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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

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

Firm Leverage and Boom-Bust Cycles

Sever, Can - 2023

This paper explores the dynamic relationship between firm debt and real outcomes using data from 24 European economies over the period of 2000-2018. Based on macro data, it shows that a rise in credit to firms is associated with an increase in employment growth in the short-term, but employment...

Persistent link: https://www.econbiz.de/10014353733

Learning, Monetary Policy and Asset Prices

Airaudo, Marco - 2015

We explore the stability properties of interest rate rules granting an explicit response to stock prices in a New-Keynesian DSGE model populated by Blanchard-Yaari non-Ricardian households. The constant turnover between long-time stock holders and asset-poor newcomers generates a financial...

Persistent link: https://www.econbiz.de/10013027619

Systemic Risk : A New Trade-Off for Monetary Policy?

Laseen, Stefan - 2015

We introduce time-varying systemic risk in an otherwise standard New-Keynesian model to study whether a simple leaning-against-the-wind policy can reduce systemic risk and improve welfare. We find that an unexpected increase in policy rates reduces output, inflation, and asset prices without...

Persistent link: https://www.econbiz.de/10013019034

Cost-Benefit Analysis of Leaning Against the Wind : Are Costs Larger Also with Less Effective Macroprudential Policy?

Svensson, Lars - 2016

'Leaning against the wind' (LAW) with a higher monetary policy interest rate may have benefits in terms of lower real debt growth and associated lower probability of a financial crisis but has costs in terms of higher unemployment and lower inflation, importantly including a higher cost of a...

Persistent link: https://www.econbiz.de/10012996078

Robust Optimal Macroprudential Policy

Montamat, Giselle; Roch, Francisco - 2021

We consider how fear of model misspecification on the part of the planner and/or the households affects welfare gains from optimal macroprudential taxes in an economy with occasionally binding collateral constraints as in Bianchi (2011). On the one hand, there exist welfare gains from...

Persistent link: https://www.econbiz.de/10013226440

'Leaning Against the Wind' and the Timing of Monetary Policy

Agur, Itai - 2013

If monetary policy is to aim also at financial stability, how would it change? To analyze this question, this paper develops a general-form framework. Financial stability objectives are shown to make monetary policy more aggressive: in reaction to negative shocks, cuts are deeper but...

Persistent link: https://www.econbiz.de/10013082854

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

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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