisis...
Persistent link: https://www.econbiz.de/10009365001
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The Harrod-Balassa-Samuelson Hypothesis: Real Exchange Rates and their Long-Run Equilibrium
Chong, Yanping; Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2010
Frictionless, perfectly competitive traded-goods markets justify thinking of purchasing power parity (PPP) as the main driver of exchange rates in the long-run. But differences in the traded/non-traded sectors of economies tend to be persistent and affect movements in local price levels in ways...
Persistent link: https://www.econbiz.de/10008550320
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Betting the House
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014
Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...
Persistent link: https://www.econbiz.de/10011145419
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Does austerity pay off?
Born, Benjamin; Müller, Gernot; Pfeifer, Johannes - C.E.P.R. Discussion Papers - 2015
We ask whether cuts of government consumption lower or raise the sovereign default premium. To address this question, we set up a new data set for 38 emerging and advanced economies which contains quarterly time-series observations for sovereign default premia, government consumption, and...
Persistent link: https://www.econbiz.de/10011168905
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The Great Mortgaging: Housing Finance, Crises, and Business Cycles
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014
This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for 17 advanced economies since 1870. The new data show that the share of mortgages on banks’ balance sheets doubled in the course of the 20th century, driven by a sharp rise of...
Persistent link: https://www.econbiz.de/10011083232
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Sovereigns versus Banks: Credit, Crises, and Consequences
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2013
Two separate narratives have emerged in the wake of the Global Financial Crisis. One speaks of private financial excess and the key role of the banking system in leveraging and deleveraging the economy. The other emphasizes the public sector balance sheet over the private and worries about the...
Persistent link: https://www.econbiz.de/10011084027
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Great Moderation or Great Mistake: Can rising confidence in low macro-risk explain the boom in asset prices?
Broer, Tobias; Kero, Afroditi - C.E.P.R. Discussion Papers - 2011
The fall in US macroeconomic volatility from the mid-1980s coincided with a strong rise in asset prices. Recently, this rise, and the crash that followed, have been attributed to overconfidence in a benign macroeconomic environment of low volatility. This paper introduces learning about the...
Persistent link: https://www.econbiz.de/10009385764
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Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach
Challe, Edouard; Giannitsarou, Chryssi - C.E.P.R. Discussion Papers - 2011
Recent empirical literature documents that unexpected changes in the nominal interest rates have a significant effect on stock prices: a 25-basis point increase in the Fed funds rate is associated with an immediate decrease in broad stock indices that may range from 0.5 to 2.3 percent, followed...
Persistent link: https://www.econbiz.de/10009493561