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Optimal Macroprudential Policy and Asset Price Bubbles
Biljanovska, Nina - 2019
that the macroprudential policy should optimally respond to building asset price bubbles non-monotonically depending on the …
Persistent link: https://www.econbiz.de/10012862442
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Unconventional Monetary Policy and Asset Price Risk
Roache, Shaun K. - 2013
We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that “tail...
Persistent link: https://www.econbiz.de/10013075541
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Asset Price Bubbles : A Selective Survey
Scherbina, Anna - 2013
Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature … on bubbles, with significant attention given to behavioral models and rational models with frictions. Unlike the standard … insights for how bubbles are initiated and sustained, the reasons they burst, and why arbitrage forces do not routinely step in …
Persistent link: https://www.econbiz.de/10013085616
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Financial Crises in DSGE Models : Selected Applications of MAPMOD
Benes, Jaromir - 2014
This paper, together with a technical companion paper, presents MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, bank loans create purchasing power that facilitates adjustments in the...
Persistent link: https://www.econbiz.de/10013054688
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Financial Crises in DSGE Models : A Prototype Model
Benes, Jaromir - 2014
This paper presents the theoretical structure of MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, bank loans create purchasing power that facilitates adjustments in the real economy....
Persistent link: https://www.econbiz.de/10013054689
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Asset Bubbles : Re-Thinking Policy for the Age of Asset Management
Jones, Bradley - 2015
bubbles continue to threaten economic stability despite financial markets becoming more informationally-efficient, more …
Persistent link: https://www.econbiz.de/10013026923
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Identifying Speculative Bubbles : A Two-Pillar Surveillance Framework
Jones, Bradley - 2015
In the aftermath of the global financial crisis, the issue of how best to identify speculative asset bubbles (in real …
Persistent link: https://www.econbiz.de/10013031169
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Leaning Against the Wind : Macroprudential Policy in Asia
Zhang, Longmei - 2014
In recent years, macroprudential policy has become an increasingly active policy area. Many countries have adopted it as a tool to safeguard financial stability, in particular to deal with the credit and asset price cycles driven by global capital flows. This paper reviews the use of key...
Persistent link: https://www.econbiz.de/10013057738
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Bank Credit, Asset Prices and Financial Stability : Evidence from French Banks
Pouvelle, Cyril - 2012
This paper analyses the effect of asset prices on credit growth in France and tries to disentangle credit demand and supply factors, both for the whole 1993-2010 period and during periods of financial instability. Using bank-level panel data at a quarterly frequency, stock price growth is shown...
Persistent link: https://www.econbiz.de/10013101520
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Do Asset Price Drops Foreshadow Recessions?
Bluedorn, John C. - 2013
This paper examines the usefulness of asset prices in predicting recessions in the G-7 countries. It finds that asset price drops are significantly associated with the beginning of a recession in these countries. In particular, the marginal effect of an equity/house price drop on the likelihood...
Persistent link: https://www.econbiz.de/10013073778