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Monetary policy, asset prices, and uncertainty

Alexandre, Fernando; Bação, Pedro
Fonte: Universidade de Coimbra Publicador: Universidade de Coimbra
Tipo: Artigo de Revista Científica Formato: aplication/PDF
ENG
Relevância na Pesquisa
66.5%
We show that the benefits from reacting to misalignments in asset prices may disappear when there is noise in the variables to which the monetary policy instrument responds, and this noise is positively correlated across variables.; http://www.sciencedirect.com/science/article/B6V84-4DF4BG3-3/1/61435ab18474fbfc482cd00c0d067e09

Equity Prices and Monetary Policy: An Overview with an Exploratory Model

Alexandre, Fernando; Bação, Pedro
Fonte: FEUC. Grupo de Estudos Monetários e Financeiros Publicador: FEUC. Grupo de Estudos Monetários e Financeiros
Tipo: Trabalho em Andamento
ENG
Relevância na Pesquisa
56.59%
Financial stability, with an emphasis on the relevance of asset prices stability to the stability of the overall economy, has become the subject of wide discussion among monetary authorities. Closely related to these issues are the concerns of central bankers with a bubble economy and its aftermath. After briefly surveying the potential links between financial markets and the real economy and its implications for the design of monetary policy, we illustrate some of the issues in this literature through the analysis of a simple linear rational expectations model. From this exercise we conclude that the benefits of reacting to asset prices depend crucially on the kind of shock hitting the economy. Ideally, reacting to the misalignment of equity prices is desirable. However, the presence of uncertainty in the estimation of the variables to which the policy rule responds may overturn this conclusion.; O problema da estabilidade do sistema financeiro, em especial a relevância da estabilidade do preço dos activos para a estabilidade da economia em geral, tornou-se um tópico de acesa discussão entre as autoridades monetárias. A preocupação que os bancos centrais demonstram em relação às consequências do aparecimento de "bolhas" nos mercados financeiros insere-se neste contexto. Após uma breve revisão das possíveis interacções entre os mercados financeiros e a economia real e das suas implicações para a condução da política monetária...

O impacto da exigência de margem sobre os preços dos ativos; The impact of margin requirements on assets prices

Castelli, Luiz Fernando
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 11/07/2014 PT
Relevância na Pesquisa
56.78%
O trabalho busca responder: i) se a exigência de margem é capaz de afetar os preços dos ativos em períodos de iliquidez; ii) como as margens são fixadas. A primeira pergunta está relacionada ao modelo Margem CAPM de Gârleanu & Pedersen (2011), que indicam a existência da relação entre a exigência de margem associada a problemas de funding do mercado com os preços dos ativos. A segunda pergunta está relacionada ao trabalho de Brunnermeier & Pedersen (2009) que descrevem o fenômeno Espiral de Liquidez relacionado ao comportamento pró-cíclico das margens, que seriam função da volatilidade dos preços dos ativos. Utilizaram-se dados do mercado acionário brasileiro e exigências de margem divulgadas pela BM&F Bovespa para o período de jan/2008 até dez/2012 para responder tais perguntas. A evidência empírica encontrada no trabalho aponta que a exigência de margem afeta os preços dos ativos em momentos ilíquidos, como descrito pelo modelo Margem CAPM. Porém, tal fenômeno é restrito apenas a ações de empresas pequenas. De acordo com o exercício realizado, o portfólio Long Short de empresas pequenas, onde a estratégia é long em ativos de empresas com alta exigência de margem e short em ativos de baixa exigência de margem...

