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The role of asset prices in euro area monetary policy : specification and estimation of policy rules and implications for the European Central Bank

Siklos, Pierre L. (contributor); Bohl, Martin T. (contributor) - 2005

This paper estimates forward-looking and forecast-based Taylor rules for France, Germany, Italy, as well as the euro area, using both final revised data and real-time data. We are particularly interested in the impact of adding asset prices to the standard Taylor rule specification. Since...

Persistent link: https://www.econbiz.de/10003074618

Monetary policy and mispricing in stock markets

Beckers, Benjamin; Bernoth, Kerstin - 2016

asset pricing in line with rational bubbles. We show that the response of the excessive stock price component to a monetary …

Persistent link: https://www.econbiz.de/10011526074

Did the FED react to asset price bubbles?

Luik, Marc-Andre; Wesselbaum, Dennis - In: The B.E. journal of macroeconomics 21 (2021) 2, pp. 745-772

Persistent link: https://www.econbiz.de/10012806224

The real-time predictive content of asset price bubbles for macro forecasts

Beckers, Benjamin - 2015

price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought … the bubbles in the sample. Therefore, the paper suggests a combination approach of different bubble indicators which helps … to account for the uncertainty around start and end dates of asset price bubbles. Additionally, the paper then …

Persistent link: https://www.econbiz.de/10011300629

Quantitative easing and exuberance in government bond markets : evidence from the ECB's Expanded Assets Purchase Program

Droes, Martijn; Lamoen, Ryan C. R. van; Mattheussens, Simona - 2017 - This version: 25 August 2017

This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value. We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend...

Persistent link: https://www.econbiz.de/10011715916