In this paper, we estimate expected return on housing by exploiting information from the variations in the consumption-wealth ratio. We combine a present-value model of consumption with an unobserved component model to express the excess consumption-assets ratio (consumption in excess of labor...

In this paper, we estimate the time-varying response of foreign stock markets to U.S. monetary policy shocks derived from the high-frequency Federal funds futures market. Our results show significant time-variation in the response of the global equity markets to U.S. monetary policy surprises,...

In this paper we estimate the evolution of the implicit inflation target underlying the monetary policy of 18 ‘inflation targeting lite’ economies (i.e., emerging countries that target inflation implicitly) using a time‐varying parameter specification of the Taylor rule. We find...

We examine the local demand channel hypothesis of the housing market that predicts a larger response of employment in the non-tradable sector to house price shocks than employment in the tradable sector using state-level monthly data from 1990:M1-2019:M12. Our results from a panel VAR model and...

This paper develops a new measure of comovement in the banking sector that takes into account the dynamic nature of interlinkages among different bank holding corporations at different stages of business cycles. For this purpose, we use a dynamic factor model with time-varying parameters and...

This paper uses long-run equilibrium relationship between consumption and different components of wealth to estimate the effect of changes in housing wealth and financial wealth on consumption. By exploiting this long-run property, it has been shown that a dollar increase in housing wealth...

This paper seeks to answer two questions: first, do monetary policy shocks affect the size of bank loans, and second, do bank loans affect real economic activity? Using annual panel data on the Indian states from 1996 to 2008, we find that money demand shocks have large and statistically...

This paper seeks to answer two questions in the context of the Indian economy. First, are all movements in food and energy prices transitory? Second, is there a significant relationship between permanent and transitory shocks to different components of the aggregate price level? Using monthly...