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Awaya, Yu; Iwasaki, Kohei; Watanabe, Makoto - 2024

This paper examines how monetary expansion causes asset bubbles. When there is no monetary expansion, a bubbly asset is not created due to a hold-up problem. Monetary expansion increases buyers' money holdings, and then, dealers are willing to buy a worthless asset from sellers, in hopes of...

Persistent link: https://www.econbiz.de/10014534470

Bubbles and Collateral

Awaya, Yu; Do, Jihwan; Watanabe, Makoto - 2025

We construct a model of bubbles where an asset can be used as collateral primarily due to higher-order uncertainty: while both a lender and a borrower know that the intrinsic value of the asset is low, they may still believe that a "greater fool" exists who will purchase it at a much higher...

Persistent link: https://www.econbiz.de/10015419093

Monetary Policy through Production Networks: Evidence from the Stock Market

Ozdagli, Ali; Weber, Michael - 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/10011698653

A large-market rational expectations equilibrium model

Vives, Xavier - 2011

This paper presents a market with asymmetric information where a privately revealing equilibrium obtains in a competitive framework and where incentives to acquire information are preserved. The equilibrium is efficient, and the paradoxes associated with fully revealing rational expectations...

Persistent link: https://www.econbiz.de/10010274759

Monetary Policy with Diverse Private Expectations

Kurz, Mordecai; Motolese, Maurizio; Piccillo, Giulia; … - 2015

We study the impact of diverse beliefs on conduct of monetary policy. We use a New Keynesian Model solved with a quadratic approximation. Aggregation renders the belief distribution an aggregate state variable. Diverse expectations change standard results about a smooth trade-off between...

Persistent link: https://www.econbiz.de/10010500419

Double-question Survey Measures for the Analysis of Financial Bubbles and Crashes

Pesaran, M. Hashem; Johnsson, Ida - 2016

This paper proposes a new double-question survey method that elicits information about how individuals.subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...

Persistent link: https://www.econbiz.de/10011615827

Interest Rate Skewness and Biased Beliefs

Bauer, Michael D.; Chernov, Mikhail - 2021

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high … COVID pandemic did not disrupt these relations: historically high skewness correctly anticipated the run-up in long …

Persistent link: https://www.econbiz.de/10012599237

The Heterogeneous Response of Real Estate Asset Prices to a Global Shock

Heiniger, Sandro; Koeniger, Winfried; Lechner, Michael - 2022

We estimate the transmission of the pandemic shock in 2020 to prices in the residential and commercial real estate market by causal machine learning, using new granular data at the municipal level for Germany. We exploit diﬀerences in the incidence of Covid infections or short-time work at the...

Persistent link: https://www.econbiz.de/10013470341

Cyclical Asset Returns in the Consumption and Investment Goods Sector

Heer, Burkhard; Maussner, Alfred; Süssmuth, Bernd - 2013

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with...

Persistent link: https://www.econbiz.de/10010319381

Monetary Policy and Wealth Effects: The Role of Risk and Heterogeneity

Caramp, Nicolas; Silva, Dejanir H. - 2024

We study the role of asset revaluation in the monetary transmission mechanism. We build an analytical heterogeneous-agents model with two main ingredients: i) rare disasters; ii) heterogeneous beliefs. The model captures time-varying risk premia and precautionary savings in a setting that nests...

Persistent link: https://www.econbiz.de/10014534395