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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
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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
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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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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/10014514921
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Analysis of monetary policy and financial stability : a new paradigm
Goodhart, Charles A. E.; Osorio, Carolina; Tsomocos, … - 2009
This paper introduces agent heterogeneity, liquidity, and endogenous default to a DSGE framework. Our model allows for … the economy. Due to liquidity and endogenous default, the transmission mechanism of shocks is well defined, and their …
Persistent link: https://www.econbiz.de/10003923247
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Inflation targeting by debtor central banks in emerging market economies
Löffler, Axel; Schnabl, Gunther; Schobert, Franziska - 2010
to accumulate massive foreign reserves. If left unsterilized, the liquidity expansion can threaten domestic macroeconomic … stability. To contain domestic inflation these central banks absorb rather then provide liquidity in their regular monetary … surplus liquidity is less efficient, because absorbing liquidity raises the costs of monetary policy operations. By …
Persistent link: https://www.econbiz.de/10003994520
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Monetary policy and the stock market : time-series evidence
Neuhierl, Andreas; Weber, Michael - 2016
We construct a slope factor from changes in federal funds futures of different horizons. Slope predicts stock returns at the weekly frequency: faster monetary policy easing positively predicts excess returns. Investors can achieve increases in weekly Sharpe ratios of 20% conditioning on the...
Persistent link: https://www.econbiz.de/10011566444
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Monetary momentum
Neuhierl, Andreas; Weber, Michael - 2017 - This version: August 2017
We document a large return drift around monetary policy announcements by the Federal Open Market Committee. Stock returns start drifting up 25 days before expansionary monetary policy surprises, whereas they decrease before contractionary surprises. The cumulative return difference across...
Persistent link: https://www.econbiz.de/10011721601
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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
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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 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/10014467370