Nous utilisons un modele theorique a generations imbriquees, que nous modifions pour y introduire le marche des actions et une description du comportement des banques et une Banque Centrale, afin d'analyser les liens entre politique monetaire et cours boursiers.

Nous construisons un modele dynamique theorique pour comprendre les interactions entre la politique budgetaire, la politique monetaire, la demande interieur et l'activite reelle et les cours boursiers.

Nous construisons deux modeles theoriques correspondant a deux possibilites d'apparition de rationnement de credit, pour analyser les causes du recul de la distribution de creidt et de la chute de l'investissement au japon. Nous examinons en particulier l'effet d'une diminution des fonds propres...

This paper investigates the impact of U.S. macroeconomic and monetary news on market interest rate level and volatility. These news relate to Federal Reserve System (FED) target variables and unexpected policy rate changes. It examines whether the fact that FED announces its policy rate...

This paper estimates a six-variable VAR model and simulates generalized impulse response functions to assess dynamic interactions between bank loans and stock prices and evaluate whether bank loans play a role in transmitting financial shocks to the real sector. We find evidence that bank loans...

I examine whether or not returns on stock markets are a leading indicator for real macroeconomic developments in Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not information from real and financial sectors of the economy is...

This paper describes indicators that were developed to analyze the exposure of enterprises and households to financial risks. In this context, we distinguish three types of risk: interest rate risk, price risk and exchange rate risk. Our indicators measure risk exposure by the share of financial...

This paper investigates the business cycle implications of limited pass-through to retail interest rates based on a calibrated sticky price model. Although limited interest rate pass-through can in principle reduce output and inflation volatility at the same time, large reductions in output...

Did monetary easing in the 1980s cause Japan's bubble, as is often suggested? Drawing on both a new cross-national consideration of the monetary policy-asset price linkage and a reexamination of what actually occurred in Japan during 1985-90, I conclude that the bubble was just as likely to...

Consumption risk sharing among U.S. federal states increases in booms and decreases in recessions. We find that small firms' access to financial markets plays an important role in explaining this stylized fact: business cycle fluctuations in aggregate risk sharing are more pronounced in states...