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Liquidity and asset prices : how strong are the linkages?
Dreger, Christian; Wolters, Jürgen - 2010 - Submitted on 10/Sept./2010
central banks. One hot topic is whether the increase in liquidity has contributed to the formation of price bubbles in asset … liquidity shocks on real share and house prices, VAR models are specified for the US and the euro area, as well as global VARs … to control for international feedback. The analysis points to some impact of liquidity shocks on house prices, but the …
Persistent link: https://www.econbiz.de/10011518883
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Liquidity and asset prices : how strong are the linkages?
Dreger, Christian; Wolters, Jürgen - 2009
central banks. One hot topic is whether the rise in liquidity in recent years has contributed to the formation of price … limit speculative runs and negative effects on the real economy in the future. We explore the impacts of liquidity shocks on … real share and house prices and the influence of wealth prices on liquidity. VAR models are specified for the US and the …
Persistent link: https://www.econbiz.de/10003807460
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Liquidity and Asset Prices: How Strong Are the Linkages?
Dreger, Christian; Wolters, Jürgen - In: Review of Economics and Finance 1 (2011), pp. 43-52
central banks. One hot topic is whether the increase in liquidity has contributed to the formation of price bubbles in asset … liquidity shocks on real share and house prices, VAR models are specified for the US and the euro area, as well as global VARs … to control for international feedback. The analysis points to some impact of liquidity shocks on house prices, but the …
Persistent link: https://www.econbiz.de/10011514843
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Liquidity and Asset Prices: How Strong are the Linkages?
Dreger, Christian; J¨¹rgen Wolters - In: Review of Economics & Finance 1 (2011) February, pp. 43-52
central banks. One hot topic is whether the increase in liquidity has contributed to the formation of price bubbles in asset … liquidity shocks on real share and house prices, VAR models are specified for the US and the euro area, as well as global VARs … to control for international feedback. The analysis points to some impact of liquidity shocks on house prices, but the …
Persistent link: https://www.econbiz.de/10010927788
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Identification through heteroscedasticity in a multicountry and multimarket framework : the effects of European Central Banks on European financial markets
Hayo, Bernd; Niehof, Britta - 2011
This paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework. Applying our multivariate framework allows deriving consistent estimators of monetary policy effects....
Persistent link: https://www.econbiz.de/10009125166
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The Time-Varying Effect of US Monetary Policy Shocks on Asset Prices and the Macroeconomy
Serbest, Özge - 2021
I explore the time-varying effects of the multi-dimensional aspect of monetary policy on asset prices and macroeconomic variables using a time-varying factor-augmented vector autoregressive model. I decompose monetary policy into three dimensions: current monetary policy stance, FOMC...
Persistent link: https://www.econbiz.de/10013313991
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Stock market evidence on the international transmission channels of US monetary policy surprises
Maurer, Tim Dominik; Nitschka, Thomas - 2021
This working paper evaluates the economic sources of the stock market responses of 40 countries to surprises in the fed funds rate (FFR), the Fed's forward guidance (FG) and large-scale asset purchases (LSAP). We decompose stock market returns into different components reflecting investors'...
Persistent link: https://www.econbiz.de/10012520011
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Examining spillover effect of US monetary policy to European stock markets : a Markov-Switching approach
Mumtaz, Muhammad Zubair; Smith, Zachary Alexander - In: Estudios de economía 46 (2019) 1, pp. 89-124
This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US monetary policy and the stock markets. We...
Persistent link: https://www.econbiz.de/10012025335
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Housing, consumption and monetary policy : how different are the US and the euro area?
Musso, Alberto; Neri, Stefano; Stracca, Livio - 2010
The paper provides a systematic empirical analysis of the role of the housing market in the macroeconomy in the US and in the euro area. First, it establishes some stylised facts concerning key variables in the housing market, such as the real house price, residential investment and mortgage...
Persistent link: https://www.econbiz.de/10003971203
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Housing, Consumption and Monetary Policy : How Different are the US and the Euro Area?
Musso, Alberto - 2012
The paper provides a systematic empirical analysis of the role of the housing market in the macroeconomy in the US and in the euro area. First, it establishes some stylised facts concerning key variables in the housing market, such as the real house price, residential investment and mortgage...
Persistent link: https://www.econbiz.de/10013116395