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Monetary Policy Responses to the Crisis and Exit Strategies

Minegishi, Makoto - 2010

Central banks have responded with exceptional vigour to the crisis by using their traditional interest-rate tools to their limits and deploying a wide range of unconventional measures. This paper documents these responses in a systematic way, reviews the evidence about their impact, and...

Persistent link: https://www.econbiz.de/10012444285

Limited liability, asset price bubbles and the credit cycle : the role of monetary policy

Mateju, Jakub - 2015

This paper suggests that non-fundamental component in asset prices is one of the drivers of financial and credit cycle. Presented model builds on the financial accelerator literature by including a stock market where limitedly-liable investors trade stocks of productive firms with stochastic...

Persistent link: https://www.econbiz.de/10010505148

Quantitative easing and exuberance in government bond markets : evidence from the ECB's Expanded Assets Purchase Program

Droes, Martijn; Lamoen, Ryan C. R. van; Mattheussens, Simona - 2017 - This version: 25 August 2017

This paper examines whether the ECB's Quantitative Easing (QE) policy is causing government bond prices to deviate from their fundamental value. We use a recent advance in the methodology to measure exuberant price behavior in financial time series introduced by Phillips et al. (2015). We extend...

Persistent link: https://www.econbiz.de/10011715916

Asset Price Bubbles, Market Liquidity and Systemic Risk

Jarrow, Robert A. - 2019

This paper studies an equilibrium model with heterogeneous agents, asset price bubbles, and trading constraints. Market … liquidity is modeled as a stochastic quantity impact from trading on the price. Bubbles are larger in liquid markets and when …

Persistent link: https://www.econbiz.de/10012899970

The Effects of Monetary Policy on Firm Investment after the Collapse of the Asset Price Bubble : An Investigation Using Japanese Micro Data

Nagahata, Takashi - 2009

This paper investigates what can be learned about the effects of monetary policy on firm investment after the collapse of the asset price bubble in Japan. By estimating firm investment functions based on corporate panel data, the paper reveals that the monetary easing after the bubble burst...

Persistent link: https://www.econbiz.de/10013157089

Analysis of monetary policy responses after financial market crises in a continuous time New Keynesian Model

Hayo, Bernd; Niehof, Britta - 2014 - This version: 24 March 2014

financial crisis. The effect of bubbles on stock and housing markets and their transmission to the domestic real economy and the …

Persistent link: https://www.econbiz.de/10010336205

Can Excess Liquidity Signal an Asset Price Boom?

Bruggeman, Annick - 2010

This paper analyses the relationship between the prevailing liquidity conditions (such as measures of money, credit and interest rates) and developments in asset prices from a monetary analysis perspective. After having identified periods of sustained excess liquidity, we analyse under which...

Persistent link: https://www.econbiz.de/10013137460

Heterogeneity, Bubbles and Monetary Policy

Bonchi, Jacopo; Nisticò, Salvatore - 2022

’ heterogeneity and rational bubbles, and their normative implications for monetary policy. Heterogeneity stems from idiosyncratic … uncertainty related to participation in the asset and labor markets, and allows bubbles to emerge in equilibrium despite the fact …-policy response to bubbles, however, depends on the features of the latter …

Persistent link: https://www.econbiz.de/10013403729

What option prices tell us about the ECB's unconventional monetary policies

Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018

We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several...

Persistent link: https://www.econbiz.de/10011940034

From Free Markets to Fed Markets : How Unconventional Monetary Policy Impacts Equity Markets

Putniņš, Tālis J. - 2020

In response to the COVID-19 pandemic, the US Federal Reserve almost doubled its balance sheet by adding $3 trillion of assets (13% of GDP) in the space of three months, constituting the most aggressive unconventional monetary policy on record. We show that these actions had a substantial effect...

Persistent link: https://www.econbiz.de/10012831878