Monetary policy and asset prices : the investment channel

Alexandre, Fernando; Bação, Pedro
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas
Tipo: Trabalho em Andamento
Publicado em 02/02/2005 ENG
Relevância na Pesquisa
66.66%
The role of monetary policy during periods of asset price volatility has been the subject of discussion among economists and policymakers at least since the 1920s and the Great Depression that followed. In this paper we survey the recent and rapidly growing literature on this topic, with an emphasis on the investment channel. We present a detailed discussion of the hypotheses that have been used to justify, or criticise, a response to asset prices. These hypotheses concern imperfections in financial markets, bubbles in asset prices, and the information on which firm managers and central banks base their decisions.; Fundação para a Ciência e a Tecnologia (FCT) – Programa Operacional “Ciência, Tecnologia, Inovação” (POCTI).; União Europeia (UE). Fundo Europeu de Desenvolvimento Regional (FEDER) – III Quadro Comunitário de Apoio (QCA III).

Monetary policy, asset prices and uncertainty

Alexandre, Fernando; Bação, Pedro
Fonte: Elsevier B.V. Publicador: Elsevier B.V.
Tipo: Artigo de Revista Científica
Publicado em /01/2005 ENG
Relevância na Pesquisa
66.5%
We show that the benefits from reacting to misalignments in asset prices may disappear when there is noise in the variables to which the monetary policy instrument responds, and this noise is positively correlated across variables.; Fundação para a Ciência e a Tecnologia, (FCT) - Praxis XXI/BD/19895/99, SFRH/BD/1076/2000

Equitity prices and monetary policy : an overview with an exploratory model

Alexandre, Fernando; Bação, Pedro
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas
Tipo: Trabalho em Andamento
Publicado em //2002 ENG
Relevância na Pesquisa
56.59%
Financial stability, with an emphasis on the relevance of asset prices stability to the stability of the overall economy, has become the sub ject of wide discussion among monetary authorities. Closely related to these issues are the concerns of central bankers with a bubble economy and its aftermath. After briefly surveying the potential links between financial markets and the real economy and its implications for the design of monetary policy, we illustrate some of the issues in this literature through the analysis of a simple linear rational expectations model. From this exercise we conclude that the benefits of reacting to asset prices depend crucially on the kind of shock hitting the economy. Ideally, reacting to the misalignment of equity prices is desirable. However, the presence of uncertainty in the estimation of the variables to which the policy rule responds may overturn this conclusion.

How do Central Banks react to wealth composition and asset prices?

Castro, Vítor; Sousa, Ricardo M.
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Tipo: Trabalho em Andamento
Publicado em //2010 ENG
Relevância na Pesquisa
66.73%
We assess the response of monetary policy to developments in asset markets in the Euro Area, the US and the UK. We estimate the reaction of monetary policy to wealth composition and asset prices using: (i) a linear framework based on a fully simultaneous system approach in a Bayesian environment; and (ii) a nonlinear specification that relies on a smooth transition regression model. The linear framework suggests that wealth composition is indeed important in the formulation of monetary policy. However, the attempts of central banks to mitigate undesirable fluctuations in say, financial wealth, may disrupt housing wealth. A similar result can be found when we assess the reaction of monetary authority to asset prices, although concerns about "price" effects are smaller. The nonlinear model confirms these findings. However, the concerns over the wealth and its components are stronger once inflation is under control, i.e. below a certain target. Some disruptions between financial and housing wealth effects are still present. They can also be found in reaction to asset prices, despite being less intense.; Fundação para a Ciência e a Tecnologia (FCT) - Programa Operacional Ciência e Inovação 2010 (POCI 2010); Fundo Europeu de Desenvolvimento Regional (FEDER)

