In recent years, macroprudential policy has become an increasingly active policy area. Many countries have adopted it as a tool to safeguard financial stability, in particular to deal with the credit and asset price cycles driven by global capital flows. This paper reviews the use of key...

We construct a stochastic overlapping-generations general equilibrium model in which households are subject to aggregate shocks that affect both wages and asset prices. We use a calibrated version of the model to quantify how the welfare costs of big recessions are distributed across different...

We challenge the view that the relationship between money and prices is too loose in countries with low inflation rates and argue that cross-border portfolio shifts are the root cause of the volatility in real money balances. The novelty of this paper is that we model jointly in the euro area...

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we consider a standard two-sector real-business cycle model with...

In this paper, we analyze the long-run behavior and short-run dynamics of stock markets across some selected developed and emerging economies – namely the United States, the Euro Area, Japan, the United Kingdom, Australia, South Korea, Thailand and Brazil – in the Cointegrated...

The question of whether central banks should bear responsibility for financial stability is still unan-swered. Regarding interest rate implementation, it is thus not clear if and how the Taylor rule should be augmented by an additional financial stability term. This paper reviews the normative...

This article assesses the predictive ability of asset prices relative to other variables in forecasting inflation and real GDP growth in South Africa. A total of 42 asset and non-asset predictor variables are considered. Forecasts of inflation and real GDP growth are computed using both...

This paper aims at providing empirical evidence on the relationship between capital inflows and asset prices, focusing on China, Hong Kong, Indonesia, Korea and Thailand. Main findings are: the positive responses of share prices to portfolio inflows shocks were verified in all the estimated...

Japan experienced a significant increase in land and stock prices in the late 1980s and a subsequent reversal in these asset prices in the 1990s. I use a neoclassical growth model to determine how much of these asset price movements can be accounted for by the observed changes in output growth...

This paper examines the parity conditions between assets denominated in different currencies, traded in a well-integrated segment of the international capital market, and derives the consequences for exchange rate expectations. The main objective is to assess the uncovered asset return parity...