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BOUCHAUD, Jean-Philippe; CONT, Rama; KAROUI, Nicole EL; … - EconWPA - 1997

evolution of the FRC contains a stabilizing second derivative (line tension) term, which tends to suppress short scale …

Persistent link: https://www.econbiz.de/10005413172

Should Monetary Policy Respond to Asset Price Misalignments?

Kontonikas, Alexandros; Ioannidis, Christos - EconWPA - 2004

This paper analyses the relationship between monetary policy and asset prices using a structural rational expectations model that allows for the effect of asset prices on aggregate demand. We assume that asset prices follow a partial adjustment mechanism whereas they are positively affected by...

Persistent link: https://www.econbiz.de/10005076790

Asset Prices and Monetary Policy: Some Notes

Cai, Junning - EconWPA - 2003

Three issues regarding asset prices and monetary policy are clarified. First, increases in asset prices due to monetary expansion, despite their “paper” wealth nature, tend to make current consumers as a whole wealthier. Second, the weaker (stronger) effect of monetary policy on investment...

Persistent link: https://www.econbiz.de/10005126230

Debt-Deflation: Concepts, and a Stylised Model

Peter, Goetz von - EconWPA - 2005

This paper proposes a model of how agents adjust their asset holdings in response to losses in general equilibrium. By emphasising the relation between deflation and financial distress, we capture some original features of the early debt-deflation literature, such as distress selling,...

Persistent link: https://www.econbiz.de/10005126279

A Unified Approach to Credit Crunches, Financial Instability, and Banking Crises

Peter, Goetz von - EconWPA - 2003

We link banking and asset prices in a simple monetary macroeconomic model. Our main innovation is to consider how wide-spread default affects the banking system. We find that the interaction of credit, asset prices, and loan losses explains a complete spectrum of outcomes, including financial...

Persistent link: https://www.econbiz.de/10005412610

Asset Prices and Banking Distress: A Macroeconomic Approach

Peter, Goetz von - EconWPA - 2004

This paper links banking with asset prices in a monetary macroeconomic model. The main innovation is to consider how falling asset prices affect the banking system through wide-spread borrower default, while deriving explicit solutions and balance sheet effects even far from the steady state. We...

Persistent link: https://www.econbiz.de/10005413177

Liquidity Trap Prevention and Escape: A Simple Proposition

Cai, Junning - EconWPA - 2004

Liquidity traps occur when the natural nominal interest rate becomes negative. In a model with capital price dynamics explicitly considered, we find that shocks in the future can cause current and lasting liquidity traps. We propose that the central bank can prevent or fix liquidity traps by...

Persistent link: https://www.econbiz.de/10005561118

Macroeconomics of Speculation

Erturk, Korkut - EconWPA - 2005

Despite his emphasis on the speculative character of investment decisions, Minsky paid little attention to asset price speculation per se, ignoring asset price bubbles and their macroeconomic effects. That is perhaps because his views were formed during the era of financial regulation, when...

Persistent link: https://www.econbiz.de/10005561366

Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns

Koubouros, Michail; Malliaropulos, Dimitrios; … - EconWPA - 2005

Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well … in pricing average returns on single- and double- sorted portfolios according to size, book-to-market, dividend …

Persistent link: https://www.econbiz.de/10005076992

Explaining the Beta, Size and Value Effects Under the Relative Value Theory

Alb, Silviu Iulian - EconWPA - 2004

. Such prices determine intrinsic returns that satisfy the CAPM equation. This paper shows that assets that pay a constant … (or constantly increasing) dividend but face each year the possibility of going bankrupt will exhibit asset specific … predicts slightly higher discount rates than the CAPM. Empirical evidence supporting the CAPM cannot reject the RVT at a …

Persistent link: https://www.econbiz.de/10005076993