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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
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One-sided test for an unknown breakpoint: Theory, computation, and application to monetary theory
Estrella, Arturo; Rodrigues, Anthony P. - 2005
The econometrics literature contains a variety of two-sided tests for unknown breakpoints in time-series models with one or more parameters. This paper derives an analogous one-sided test that takes into account the direction of the change for a single parameter. In particular, we propose a sup...
Persistent link: https://www.econbiz.de/10010283407
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One-sided test for an unknown breakpoint : theory, computation, and application to monetary theory
Estrella, Arturo (contributor);  … - 2005
The econometrics literature contains a variety of two-sided tests for unknown breakpoints in time-series models with one or more parameters. This paper derives an analogous one-sided test that takes into account the direction of the change for a single parameter. In particular, we propose a sup...
Persistent link: https://www.econbiz.de/10003226093
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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
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Money is the root of asset bubbles
Awaya, Yu; Iwasaki, Kohei; Watanabe, Makoto - 2024
This paper examines how monetary expansion causes asset bubbles. When there is no monetary expansion, a bubbly asset is …
Persistent link: https://www.econbiz.de/10014467370
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Monetary policy across inflation regimes
Gargiulo, Valeria; Matthes, Christian; Petrova, Katerina - 2024
Does the effect of monetary policy depend on the prevailing level of inflation? In order to answer this question, we construct a parsimonious nonlinear time series model that allows for inflation regimes. We find that the effects of monetary policy are markedly different when year-over-year...
Persistent link: https://www.econbiz.de/10014464407
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Sources of the Great Moderation : A Time-Series Analysis of GDP Subsectors
Enders, Walter - 2012
Recent work finds evidence that the volatility of the U.S. economy fell dramatically around the first quarter of 1984. We trace the timing of this so-called "Great Moderation" across many subsectors of the economy in order to better understand its root cause. We find that the interest rate...
Persistent link: https://www.econbiz.de/10013101654
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Does monetary policy affect stock market uncertainty? : Empirical evidence from the United States
Jovanović, Mario - 2011
This paper investigates the response of US stock market uncertainty to monetary policy of the Federal Reserve Bank. It can be shown that monetary policy significantly Granger-causes stock market confidence. By using monthly closing prices of the V IX as a stock market uncertainty proxy and a...
Persistent link: https://www.econbiz.de/10008935254
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Does Monetary Policy Affect Stock Market Uncertainty? Empirical Evidence from the United States
Jovanovic, Mario - 2013
This paper investigates the response of US stock market uncertainty to monetary policy of the Federal Reserve Bank. It can be shown that monetary policy significantly Granger-causes stock market confidence. By using monthly closing prices of the V IX as a stock market uncertainty proxy and a...
Persistent link: https://www.econbiz.de/10013093897
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The time-varying relation between stock returns and monetary variables
McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes over time, and this variation is largely driven...
Persistent link: https://www.econbiz.de/10012813273