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Risk, asset pricing and monetary policy transmission in Europe: Evidence from a threshold-VAR approach
Schmidt, Jörg - 2019
This paper investigates in how far monetary policy shocks impact Euro- pean asset markets, conditional on different risk states. It focuses on four different asset classes: equity of industrial firms, equity of banks, high-grade corporate bonds, and high-yielding corporate bonds. We distinguish...
Persistent link: https://www.econbiz.de/10012156212
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An extended macro-finance model with financial factors
Dewachter, Hans; Iania, Leonardo - 2010
This paper extends the benchmark Macro-Finance model by introducing, next to the standard macroeconomic factors, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED spread while the return-forecasting (risk premium) factor...
Persistent link: https://www.econbiz.de/10010266074
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Geldpolitik und Vermögensmärkte
Dreger, Christian; Wolters, Jürgen - In: Vierteljahrshefte zur Wirtschaftsforschung 78 (2009) 1, pp. 56-65
. Andererseits wäre im Fall steigender Vermögenspreise eine restriktivere Geldpolitik erforderlich, die die Dynamik von Produktion … die USA, den Euroraum, Japan und Großbritannien spezifiziert. Während die Geldpolitik keinen Einfluss auf die Entwicklung … eine restriktivere Geldpolitik bei nicht fundamental begründeten Preissteigerungen tatsächlich dämpfend auf die Entwicklung …
Persistent link: https://www.econbiz.de/10010377866
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Monetary policy through production networks: Evidence from the stock market
Ozdagli, Ali; Weber, Michael - 2017
Monetary policy shocks have a large impact on stock prices during narrow time windows centered around press releases by the FOMC. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct effect and a network effect. We attribute 50 to 85 percent of...
Persistent link: https://www.econbiz.de/10012059589
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The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US
Kaufmann, Sylvia; Valderrama, Maria Teresa - 2007
We analyze the interaction between credit and asset prices in the transmission of shocks to the real economy. We estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate. We find evidence for two distinct states in both regions....
Persistent link: https://www.econbiz.de/10011604862
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Financial factors in economic fluctuations
Christiano, Lawrence; Rostagno, Massimo; Motto, Roberto - 2010
We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...
Persistent link: https://www.econbiz.de/10011605238
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Monetary policy and its impact on stock market liquidity: Evidence from the euro zone
Fernández-Amador, Octavio; Gächter, Martin; Larch, Martin - 2011
The recent financial crisis has been characterized by unprecedented monetary policy interventions of central banks with the intention to stabilize financial markets and the real economy. This paper sheds light on the actual impact of monetary policy on stock liquidity and thereby addresses its...
Persistent link: https://www.econbiz.de/10010294829
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Show me the money: The monetary policy risk premium
Ozdagli, Ali K.; Velikov, Mihail - 2016
We study how monetary policy affects the cross-section of expected stock returns. For this purpose, we create a parsimonious monetary policy exposure (MPE) index based on observable firm characteristics that are theoretically linked to how firms react to monetary policy. We find that stocks...
Persistent link: https://www.econbiz.de/10011754824
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Monetary policy and mispricing in stock markets
Beckers, Benjamin; Bernoth, Kerstin - 2016
This paper investigates whether central banks can attenuate excessive mispricing in stocks as suggested by the proponents of a "leaning against the wind" (LATW) monetary policy. For this, we decompose stock prices into a fundamental component, a risk premium, and a mispricing component. We argue...
Persistent link: https://www.econbiz.de/10011527249
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House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy
Gelain, Paolo; Lansing, Kevin J.; Mendicino, Caterina - 2012
Progress on the question of whether policymakers should respond directly to financial variables requires a realistic economic model that captures the links between asset prices, credit expansion, and real economic activity. Standard DSGE models with fully-rational expectations have difficulty...
Persistent link: https://www.econbiz.de/10012143796