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Overfunding and underfunding, a main cause of the business cycle?

De Koning, Kees - Volkswirtschaftliche Fakultät, … - 2015

In 1946 the economist Arthur Burns defined a business cycle as a period of expansion occurring about the same time in many economic activities, followed by similar general recessions, contractions and revivals, which merge into the expansion phase of the next cycle. Cycles may take from one year...

Persistent link: https://www.econbiz.de/10011195673

Is Financial Market Volatility Informative to Predict Recessions?

Valckx, Nico; de Ceuster, Marc J. K.; Annaert, Jan - 2003

whether interest rate and stock market volatility play an additional role as recession indicators. Both risk-return analysis … and stock return volatility do not contribute systematically to the forecasting of recessions in the US using the NBER … definition, but do so, to some extent, when using the OECD dating. In Germany and Japan, using a variety of volatility indicators …

Persistent link: https://www.econbiz.de/10014076057

Risk, monetary policy and asset prices in a global world

Bekaert, Geert; Hoerova, Marie; Xu, Nancy R. - 2023

We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating between "traditional" monetary policy and communication events, each decomposed into "pure" and information shocks. Communication shocks from the US spill over to risk in the...

Persistent link: https://www.econbiz.de/10014483035

Interactions between Business Cycles, Stock Market Cycles and Interest Rates : The Stylised Facts

Avouyi-Dovi, Sanvi - 2010

In this paper, we study the co-movements between stock market indices and real economic activity over the business cycle in France, Germany, Italy, the United Kingdom and the United States, using two complementary approaches in our analysis. First, we identify the turning points in real economy...

Persistent link: https://www.econbiz.de/10013136227

Interest Rate Dynamics, Variable-Rate Loan Contracts, and the Business Cycle

Pintus, Patrick - 2019

The interest rate at which US firms borrow funds has two features: (i) it moves in a countercyclical fashion and (ii) it is an inverted leading indicator of real economic activity: low interest rates forecast booms in GDP, consumption, investment, and employment. We show that a Kiyotaki-Moore...

Persistent link: https://www.econbiz.de/10012903888

Monetary Policy, the Financial Cycle and Ultralow Interest Rates

Juselius, Mikael - 2018

Do the prevailing unusually and persistently low real interest rates reflect a decline in the natural rate of interest as commonly thought? We argue that this is only part of the story. The critical role of financial factors in influencing medium-term economic fluctuations must also be taken...

Persistent link: https://www.econbiz.de/10012935733

The Mortgage Rate Conundrum

Justiniano, Alejandro - 2017

We document the emergence of a disconnect between mortgage and Treasury interest rates in the summer of 2003. Following the end of the Federal Reserve's expansionary cycle in June 2003, mortgage rates failed to rise according to their historical relationship with Treasury yields, leading to...

Persistent link: https://www.econbiz.de/10012943315

Nonlinearities of Mortgage Spreads Over the Business Cycles

Cheng, Chak Hung Jack - 2016

This paper provides robust evidence for the non-linear effects of mortgage spread shocks during recessions and expansions in the United States. Estimating a smooth-transition VAR model, we show that mortgage spread shocks hitting in recessionary regimes create significantly deeper and more...

Persistent link: https://www.econbiz.de/10012977479

Lending standards, productivity and credit crunches

Swarbrick, Jonathan M. - 2019

We propose a macroeconomic model in which adverse selection in investment drives the amplification of macroeconomic fluctuations, in line with prominent roles played by the credit crunch and collapse of the asset-backed security market in the financial crisis. Endogenous lending standards emerge...

Persistent link: https://www.econbiz.de/10012034334

The mortgage rate conundrum

Justiniano, Alejandro; Primiceri, Giorgio E.; … - 2017

Persistent link: https://www.econbiz.de/10011754373