Fiscal policy and asset prices

Agnello, Luca; Sousa, Ricardo M.
Fonte: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) Publicador: Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
Tipo: Trabalho em Andamento
Publicado em //2010 ENG
Relevância na Pesquisa
66.7%
We assess the role played by fiscal policy in explaining the dynamics of asset markets. Using a panel of ten industrialized countries, we show that a positive fiscal shock has a negative impact in both stock and housing prices. However, while stock prices immediately adjust to the shock and the effect of fiscal policy is temporary, housing prices gradually and persistently fall. As a result, the attempts of fiscal policy to mitigate stock price developments may severely de-stabilize housing markets. The empirical findings also point to: (i) a contractionary effect of fiscal policy on output in line with the existence of crowding-out effects; (ii) a weakening of the effectiveness of fiscal policy in recent times; (iii) significant fiscal multiplier effects in the context of severe housing busts; and (iv) an increase of the sensitivity of asset prices to fiscal policy shocks following the process of financial deregulation and mortgage liberalization. Finally, the evidence suggests that changes in equity prices may help governments towards consolidation of public finances.; Fundação para a Ciência e a Tecnologia (FCT) - Programa Operacional Ciência e Inovação 2010 (POCI 2010); Fundo Europeu de Desenvolvimento Regional (FEDER)

How does fiscal policy react to wealth composition and asset prices?

Agnello, Luca; Castro, Vítor; Sousa, Ricardo M.
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Trabalho em Andamento
Publicado em 12/07/2011 ENG
Relevância na Pesquisa
66.74%
We assess the response of fical policy to developments in asset markets in the US and the UK. We estimate fical polyce rules augmented with aggregate wealth, wealth composition (i.e. financial and housing wealth) and asset prices (i.e. stock and housing prices) using: (i) a linear framework based on a fully simultaneous system approach; and (ii) two nonlinear specifications that rely on a smooth transition regression (STR) and a Markov-switching (MS) model. The linear framework suggests that, while primary spending does not seem to react to wealth composition or asset prices, taxes and primary surplus are significantly: (i) cut when financial wealth or stock prices rise, and (ii) raised when housing wealth or housing prices increase. The smooth transition regression model shows that primary spending and fiscal balance are adjusted in a nonlinear fashion to both wealth and price effects, while the Markov-switching framework highlights the importance of tax cuts (in the US) and spending hikes (in the UK) to offset the decline in wealth suring major recessions and financial crises. Overall, our results provide evidence of a non-stabilizing effect of government debt, a countercyclical policy and a vigilant track of wealth developments by fiscal authorities.; Fundação para a Ciência e a Tecnologia (FCT)

Fiscal policy and asset prices

Agnello, Luca; Sousa, Ricardo M.
Fonte: Wiley-Blackwell Publicador: Wiley-Blackwell
Tipo: Artigo de Revista Científica
Publicado em //2011 ENG
Relevância na Pesquisa
66.7%
We assess the role played by scal policy in explaining the dynamics of asset markets. Using a panel of ten industrialized countries, we show that a positive scal shock has a negative impact in both stock and housing prices. However, while stock prices immediately adjust to the shock and the e¤ect of scal policy is temporary, housing prices gradually and persistently fall. As a result, the attempts of scal policy to mitigate stock price developments may severely de-stabilize housing markets. The empirical ndings also point to: (i) a contractionary e¤ect of scal policy on output in line with the existence of crowding-out e¤ects; (ii) a weakening of the e¤ectiveness of scal policy in recent times; (iii) signi cant scal multiplier e¤ects in the context of severe housing busts; and (iv) an increase of the sensitivity of asset prices to scal policy shocks following the process of nancial deregulation and mortgage liberalization. Finally, the evidence suggests that changes in equity prices may help governments towards consolidation of public nances.; COMPETE; QREN; UE Fundo Europeu de Desenvolvimento Regional; Fundação para a Ciência e a Tecnologia (FCT)

Adjusting the U.S. fiscal policy for asset prices : evidence from a TVP--MS framework

