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Equity home bias, incomplete financial markets, and nominal rigidities

Pang, Ke - In: The Canadian journal of economics 44 (2011) 1, pp. 340-363

Persistent link: https://www.econbiz.de/10009010482

Monetary policy and portfolio choice in an open economy macro model

Devereux, Michael B.; Sutherland, Alan - In: Journal of the European Economic Association 5 (2007) 2/3, pp. 491-499

Persistent link: https://www.econbiz.de/10003483679

Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect

Caballero, Ricardo J.; Simsek, Alp - 2022

We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...

Persistent link: https://www.econbiz.de/10013093040

Household income, portfolio choice and heterogeneous consumption responses to monetary policy shocks

Nakamura, Fumitaka - 2019

Persistent link: https://www.econbiz.de/10013454047

News Shocks, Monetary Policy, and Foreign Currency Positions

De Paoli, Bianca; Küçük, Hande - 2018

Over the past two decades, before the global financial crisis, there was a rapid rise in the size of gross external portfolio positions as well as a decrease in the net negative foreign currency exposure in external balance sheets. In this paper, we present a theoretical model in which these...

Persistent link: https://www.econbiz.de/10014131136

Inflation Risk Measures and Their Informational Content

Andrade, Philippe - 2014

We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) inflation tail risk. We … estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk … indicators which focus on inflation uncertainty and do not distinguish between the risks of low or high future inflation outcomes …

Persistent link: https://www.econbiz.de/10013053675

The portfolio theory of inflation and policy (in)effectiveness revisited : corroborating evidence

Bossone, Biagio; Cuccia, Andrea - 2020

This study revisits and tests empirically the Portfolio Theory of Inflation (PTI), which analyzes how the effectiveness … (Bossone, The portfolio theory of inflation and policy (in)effectiveness, 2019). The PTI shows that when an economy is heavily … and policies aimed to stimulate output growth dissipate into domestic currency depreciation and higher inflation, with …

Persistent link: https://www.econbiz.de/10012140238

The portfolio theory of inflation and policy (in)effectiveness : a revisitation

Bossone, Biagio - In: Macroeconomics and finance in emerging market economies 16 (2023) 2, pp. 203-221

Persistent link: https://www.econbiz.de/10014319827

Robust Portfolio Choice With Sticky Wages

Biagini, Sara; Gozzi, Fausto; Zanella, Margherita - 2021

We present a robust version of the life-cycle optimal portfolio choice problem in the presence of labor income, as introduced in Biffis, Gozzi and Prosdocimi and Dybvig and Liu. In particular, in the influence of past wages on the future ones is modelled linearly in the evolution equation of...

Persistent link: https://www.econbiz.de/10013229743

Portfolio choice in a monetary open-economy DSGE model

Engel, Charles; Matsumoto, Akito - 2006

Persistent link: https://www.econbiz.de/10003326089