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Time variation in macro-financial linkages
Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - 2013
We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...
Persistent link: https://www.econbiz.de/10009739598
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Asset Prices in Taylor Rules : Specification, Estimation, and Policy Implications for the ECB
Siklos, Pierre L. - 2016
Persistent link: https://www.econbiz.de/10012991350
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Asset prices, collateral, and unconventional monetary policy in a DSGE model
Hilberg, Björn; Hollmayr, Josef - 2013
bank can stabilize all variables at the cost of higher inflation and that macroeconomic volatility is smallest if the …
Persistent link: https://www.econbiz.de/10010192797
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Asset prices, collateral and unconventional monetary policy in a DSGE model
Hilberg, Björn; Hollmayr, Josef - 2011
In this paper we set up a New-Keynesian model that features an interbank market. The introduction of an interbank market is important to analyze liquidity problems among heterogenous agents within the financial sector. First, because this allows for a situation where increased liquidity supply...
Persistent link: https://www.econbiz.de/10009380435
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Asset Prices, Collateral and Unconventional Monetary Policy in a DSGE Model
Hilberg, Björn - 2011
In this paper we set up a New-Keynesian model that features an interbank market. The introduction of an interbank market is important to analyze liquidity problems among heterogenous agents within the financial sector. First, because this allows for a situation where increased liquidity supply...
Persistent link: https://www.econbiz.de/10013121427
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Asset Prices, Collateral, and Unconventional Monetary Policy in a DSGE Model
Hilberg, Björn - 2016
bank can stabilize all variables at the cost of higher inflation and that macroeconomic volatility is smallest if the …
Persistent link: https://www.econbiz.de/10012988760
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Stock Acquisition Mortgage Loans
Ashford, Robert - 2014
Purpose: There is an undeveloped market for the broader distribution of future capital acquisition and income in which the price (cost) paid for acquisition of securities to realize future capital income plays a crucial role. Our objective in this paper is to propose a new loan which facilitates...
Persistent link: https://www.econbiz.de/10013046616
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Household forming inflation expectations : why do they ‘overreact’?
Easaw, Joshy Z. - 2015
inflation forecasts. The paper contributes to the existing literature and the understanding of how inflation expectations are … formed in two ways. Firstly, we present an integrated model of how non-experts form their inflation expectations. The paper … initially outlines how professionals form inflation forecast. Subsequently, the model presents the non-expert’s expectations …
Persistent link: https://www.econbiz.de/10011471487
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A stock-flow approach to a general theory of pricing
Pilkington, Philip - 2013
The paper seeks to lay out a stock-flow-based theoretical framework that provides a foundation for a general theory of … properly general theory of pricing that can be applied to any market - whether financial, real, or a real market that has been …
Persistent link: https://www.econbiz.de/10010211946
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The Macro and Asset Pricing Implications of Fluctuating Information Quality
Graniero, Alessandro - 2020
I study the macroeconomic and asset pricing implications of variations in information quality in a real business cycle model. Learning and fluctuating information quality generate changes in the perception of macroeconomic outcomes, but do not modify the distribution of realized shocks. On the...
Persistent link: https://www.econbiz.de/10012845655