Agnello, Luca; Dufrénot, Gilles; Sousa, Ricardo M.
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Trabalho em Andamento
Publicado em //2012 ENG
Relevância na Pesquisa
66.75%
This paper tests for nonlinear effects of asset prices on the US fiscal policy. By modeling government spending and taxes as time-varying transition probability (TVTP) Markovian processes, we find that taxes significantly adjust in a nonlinear fashion to asset prices. In particular, taxes respond to housing and (to a smaller extent) to stock prices changes during normal times. However, at periods characterized by high financial volatility, government taxation only counteracts stock market developments (and not the dynamics of the housing sector). As for government spending, it is neutral vis-a-vis the asset market cycles. We conclude that, correcting the fiscal balance and, notably, the revenue side for time-varying effects of asset prices provides a more accurate assessment of the fiscal stance and its sustainability.; Fundação para a Ciência e a Tecnologia (FCT)

Primary Commodity Prices : Co-movements, Common Factors and Fundamentals

Byrne, Joseph P.; Fazio, Giorgio; Fiess, Norbert
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
46.71%
The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, the authors document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on co-movement of commodity prices.

Asset Prices, Macro Prudential Regulation, and Monetary Policy

Canuto, Otaviano; Cavallari, Matheus
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
56.57%
Confidence in combining inflation-targeting-cum-flexible-exchange-rate regimes with isolated micro prudential regulation as a means to guarantee both macroeconomic and financial stability has been shattered by the scale and synchronization of the asset price booms and busts that preceded the global financial crisis. It has now become clear that if monetary policy makers and prudential regulators are to succeed in achieving stability, there can be no complacency regarding asset price cycles. This note explores some of the ways in which monetary policy can address asset price booms and busts through its integration with macro prudential regulation.

Asset Price Effects of Peer Benchmarking

Acharya, Sushant; Pedraza, Alvaro
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Trabalho em Andamento
EN_US
Relevância na Pesquisa
56.7%
This paper estimates the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, the paper exploits a natural experiment involving a change in a government imposed underperformance penalty applicable to Colombian pension funds. This change in regulation is orthogonal to stock fundamentals and only affects incentives to track peer portfolios allowing the authors to identify the component of demand due to peer benchmarking. The authors find that peer effects among pension fund managers generate excess in stock return volatility, with stocks exhibiting short-term abnormal returns followed by returns reversal in the subsequent quarter. Additionally, peer benchmarking produces an excess in comovement across stock returns beyond the correlation implied by fundamentals.

Creative Destruction and Asset Prices

Grammig, Joachim; Jank, Stephan
Fonte: Universidade de Tubinga Publicador: Universidade de Tubinga
Tipo: ResearchPaper
EN
Relevância na Pesquisa
56.41%
We relate Schumpeter’s notion of creative destruction to asset pricing, thereby offering a novel explanation of size and value premia. We argue that small-value firms are more likely to be destroyed by serendipitous invention activity, and investors demand higher expected returns for bearing that risk. Large-growth stocks provide protection against creative destruction, so they receive expected return discounts. An ICAPM that accounts for creative destruction risk explains a considerable part of the cross-sectional return variation of size- and book-to-market-sorted portfolios. The estimated risk compensations associated with creative destruction are economically and statistically significant.

Asset prices in monetary policy rules: should they stay or should they go?

Pacheco, Luís Miguel
Fonte: Centro de Investigação em Gestão e Economia da Universidade Portucalense Publicador: Centro de Investigação em Gestão e Economia da Universidade Portucalense
Tipo: Artigo de Revista Científica
Publicado em //2008 ENG
Relevância na Pesquisa
66.84%
The nature of the relationship between asset price movements and monetary policy is a currently hotly debated topic in macroeconomics. We analyse that relationship using a standard dynamic stochastic general equilibrium model, augmented by an equation featuring the asset prices deviations from a trend value. The calibration and subsequent simulation of that model allows us to conclude that it wouldn’t be desirable to include asset prices in the monetary policy rule, because of the higher interest rate and inflation volatility. The inclusion of a reaction to asset prices deviations in the monetary policy rule would only be justifiable in the context of a strong output gap sensibility to them and, even in that case, the gains of welfare would be so small that shouldn’t offset the costs attached to an explicit tracking of asset prices behaviour by the monetary authority. In conclusion, our results are consistent with a benign neglect view by the monetary authority towards asset prices. This attitude, where the ECB clearly fits in, implies that central banks could act in response to asset prices movements when there’s the need to avoid a sharp correction in the markets, which could have destabilising effects over the economy.

