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Market Liquidity as a Sentiment Indicator

Baker, Malcolm - 2002

We build a model that helps explain why increases in liquidity - such as lower bid-ask spreads, a lower price impact of … a class of irrational investors, who underreact to the information contained in order flow, thereby boosting liquidity …. In the presence of short-sales constraints, unusually high liquidity is a symptom of the fact that the market is …

Persistent link: https://www.econbiz.de/10012469899

On the Global Impact of Risk-off Shocks and Policy-put Frameworks

Caballero, Ricardo J. - 2019

play a key role in benefiting from the spillovers of these policies during risk-off episodes. Countries like Japan, which … already had very low long rates, benefited less. However, Japan still benefitted from the reduced persistence of risk …

Persistent link: https://www.econbiz.de/10012479979

Asset Prices and Aggregate Demand in a "Covid-19" Shock : A Model of Endogenous Risk Intolerance and LSAPs

Caballero, Ricardo J. - 2020

In this paper we: (i) provide a model of the endogenous risk intolerance and severe aggregate demand contractions following a large real (non-financial) shock; and (ii) demonstrate the effectiveness of Large Scale Asset Purchases (LSAPs) in addressing these contractions. The key mechanism stems...

Persistent link: https://www.econbiz.de/10012482001

What Do a Million Banks Have to Say About the Transmission of Monetary Policy?

Kashyap, Anil K. - 1997

In an effort to shed new light on the monetary transmission mechanism, we create a panel data set that includes quarterly observations of every insured commercial bank in the United States over the period 1976-1993. Our key cross-sectional finding is that the impact of monetary policy on lending...

Persistent link: https://www.econbiz.de/10012472758

The Impact of Monetary Policy on Bank Balance Sheets

Kashyap, Anil K. - 1994

This paper uses disaggregated data on bank balance sheets to provide a test of the lending view of monetary policy transmission. We argue that if the lending view is correct, one should expect the loan and security portfolios of large and small banks to respond differentially to a contraction in...

Persistent link: https://www.econbiz.de/10012474094

Monetary Policy and Bank Lending

Kashyap, Anil - 1993

This paper surveys recent work that relates to the "lending" view of monetary policy transmission. It has three main goals: 1) to explain why it is important to distinguish between the lending and "money" views of policy transmission; 2) to outline the microeconomic conditions that are needed to...

Persistent link: https://www.econbiz.de/10012474641

A Monetary Policy Asset Pricing Model

Caballero, Ricardo J.; Simsek, Alp - National Bureau of Economic Research - 2022

We propose a model where monetary policy is the key determinant of aggregate asset prices (financial conditions). Spending decisions are made by a group of agents ("households") that respond to aggregate asset prices, but with noise, delays, and inertia. Asset pricing is determined by a...

Persistent link: https://www.econbiz.de/10013334351

Central Banks, Stock Markets, and the Real Economy

Caballero, Ricardo J.; Simsek, Alp - National Bureau of Economic Research - 2024

This article summarizes empirical research on the interaction between monetary policy and asset markets, and reviews our previous theoretical work that captures these interactions. We present a concise model in which monetary policy impacts the aggregate asset price, which in turn influences...

Persistent link: https://www.econbiz.de/10014468253

The Safety Trap

Caballero, Ricardo J. - 2014

the emergence of a deflationary safety trap equilibrium with endogenous risk premia. It is an acute form of a liquidity … role of an aggregate demand shifter. Essentially, safety traps correspond to liquidity traps in which the emergence of an …

Persistent link: https://www.econbiz.de/10012458738