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The Transmission of Shocks in Endogenous Financial Networks : A Structural Approach

Heipertz, Jonas - 2019

The paper uses bank- and instrument-level data on asset holdings and liabilities to identify and estimate a general … equilibrium model of trade in financial instruments. Bilateral ties are formed as each bank selects the size and the … lead to less amplification of partial equilibrium shocks, (ii) the influence of a bank's equity is independent of the size …

Persistent link: https://www.econbiz.de/10012867035

Financial Systems, Economic Growth, and Globalization

Rousseau, Peter L.; Sylla, Richard - 2021

This paper brings together two strands of the economic literature -- that on the finance-growth nexus and that on capital market integration -- and explores key issues surrounding each strand through both institutional/country histories and formal quantitative analysis. We begin with studies of...

Persistent link: https://www.econbiz.de/10013210573

Pride Goes Before a Fall : Federal Reserve Policy and Asset Markets

Reinhart, Carmen M. - 2011

Considerable debate rages about whether Federal Reserve policy was too lax in the early part of the 2000s, thereby fueling the home-price bubble that was the proximate cause of the global financial crisis. We present evidence that the view that modest alterations to monetary policy have vast...

Persistent link: https://www.econbiz.de/10013129137

Risk, Uncertainty and Monetary Policy

Bekaert, Geert - 2010

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), we find that a lax monetary policy decreases...

Persistent link: https://www.econbiz.de/10013137030

Monetary Policy and Stock Market Booms

Christiano, Lawrence J. - 2010

Historical data and model simulations support the following conclusion. Inflation is low during stock market booms, so that an interest rate rule that is too narrowly focused on inflation destabilizes asset markets and the broader economy. Adjustments to the interest rate rule can remove this...

Persistent link: https://www.econbiz.de/10013137616

Monetary Policy, Doubts and Asset Prices

Benigno, Pierpaolo - 2010

Asset prices and the equity premium might reflect doubts and pessimism. Introducing these features in an otherwise standard New-Keynesian model changes in a quite substantial way the nature of the policy that maximizes the welfare of the consumers in the model. First, following productivity...

Persistent link: https://www.econbiz.de/10013137729

Central Banks and the Financial System

Giavazzi, Francesco - 2010

Financial systems are inherently fragile because of the very function which makes them valuable: liquidity transformation. Regulatory reforms can strengthen the financial system and decrease the risk of liquidity crises, but they cannot eliminate it completely. This leaves monetary policy with a...

Persistent link: https://www.econbiz.de/10013139754

Liquidity, Business Cycles, and Monetary Policy

Kiyotaki, Nobuhiro - 2012

The paper presents a model of a monetary economy where there are differences in liquidity across assets. Money circulates because it is more liquid than other assets, not because it has any special function. There is a spectrum of returns on assets, reflecting their differences in liquidity. The...

Persistent link: https://www.econbiz.de/10013108309

Monetary Exchange in Over-the-Counter Markets : A Theory of Speculative Bubbles, the Fed Model, and Self-Fulfilling Liquidity Crises

Lagos, Ricardo - 2015

We develop a model of monetary exchange in over-the-counter markets to study the effects of monetary policy on asset prices and standard measures of financial liquidity, such as bid-ask spreads, trade volume, and the incentives of dealers to supply immediacy, both by participating in the...

Persistent link: https://www.econbiz.de/10013015987

Measuring the Effects of Federal Reserve Forward Guidance and Asset Purchases on Financial Markets

Swanson, Eric T. - 2017

I extend the methods of G ̈urkaynak, Sack, and Swanson (2005) to separately identify the effects of Federal Reserve forward guidance and large-scale asset purchases (LSAPs) during the 2009–15 U.S. zero lower bound (ZLB) period. I find that both forward guidance and LSAPs had substantial and...

Persistent link: https://www.econbiz.de/10012958993

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