From Boom 'til Bust : How Loss Aversion Affects Asset Prices; Journal of Banking and Finance

Berkelaar, Arjan; Kouwenberg, Roy
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Journal Article; Journal Article
EN
Relevância na Pesquisa
56.5%
This article studies the impact of heterogeneous loss averse investors on asset prices. In very good states loss averse investors become gradually less risk averse as wealth rises above their reference point, pushing up equity prices. When wealth drops below the reference point the investors become risk seeking and demand for stocks increases drastically, eventually leading to a forced sell-off and stock market bust in bad states. Heterogeneity in reference points and initial wealth of the loss averse investors does not change the salient features of the equilibrium price process, such as a relatively high equity premium, high volatility and counter-cyclical changes in the equity premium.

How the Republic of Korea's Financial Structure Affects the Volatility of Four Asset Prices

Hong G. Min; Park, Jong-goo
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Working Paper; Publications & Research; Publications & Research :: Policy Research Working Paper
ENGLISH; EN_US
Relevância na Pesquisa
56.8%
The authors explore how Koreas financial structure affects the volatility of asset prices. Documented empirical evidence of the relationship between financial structure and financial crisis, sheds light on the relationship between asset price volatility - extreme variations in price - and financial structure. And the volatility of financial and non-financial asset prices provides an indirect link between an economys financial structure and the likelihood of financial crisis. Using time-series data on a se of indicators measuring financial structure, the authors examine how Koreas financial structure affects the volatility of the real effective exchange rate, the money market rate, government bond yields, and stock prices. They find: 1) There is a stable long-term relationship between financial structure and volatility in the real effective exchange rate, the money market rate, stock prices, and the yield on government housing bonds. 2) Financial structure affects asset price variables asymmetrically. Some variables volatility increases...

Tropical Bubbles : Asset Prices in Latin America, 1980-2001

Herrera, Santiago; Perry, Guillermo
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
66.91%
The authors test for the existence of asset price bubbles in Latin America in 1980-2001, focusing mainly on stock prices. Based on unit root and cointegration tests, they find that they cannot reject the hypothesis of bubbles. They arrive at the same conclusion using Froot and Obstfeld's intrinsic bubbles model. To examine empirical regularities of these bubble episodes in the region, the authors identify periods of significant stock price overvaluation. They quantify the relative importance of different factors that determine the probability of bubble occurrence, focusing on the contrast between the country-specific variables and the common external factors. They include as country-specific variables both the level and the volatility of domestic credit growth, the volatility of asset returns, the capital flows to each country, and the terms of trade. As common external variables, they consider the degree of asset overvaluation in the U.S. stock and real estate markets and the term spread of U.S. Treasury securities. To quantitatively assess the relative importance of each factor...

Valuation Effects with Transitory and Trend Productivity Shocks

Nguyen, Ha
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
46.76%
In the past two decades, cross-border portfolio holdings of a large variety of assets have risen sharply. This has created an important role for changes in asset prices of a country's external assets and liabilities (i.e. "valuation effects") in affecting the country's net foreign asset position. Valuation effects are commonly thought as stabilizing: they counteract current account movements and mitigate the impact of the current account on the country's net foreign asset position. This paper shows that whether valuation effects are stabilizing or not depends critically on the nature of underlying productivity shocks. In response to transitory shocks, valuation effects are stabilizing; but in response to trend shocks, such effects amplify the impact of the current account on the net foreign asset position. These contrasting results arise because optimally smoothing consumers respond differently to a transitory shock than to a trend shock to income. The results are consistent with the pattern of external imbalances between the United States and other G.7 countries since the 1990s.