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Stock market valuation in the United States
Bisciari, Patrick; Durré, Alain; Nyssens, Alain - 2003
occasions were the so-called 1929 and 2000 bubbles. The models showed that, at some point in time before the peak in (real …
Persistent link: https://www.econbiz.de/10011506563
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Risk, uncertainty and monetary policy
Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2012
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/10011506749
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Detecting asset price bubbles with time-series methods
Taipalus, Katja - 2012
conventional unit root tests in modified forms can be used to construct early warning indicators for bubbles in financial markets … 1871, they are able to signal most of the consensus bubbles, defined as stock market booms for example by the IMF, and they … bubbles from the data. Finally, these early warning indicators are applied to data for several housing markets. In most of the …
Persistent link: https://www.econbiz.de/10012148911
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Property Prices and Real Estate Financing in a Turbulent World
Balling, Morten; Bentzen, Christian Sinding; Berg, Jesper; … - 2013
On 15th November 2012 in Copenhagen, SUERF and Nykredit in association with Danmarks Nationalbank organised a conference on “Property prices and real estate financing in a turbulent world.” The papers included in this SUERF Study are based on contributions to the conference.
Persistent link: https://www.econbiz.de/10011689960
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The Financial Crisis in Japan – Are There Similarities to the Current Situation?
Mayr, Johannes - In: CESifo Forum 09 (2008) 4, pp. 64-68
Persistent link: https://www.econbiz.de/10011695915
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Monetary Ease: A Factor behind Financial Crises? Some Evidence from OECD Countries
Ahrend, Rudiger - 2008
This paper addresses the question of whether and how easy monetary policy may lead to excesses in financial and real asset markets and ultimately result in financial dislocation. It presents evidence suggesting that periods when short-term interest rates have been persistently and significantly...
Persistent link: https://www.econbiz.de/10010298580
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Asset Bubbles without Dividends - An Experiment
Oechssler, Jörg; Schmidt, Carsten; Schnedler, Wendelin - 2009
Bubbles in asset markets have been documented in numerous experimental studies. However, all experiments in which … bubbles occur pay dividends after each trading day. In this paper we study whether bubbles can occur in markets without … may have inside information, and (2) the option to communicate with other traders. We find that bubbles can indeed occur …
Persistent link: https://www.econbiz.de/10011422145
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Theoretical notes on bubbles and the current crisis
Martin, Alberto; Ventura, Jaume - 2011
We explore a view of the crisis as a shock to investor sentiment that led to the collapse of a bubble or pyramid scheme in financial markets. We embed this view in a standard model of the financial accelerator and explore its empirical and policy implications. In particular, we show how the...
Persistent link: https://www.econbiz.de/10011605394
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Using intraday data to gauge financial market responses to Fed and ECB monetary policy decisions
Andersson, Magnus - 2007
This paper examines bond and stock market volatility reactions in the euro area and the US following their respective economies’ monetary policy decisions, over a uniform sample period (April 1999 to May 2006). For this purpose, intraday data on the US and euro area bond and stock markets are...
Persistent link: https://www.econbiz.de/10011604772
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Eyes on the Prize: How Did the Fed Respond to the Stock Market?
Tootell, Geoff; Fuhrer, Jeff - 2004
The appropriate role for equity prices in monetary policy deliberations has been hotly debated for some time. Recent work suggests that equity prices have affected monetary policy decisions above and beyond their indirect effect on the traditional goal variables of the FOMC. However, the...
Persistent link: https://www.econbiz.de/10010263329