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Financial fragility, bubbles and monetary policy

Illing, Gerhard - 2001

The paper models the links between financial fragility, asset markets and monetary policy. It is shown that central bank's concern about the cost of financial disruption generates an asymmetric response, thus contributing to the creation of an asset price bubble. In an economy with a highly...

Persistent link: https://www.econbiz.de/10011398119

Q-targeting in new Keynesian models

Heer, Burkhard; Maußner, Alfred; Ruf, Halvor - 2016

We consider optimal monetary policy in a model that integrates credit frictions in the standard New Keynesian model with sticky prices and wages as well as adjustment costs of capital. Different from traditional models with credit frictions such as Carlstrom and Fuerst (1998), the model is able...

Persistent link: https://www.econbiz.de/10011451285

Monetary policy through production networks : evidence from the stock market

Ozdagli, Ali; Weber, Michael - 2017 - This version: May 2017

Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...

Persistent link: https://www.econbiz.de/10011657891

Monetary Policy through Production Networks : Evidence from the Stock Market

Ozdagli, Ali - 2017

Monetary policy shocks have a large impact on stock returns in narrow windows around press releases by the Federal Reserve. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and an indirect (network) effect. We attribute 50%-85% of the...

Persistent link: https://www.econbiz.de/10012455257

The Stock Market and Capital Accumulation

Hall, Robert E. - 1999

If firms purchase capital up to the point where there is no further marginal benefit, and the firms' securities are equal in value to the capital, then the market value of securities measures the quantity of capital. I explore the implications of this hypothesis using data from U.S. non-farm,...

Persistent link: https://www.econbiz.de/10012471608

Asset price shocks, real expenditures, and financial structure : a multi-country analysis

Chirinko, Robert S. (contributor); Haan, Leo de (contributor) - 2008

This paper examines the responses of private consumption, residential investment, and business investment in 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...

Persistent link: https://www.econbiz.de/10003730274

Inflation, Monetary Policy and Stock Market Conditions

Bordo, Michael D. - 2008

This paper examines the association between inflation, monetary policy and U.S. stock market conditions during the second half of the 20th century. We estimate a latent variable VAR to examine how macroeconomic and policy shocks affect the condition of the stock market. Further, we examine the...

Persistent link: https://www.econbiz.de/10012464627

Does Expansionary Monetary Policy Cause Asset Price Booms; Some Historical and Empirical Evidence

Bordo, Michael D. - 2013

In this paper we investigate the relationship between loose monetary policy, low inflation, and easy bank credit with asset price booms. Using a panel of up to 18 OECD countries from 1920 to 2011 we estimate the impact that loose monetary policy, low inflation, and bank credit has on house,...

Persistent link: https://www.econbiz.de/10012459076

Monetary Policy without Moving Interest Rates : The Fed Non-Yield Shock

Boehm, Christoph E.; Kroner, T. Niklas - National Bureau of Economic Research - 2024

-announcement times. We use a heteroskedasticity-based procedure to estimate a "Fed non-yield shock", which is orthogonal to yield changes … and is identified from excess volatility in the S&P 500 and various dollar exchange rates. A positive non-yield shock …-yield shock is essentially uncorrelated with previous monetary policy shocks and its effects are large in comparison. Its strong …

Persistent link: https://www.econbiz.de/10014576665

Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect

Caballero, Ricardo J.; Simsek, Alp - 2022

We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...

Persistent link: https://www.econbiz.de/10013093040

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