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Optimal Liquidity and Asset Bubbles
Detemple, Jerome; Kitapbayev, Yerkin; Prieto, Rodolfo - 2023
We show that the interplay between endogenous limited participation and credit lines creates asset price bubbles in a … least as well off. Optimal liquidity is found to be consistent with the existence of bubbles in stock and bond markets under … emergence of bubbles on stock prices that is tied to the direction of liquidity needs and the allocation of risk across …
Persistent link: https://www.econbiz.de/10014348653
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Fed by the Fed : A New Bubble Grows on Wall St
Dettmann, Oliver - 2014
With bond yields at all-time lows after the Fed's quantitative easing drove real interest rates to the zero-bound and even briefly below it, investors have allocated ever more money to equities. Lacking alternatives, the stock market has grown flush from yield-hungry buyers. But now the mood is...
Persistent link: https://www.econbiz.de/10013049629
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Central banks' response to inflation, output gap, and exchange rate in Nigeria and South Africah
Vincent, Olusegun - In: Cogent business & management 8 (2021) 1, pp. 1-12
In Africa, a number of countries like South Africa have adopted inflation targeting. In Nigeria, different monetary policy regimes have been adopted over the years with rather unsatisfactory success. This study examines inflation targeting in Nigeria and South Africa, using fully modified least...
Persistent link: https://www.econbiz.de/10012628924
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The Dollar ahead of FOMC target rate changes
Karnaukh, Nina - 2018
I find that the U.S. dollar appreciates before contractionary monetary policy decisions at scheduled Federal Open Market Committee meetings and depreciates before expansionary decisions. The federal funds futures rate forecasts these dollar movements with a 22% R2. A high federal funds futures...
Persistent link: https://www.econbiz.de/10011976094
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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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Flighty Liquidity
Boyarchenko, Nina - 2019
We study how the risks to future liquidity flow across corporate bond, Treasury, and stock markets. We document distribution “flight-to-safety” effects: a deterioration in the liquidity of high-yield corporate bonds forecasts an increase in the average liquidity of Treasury securities and a...
Persistent link: https://www.econbiz.de/10012897700
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Monetary Policy Uncertainty and Bond Risk Premium
Jiang, Fuwei - 2017
We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the news based MPU measure in Baker, Bloom, and Davis (2016) to capture monetary policy uncertainty, we find that MPU forecasts significantly and positively future monthly Treasury...
Persistent link: https://www.econbiz.de/10012968326
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Exchange rate movements and fundamentals : impact of oil prices and the People's Republic of China's growth
Chen, Hongyi; Cao, Shuo - 2019
This paper identifies five factors that can capture 95% of the variance across 39 US dollar exchange rates based on the principal component method. A time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is used to analyze the determinants of movements in these exchange...
Persistent link: https://www.econbiz.de/10011992197
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Central banks' response to inflation, output gap, and exchange rate in Nigeria and South Africah
Vincent, Olusegun - In: Cogent Business & Management 8 (2021) 1, pp. 1-12
In Africa, a number of countries like South Africa have adopted inflation targeting. In Nigeria, different monetary policy regimes have been adopted over the years with rather unsatisfactory success. This study examines inflation targeting in Nigeria and South Africa, using fully modified least...
Persistent link: https://www.econbiz.de/10012657405
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US monetary policy and BRICS stock market bubbles
Gupta, Rangan; Nel, Jacobus; Nielsen, Joshua - 2022
Persistent link: https://www.econbiz.de/10013366553