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Can Global Liquidity Forecast Asset Prices?

Darius, Reginald - 2010

coincided with a significant rise in global liquidity. This paper attempts to determine the extent to which the rise in asset … prices was influenced by developments in global liquidity. We confirm that global liquidity had a significant impact on the … impact of global liquidity declined during the period of the Great Moderation. The paper also examines spillovers from global …

Persistent link: https://www.econbiz.de/10014398415

Optimal Liquidity and Economic Stability

Han, Linghui - 2012

attention was paid to the potential spillover of excess liquidity. This paper suggests a notional level of ""optimal"" liquidity …

Persistent link: https://www.econbiz.de/10014396541

Monetary Policy and Asset Prices : Does ""Benign Neglect"" Make Sense?

Jeanne, Olivier - 2002

The link between monetary policy and asset price movements has been of perennial interest to policymakers. In this paper, we consider the potential case for preemptive monetary restrictions when asset price reversals can have serious effects on real output. First, we present some stylized facts...

Persistent link: https://www.econbiz.de/10014401453

New Shocks and Asset Price Volatility in General Equilibrium

Rebucci, Alessandro - 2011

We study equity price volatility in general equilibrium with news shocks about future productivity and monetary policy. As West (1988) shows, in a partial equilibrium present discounted value model, news about the future cash flow reduces asset price volatility. We show that introducing news...

Persistent link: https://www.econbiz.de/10014399366

Learning, Monetary Policy and Asset Prices

2015 - Airaudo, Marco ; Nistic�, Salvatore ; Zanna, Luis-Felipe ed

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/10014411926

"Puts" in the shadow

Kumar, Manmohan S. (contributor) - 2012

"In the aftermath of the Lehman crisis, payouts (i.e., taxpayer bailouts) in various forms were provided by governments to a variety of financial institutions and markets that were outside the regulatory perimeter - the - "shadow" banking system. Although recent regulatory proposals attempt to...

Persistent link: https://www.econbiz.de/10009622451

Puts in the Shadow

Singh, Manmohan - 2012

In the aftermath of the Lehman crisis, payouts (i.e., taxpayer bailouts) in various forms were provided by governments to a variety of financial institutions and markets that were outside the regulatory perimeter - the ?""shadow"" banking system. Although recent regulatory proposals attempt to...

Persistent link: https://www.econbiz.de/10014395713

Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk

Chan-Lau, Jorge A. - 2021

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...

Persistent link: https://www.econbiz.de/10012613371

Treasury bills and/or central bank bills for absorbing surplus liquidity : the main considerations

Nyawata, Obert - 2012

Persistent link: https://www.econbiz.de/10009488203

Wage-price dynamics and structural reforms in Japan

Porcellacchia, Davide - 2016

Structural reforms in the liquidity trap need not be deflationary. This paper develops a simple framework to study the …

Persistent link: https://www.econbiz.de/10011436738

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