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The effects of the saving and banking glut on the U.S. economy
Justiniano, Alejandro; Primiceri, Giorgio E.; … - 2013
We use a quantitative equilibrium model with houses, collateralized debt and foreign borrowing to study the impact of global imbalances on the U.S. economy in the 2000s. Our results suggest that the dynamics of foreign capital flows account for between one fourth and one third of the increase in...
Persistent link: https://www.econbiz.de/10010352184
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A tale of four tails: Inflation, the policy rate, longer-term rates, and stock prices
Anene, Dominic; D'Amico, Stefania - 2017
We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates, and equity prices in the U.S. Their simultaneous changes enable us to distinguish between a systematic and "exogenous" response to monetary-policy news. And, those tail...
Persistent link: https://www.econbiz.de/10012030329
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Did the Fed and ECB react asymmetrically with respect to asset market developments?
Hoffmann, Andreas - 2012
This paper studies the monetary policy of the Federal Reserve (Fed) and the Bundesbank / European Central Bank (ECB) with respect to stock or/and foreign exchange markets from 1979 to 2009. I find that Fed policy changed over time, dependent on the chairman of the Fed. During the Greenspan era...
Persistent link: https://www.econbiz.de/10010308139
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A comment on monetary policy and rational asset price bubbles
Allen, Franklin; Barlevy, Gadi; Gale, Douglas - 2023
Galí (2014) showed that a monetary policy rule that raises interest rates in response to bubbles can paradoxically lead … to larger bubbles. This comment shows that a central bank that wants to dampen bubbles can always do so by raising … argue Galí's model contains additional equilibria in which more aggressive rules dampen bubbles. We show that for these …
Persistent link: https://www.econbiz.de/10014480521
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A leverage-based model of speculative bubbles
Barlevy, Gadi - 2008
This paper develops an equilibrium model of speculative bubbles that can be used to explore the role of various … policies in either giving rise to or eliminating the possibility of asset bubbles, e.g. restricting the use of certain types of …
Persistent link: https://www.econbiz.de/10010292195
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What is Minsky all about, anyway?
Ertürk, Korkut; Özgür, Gökcer - 2009
In this paper our objective is to sketch out an alternative understanding of Minsky as an evolving research agenda.At the most general level we hold that a Minksyan way of looking at the world boils down to few basic propositions: (i) in a financial capitalist economy, credit is procyclical in...
Persistent link: https://www.econbiz.de/10010288045
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Why did so many people make so many ex post bad decisions? The causes of the foreclosure crisis
Foote, Christopher L.; Gerardi, Kristopher S.; Willen, … - 2012
acknowledge the limits of our understanding of asset price bubbles and design policies accordingly. …
Persistent link: https://www.econbiz.de/10010292274
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New instruments for banking regulation and monetary policy after the crisis
Detzer, Daniel - 2012
suitable for the task of tackling asset price bubbles. …
Persistent link: https://www.econbiz.de/10010309122
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Better to give than to receive: predictive directional measurement of volatility spillovers
Diebold, Francis X.; Yilmaz, Kamil - 2010
Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to variable ordering, we propose measures of both total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across U.S. stock, bond,...
Persistent link: https://www.econbiz.de/10010277262
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Equity capital, bankruptcy risk and the liquidity trap
Levintal, Oren - 2011
This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in the US 1930s, Japan 1990s and recently in the US and Europe. The paper introduces a new balance sheet channel that links equity capital to the risk-free interest rate. When...
Persistent link: https://www.econbiz.de/10010335985