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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

Bubbles in hybrid markets : how expectations about algorithmic trading affect human trading

Farjam, Mike; Kirchkamp, Oliver - 2015

Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments … smaller bubbles if human traders expect algorithmic traders to be present. …

Persistent link: https://www.econbiz.de/10011392621

Another look at cryptocurrency bubbles

Gronwald, Marc - 2019

This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency … bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said … to exhibit features of bubbles, the same applies to cryptocurrencies. Thus, any empirical investigation into either the …

Persistent link: https://www.econbiz.de/10012033146

Money is the root of asset bubbles

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 …

Persistent link: https://www.econbiz.de/10014467370

Was Bernanke right? : targeting asset prices may not be a good Idea after all

Assenza, Tiziana; Berardi, Michele; Delli Gatti, Domenico - 2011

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/10009377794

Do bubbles lead to overinvestment? : a revealed preference approach

Chirinko, Robert S.; Schaller, Huntley - 2011

between 15.1% and 45.2% too much capital. These estimates suggest that, even before they burst, bubbles adversely affect … economic activity by misallocating capital. -- bubbles ; investment ; stock markets ; real effects of financial markets …

Persistent link: https://www.econbiz.de/10009153871

Asymmetry in volatility : a comparison of developed and transition stock markets

Wdowinski, Piotr; Malecka, Marta - 2010

ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...

Persistent link: https://www.econbiz.de/10003942099

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010515402

Unleashing animal spirits : self-control and overpricing in experimental asset markets

Kocher, Martin; Lucks, Konstantin E.; Schindler, David - 2016

One possible determinant of overpricing on asset markets is a lack of self-control abilities of traders. Self-control is the individual capacity to override or inhibit undesired behavioral tendencies such as impulses and to refrain from acting on them. We implement the first experiment that is...

Persistent link: https://www.econbiz.de/10011444434

Asymmetric connectedness on the US stock market : bad and good volatility spillovers

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...

Persistent link: https://www.econbiz.de/10010509638