Showing 1 - 10 of 271
about mean payoffs, price bubbles arise without collateralisation, which may discipline prices as pessimists demand higher …
Persistent link: https://www.econbiz.de/10011084220
Asset price inflation presents central banks with a puzzle. I examine the case of Germany, 1925-7, when the Reichsbank …
Persistent link: https://www.econbiz.de/10005792124
propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant …
Persistent link: https://www.econbiz.de/10005662411
A reduction in inflation can fuel run-ups in housing prices if people suffer from money illusion. For example … account that inflation lowers future real mortgage costs. We decompose the price-rent ratio in a rational component — meant to … capture the proxy effect and risk premia — and an implied mispricing. We find that inflation and nominal interest rates …
Persistent link: https://www.econbiz.de/10005067397
-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …
Persistent link: https://www.econbiz.de/10005662071
We study the effect of introducing a new security, such as a non-redundant derivative, on the volatility of stock … increases the volatility of stock-market returns. …
Persistent link: https://www.econbiz.de/10005114422
looks at the relationship between inflation, relative prices and inefficiency. Inter alia, there is a critique of the way …, the relation between inflation and the stock market is discussed. …
Persistent link: https://www.econbiz.de/10005792034
resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …
Persistent link: https://www.econbiz.de/10005662005
the upswing in the credit volatility that kept money supply variability from translating into inflation and GDP volatility. … volatilities away from the downward trending GDP and inflation volatilities. Using an en dogenous growth monetary DSGE model, with … micro-based banking production, enables a contrasting characterization of the two great volatility cycles over the …
Persistent link: https://www.econbiz.de/10005666738
Countries that have pursued distortionary macroeconomic policies, including high inflation, large budget deficits and … misaligned exchange rates, appear to have suffered more macroeconomic volatility and also grown more slowly during the postwar … more ‘extractive’ institutions from their colonial past were more likely to experience high volatility and economic crises …
Persistent link: https://www.econbiz.de/10005136626