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Was Bernanke Right? Targeting Asset Prices May Not Be a Good Idea After All
Assenza, Tiziana - 2013
Should the central bank prevent 'excessive' asset price dynamics or should it wait until the boom spontaneously turns into a crash and intervene only afterwards? The debate over this issue goes back at least to the exchange between Bernanke-Gertler (BG) and Cecchetti but has not settled yet. In...
Persistent link: https://www.econbiz.de/10013092104
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Do Bubbles Lead to Overinvestment? : A Revealed Preference Approach
Chirinko, Robert S. - 2011
spending – combined with investment theory – to estimate the discount rates used by managers. The standard story predicts that … between 15.1% and 45.2% too much capital. These estimates suggest that, even before they burst, bubbles adversely affect …
Persistent link: https://www.econbiz.de/10013123799
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Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
Pesaran, M. Hashem - 2017
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/10012963776
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Market Depth, Leverage, and Speculative Bubbles
Enders, Zeno - 2019
We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size … lend to traders with limited liability in a bubble is endogenous. Bubbles reduce welfare of future investors. We provide … general conditions for the possibility of bubbles depending on uncertainty about market size, traders' degree of leverage and …
Persistent link: https://www.econbiz.de/10012899999
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Asset Pricing Implications of a New Keynesian Model : A Note
Heer, Burkhard - 2013
De Paoli, Scott, and Weeken (2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73) study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor...
Persistent link: https://www.econbiz.de/10013089158
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Monetary Policy Through Production Networks : Evidence from the Stock Market
Ozdagli, Ali K. - 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/10012953959
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Modeling Damages in Climate Policy Models : Temperature-Based or Carbon-Based?
Mason, Charles F. - 2015
Economists have analyzed potential for damages from climate change from theoretical analyses and with Integrated Assessment Models (IAMs). Analytical models typically write damages as a function of the carbon stock, while IAMs typically view damages as based on temperatures. In this paper, we...
Persistent link: https://www.econbiz.de/10013024489
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Short-Term Price Overreactions : Identification, Testing, Exploitation
Caporale, Guglielmo Maria - 2014
This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an “inertia anomaly”, i.e. after an...
Persistent link: https://www.econbiz.de/10013043247
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Revealing Downturns
Schmalz, Martin C. - 2018
When Bayesian risk-averse investors are uncertain about their assets' cash flows' exposure to systematic risk, stock prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns. The reason is that, in good times, less desirable...
Persistent link: https://www.econbiz.de/10012922837
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A Note on the Computation of the Equity Premium and the Market Value of Firm Equity
Heer, Burkhard - 2010
Turnovsky (1995) derives in a continuous-time model of a decentralized economy that the correct specification of the firm's objective function is to maximize the initial value of its outstanding securities. The firm value is the discounted flow of real earnings. For the discrete-time version of...
Persistent link: https://www.econbiz.de/10013143832