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Bubbles, bank credit and macroprudential policies

Derviz, Alexis - 2013

We explore the ability of a macroprudential policy instrument to dampen the consequences of equity mispricing (a bubble …) and the correction thereof (the bubble bursting), as well as the consequences for real activity in a production economy … sentiment) become biased upwards/downwards. Economic activity in equilibrium is influenced by the bubble size. The presence of …

Persistent link: https://www.econbiz.de/10011605596

Behavioral & Experimental Macroeconomics and Policy Analysis : A Complex Systems Approach

Hommes, Cars H. - 2018

This survey discusses behavioral and experimental macroeconomics emphasizing a complex systems perspective. The economy consists of boundedly rational heterogeneous agents who do not fully understand their complex environment and use simple decision heuristics. Central to our survey is the...

Persistent link: https://www.econbiz.de/10012907638

Catching falling knives: speculating on market overreaction

Colliard, Jean-Edouard - 2013

pressure. In the long-run however, such countervailing speculation amounts to signal-jamming, slowing down price discovery …

Persistent link: https://www.econbiz.de/10011605590

Catching Falling Knives : Speculating on Market Overreaction

Colliard, Jean-Edouard - 2013

pressure. In the long-run however, such countervailing speculation amounts to signal-jamming, slowing down price discovery …

Persistent link: https://www.econbiz.de/10013082533

The Reception of Public Signals in Financial Markets : What if Central Bank Communication Becomes Stale?

Ehrmann, Michael - 2009

How do financial markets price new information? This paper analyzes price setting at the intersection of private and public information, by testing whether and how the reaction of financial markets to public signals depends on the relative importance of private information in agents' information...

Persistent link: https://www.econbiz.de/10013157672

Central Bank Communication on Financial Stability

Born, Benjamin - 2011

Central banks regularly communicate about financial stability issues, by publishing Financial Stability Reports (FSRs) and through speeches and interviews. The paper asks how such communications affect financial markets. Building a unique dataset, it provides an empirical assessment of the...

Persistent link: https://www.econbiz.de/10013127492

Bond Risk Premia, Macroeconomic Factors and Financial Crisis in the Euro Area

Garcia, Juan Angel - 2016

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a large dataset that captures the nowadays data-rich environment (ii) the Elastic Net variable selection. We find that macroeconomic factors, in particular economic activity and sentiment...

Persistent link: https://www.econbiz.de/10012984568

Capital Controls and International Financial Stability : A Dynamic General Equilibrium Analysis in Incomplete Markets

Buss, Adrian - 2013

In this paper, we conduct an analysis of the implications of capital controls for financial stability. We study a financial transaction (Tobin) tax applicable to cross-border capital flows in a multi-good, multi-country dynamic equilibrium model with incomplete financial markets and...

Persistent link: https://www.econbiz.de/10013077233

Risk, Uncertainty and Monetary Policy

Bekaert, Geert - 2013

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), we find that a lax monetary policy decreases...

Persistent link: https://www.econbiz.de/10013080094

Financial Integration of New EU Member States

Cappiello, Lorenzo; Kadareja, Arjan; Gerard, Bruno; … - 2021

This study assesses the degree of financial integration for a selected number of new EU member states between themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the amount of variance explained by the common factor relative to...

Persistent link: https://www.econbiz.de/10013317420