Economic assets can be classified into two broad categories: those earning an inherent return and those earning a fiat money return. This article shows that both are valued according to the same general principle based on GDP (a constant equal to expected long term real per capita GDP growth)...

4207 This paper investigates the impact of European Central Bank's unconventional monetary policies between 2008-2016 on the government bond yields of eight European Monetary Union countries and up to eleven different maturities. In identifying this impact, it adopts a novel econometric...

We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...

We develop a two-layer asset pricing framework to analyze the fragility of the corporate bond market. In the model, households allocate wealth to institutional investors such as mutual funds and insurance companies. Institutional investors then allocate funds to specific assets. Equilibrium...

The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al (2011, 2016, 2017) have been assessed in terms of the likely losses that different kinds of holders would suffer under simulated default scenarios. However, the effects of mark-to-market losses...

We use a DSGE model that generates endogenous movements in risk premia to examine the positive and normative implications of alternative monetary policy rules. As emphasized by the micro-finance literature, variation in risk arises because households face fixed costs of transferring cash across...

The rise of bond financing in EuropeUsing large panel data of public and private firms, this paper dissects the growth of bond financing in the Euro Area through the lens of the cross-section of issuers. In recent years, the composition of bond issuers has shifted, with the entry of many smaller...

This paper quantifies mechanisms through which heterogeneity in household finances affects the transmission of monetary policy, considering housing tenure choices over the life cycle. Our analysis also identifies challenges for monetary policy related to housing busts. It focuses on the four...

Large-scale asset programmes aim to impact the real economy through the financial system. The ECB has focused much of its policies on safe assets. An intended channel of transmission of this type of programme is the "portfolio rebalancing channel", whereby investors are influenced to shift their...

We explore the effects of the ECB's unconventional monetary policy on the banks' sovereign debt portfolios. In particular, using panel vector autoregressive (VAR) models we analyze whether banks increased their domestic government bond holdings in response to non-standard monetary policy shocks,...