Monetary policy and speculative asset markets

European Economic Review - Tập 148 - Trang 104250 - 2022
Gregor Boehl1
1University of Bonn, Germany

Tài liệu tham khảo

Abbate, 2016, The changing international transmission of financial shocks: Evidence from a classical time-varying FAVAR, J. Money Credit Bank., 48, 573, 10.1111/jmcb.12311 Adam, 2017, Stock price booms and expected capital gains, Amer. Econ. Rev., 107, 2352, 10.1257/aer.20140205 Adam, 2016, Stock market volatility and learning, J. Finance, 71, 33, 10.1111/jofi.12364 Adam, 2018 Adam, 2018 Allen, 2011, Asset prices, financial stability and monetary policy An, 2007, BayesIan analysis of DSGE models, Econometric Rev., 26, 113, 10.1080/07474930701220071 Arnold, 2013 Assenmacher, K., Gerlach, S., 2008. Monetary Policy, Asset Prices and Macroeconomic Conditions: a Panel-VAR Study. National Bank of Belgium Working Paper (149). Assenza, 2013 Bernanke, 2000 Bernanke, 1999, The financial accelerator in a quantitative business cycle framework, Handb. Macroecon., 1, 1341, 10.1016/S1574-0048(99)10034-X Boehl, 2022, A structural investigation of quantitative easing, Rev. Econ. Stat., 10.1162/rest_a_01205 Boehl, 2021 Boehl, 2022, Available at SSRN 4138532 Borio, 2018 Borio, C.E., Lowe, P.W., 2002. Asset Prices, Financial and Monetary Stability: Exploring the Nexus. BIS working paper. Brock, 1998, Heterogeneous beliefs and routes to chaos in a simple asset pricing model, J. Econom. Dynam. Control, 22, 1235, 10.1016/S0165-1889(98)00011-6 Bulow, 1985, Multimarket oligopoly: Strategic substitutes and complements, J. Polit. Econ., 93, 488, 10.1086/261312 Caines, 2019 Calvo, 1983, Staggered prices in a utility-maximizing framework, J. Monetary Econ., 12, 383, 10.1016/0304-3932(83)90060-0 Campbell, 2003, Consumption-based asset pricing, Handb. Econ. Financ., 1, 803, 10.1016/S1574-0102(03)01022-7 Cecchetti, 2000 Christiano, 2005, Nominal rigidities and the dynamic effects of a shock to monetary policy, J. Polit. Econ., 113, 1, 10.1086/426038 Christiano, 2015, Understanding the great recession, Amer. Econ. J.: Macroecon., 7, 110 Christiano, 2010 Christiano, 2014, Risk shocks, Amer. Econ. Rev., 104, 27, 10.1257/aer.104.1.27 Cooper, 1988, Coordinating coordination failures in Keynesian models, Q. J. Econ., 103, 441, 10.2307/1885539 Davis, 2019 De Grauwe, 2011, Animal spirits and monetary policy, Econom. Theory, 47, 423, 10.1007/s00199-010-0543-0 Del Negro, 2015, Inflation in the great recession and new keynesian models, Amer. Econ. J.: Macroecon., 7, 168 Del Negro, 2007, On the fit of new Keynesian models, J. Bus. Econom. Statist., 25, 123, 10.1198/073500107000000016 Evans, 2003, Expectations and the stability problem for optimal monetary policies, Rev. Econom. Stud., 70, 807, 10.1111/1467-937X.00268 Galí, 2008 Galí, 2014, Monetary policy and rational asset price bubbles, Amer. Econ. Rev., 104, 721, 10.1257/aer.104.3.721 Greenwood, 2020 Greenwood, 2014, Expectations of returns and expected returns, Rev. Financ. Stud., 27, 714, 10.1093/rfs/hht082 Hansen, 1982, Large sample properties of generalized method of moments estimators, Econometrica, 1029, 10.2307/1912775 Hommes, 2006, Heterogeneous agent models in economics and finance, Handb. Comput. Econ., 2, 1109, 10.1016/S1574-0021(05)02023-X Hommes, 2011, The heterogeneous expectations hypothesis: Some evidence from the lab, J. Econom. Dynam. Control, 35, 1, 10.1016/j.jedc.2010.10.003 Hommes, 2013 Hommes, 2005, A strategy experiment in dynamic asset pricing, J. Econom. Dynam. Control, 29, 823, 10.1016/j.jedc.2003.11.006 Keynes, 1937, Alternative theories of the rate of interest, Econ. J., 47, 241, 10.2307/2225525 Kuznetsov, 2013 Laeven, 2013, Systemic banking crises database, IMF Econ. Rev., 61, 225, 10.1057/imfer.2013.12 LeBaron, 2006, Agent-based computational finance, Handb. Comput. Econ., 2, 1187, 10.1016/S1574-0021(05)02024-1 Lieberknecht, 2019 Martin, 2010 McFadden, 1989, A method of simulated moments for estimation of discrete response models without numerical integration, Econometrica, 995, 10.2307/1913621 Mehra, 1985, The equity premium: A puzzle, J. Monetary Econ., 15, 145, 10.1016/0304-3932(85)90061-3 Mehra, 2003, The equity premium in retrospect, vol. 1, 889, 10.1016/S1574-0102(03)01023-9 Miao, 2018, Asset bubbles and credit constraints, Amer. Econ. Rev., 108, 2590, 10.1257/aer.20160782 Miao, 2012 Miao, 2016, Stock market bubbles and unemployment, Econom. Theory, 61, 273, 10.1007/s00199-015-0906-7 Ott, 2002 Poole, 1970, Optimal choice of monetary policy instruments in a simple stochastic macro model, Q. J. Econ., 84, 197, 10.2307/1883009 Ravenna, 2006, Optimal monetary policy with the cost channel, J. Monetary Econ., 53, 199, 10.1016/j.jmoneco.2005.01.004 Rungcharoenkitkul, 2019 Shiller, 1981, Do stock prices move too much to be justified by subsequent changes in dividends?, Amer. Econ. Rev., 71, 421 Sims, 2019 Smets, 2007, Shocks and frictions in US business cycles: A Bayesian DSGE approach, Amer. Econ. Rev., 97, 586, 10.1257/aer.97.3.586 Winkler, 2019, The role of learning for asset prices and business cycles, J. Monetary Econ. Woodford, 2003