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Realwirtschaftliche Folgen von Vermögenspreisschwankungen : eine Kointegrationsanalyse für die Bundesrepublik Deutschland

Nastansky, Andreas - 2008 - 1. Auflage

Persistent link: https://www.econbiz.de/10003789486

Monetary Policy and Asset Valuation

Bianchi, Francesco - 2016

The U.S. economy is characterized by large, longer term regime shifts in asset values relative to macroeconomic fundamentals. These movements coincide with shifts in the real federal funds rate in excess of a measure of the natural rate of interest, and in equity market return premia. We specify...

Persistent link: https://www.econbiz.de/10012984111

Monetary Policy and Asset Valuation

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2021

We document large, longer-term, joint regime shifts in asset valuations and the real federal funds rate-r* spread. To interpret these findings, we estimate a novel macro-finance model of monetary transmission and find that the documented regimes coincide with shifts in the parameters of a policy...

Persistent link: https://www.econbiz.de/10013234115

Monetary Policy and Asset Valuation

Bianchi, Francesco - 2016

We find evidence of infrequent shifts, or "regimes," in the mean of the asset valuation variable <i>cay<sub>t</sub></i> that are strongly associated with low-frequency fluctuations in the real federal funds rate, with low policy rates associated with high asset valuations, and vice versa. There is no evidence...

Persistent link: https://www.econbiz.de/10012456107

Household Portfolios, Monetary Policy and Asset Prices

Leombroni, Matteo; Rogers, Ciaran - 2021

subsequent wealth effect on consumption. In order to jointly study these effects, we introduce an heterogeneous household life … rebalancing toward riskier assets with a consequent increase in their asset prices and an increase in wealth. According to our … model, the positive wealth effect on consumption is offset by an increase in the saving margin induced by the overall …

Persistent link: https://www.econbiz.de/10013321564