We investigate the effects of official fiscal data and creative accounting signals on interest rate spreads between bond yields in the European Union. Our model predicts that risk premia contained in government bond spreads should increase in both, the official fiscal position and the expected...

This study is an introduction to and summary of the 2002 Annual Meeting papers of the Royal Netherlands Economic Association. The general theme of this year's Annual Meeting is 'The role of wealth in the economy'. It is covered by 5 papers, which address the following topics: (i) household...

This paper examines the response of the economies of 11 EU countries, Japan, and the United States to shocks in housing and equity prices. The effects are assessed with a Structural Vector Auto Regressive (SVAR) model, and four key findings emerge. First, the impacts of asset price shocks are...

This paper explores the importance of wealth effects for monetary policy in the context of the policy strategy of the European Central Bank (ECB). Causality tests indicate that nominal equity prices have predictive power for ECB policy indicators of real activity, while housing prices have...

This paper investigates the role of inflation risk in a model of the price dividend ratio, combining a dynamic Gordon model specification with the inflation-augmented capital asset pricing model (CAPM). The model is estimated for the Euro Area and U.S. and tested against traditional models. For...

In this paper we analyze the development of house prices for eight different countries over the period 1970-2003. First we look at real house price dynamics of the United States, the United Kingdom, Germany, France, Italy, the Netherlands, Sweden, and Belgium. After discussing the observable...

This paper presents an information variable for financial stability consisting of a composite index and its related critical boundaries. It is an extension of a Financial Conditions Index with information on financial institutions. The indicator is bounded, on one side, by the instability...

In this paper the relationship between stock prices and house prices is analysed for six countries over the years 1976-2001. We find that both asset prices show a positive long-term relationship, which can partly be explained by common macro-economic factors such as credit, consumption and...

This paper analyses investment strategies of three types of institutional investors pension funds, life insurers and non-life insurers over the period 1999-2005. We use balance sheet and cash flow data, including purchases and sales of equity, fixed income and real estate. We trace asset...

Retail clients at a major German discount broker trade in tandem - they tend to be on the same side of the market in a given stock during a given day, week, month, and quarter. Neither aggregate liquidity effects nor short sale constraints fully explain this behavior. The systematic execution of...