Risk, uncertainty and monetary policy
Tóm tắt
Từ khóa
Tài liệu tham khảo
Adalid, R., Detken, C., 2007. Liquidity shocks and asset price boom/bust cycles. ECB Working Paper no. 732.
Adrian, T., Shin, H.S., 2008. Liquidity, monetary policy, and financial cycles. Current Issues in Economics and Finance, Federal Reserve Bank of New York 14(1)
Alessi, 2011, Quasi real-time early warning indicators for costly asset price boom/bust cycles: a role for global liquidity, European Journal of Political Economy, 27, 520, 10.1016/j.ejpoleco.2011.01.003
Altunbas, Y., Gambacorta, L., Marquéz-Ibañez, D., 2010. Does monetary policy affect bank risk-taking? ECB Working Paper no. 1166.
Andrews, 1993, Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821, 10.2307/2951764
Baker, 2007, Investor sentiment in the stock market, Journal of Economic Perspectives, 21, 129, 10.1257/jep.21.2.129
Bakshi, 2000, Spanning and derivative-security valuation, Journal of Financial Economics, 55, 205, 10.1016/S0304-405X(99)00050-1
Bakshi, 2003, Stock return characteristics, skew laws, and differential pricing of individual equity options, Review of Financial Studies, 16, 101, 10.1093/rfs/16.1.101
Bekaert, 2010, New Keynesian macroeconomics and the term structure, Journal of Money, Credit and Banking, 42, 33, 10.1111/j.1538-4616.2009.00277.x
Bekaert, G., Engstrom, E., 2013. Asset return dynamics under habits and bad environment-good environment fundamentals. Working Paper, Columbia GSB.
Bekaert, 2009, Risk, uncertainty, and asset prices, Journal of Financial Economics, 91, 59, 10.1016/j.jfineco.2008.01.005
Bekaert, G., Hoerova, M., 2013. The VIX, the variance premium and stock market volatility. NBER Working Paper no. 18995, National Bureau of Economic Research.
Bernanke, B., 2002. Asset-price ‘bubbles’ and monetary policy. Speech before the New York chapter of the National Association for Business Economics, New York, New York, October 15.
Bernanke, 2001, Should central banks respond to movements in asset prices?, American Economic Review, 91, 253, 10.1257/aer.91.2.253
Bernanke, 2005, What explains the stock market's reaction to federal reserve policy?, Journal of Finance, 60, 1221, 10.1111/j.1540-6261.2005.00760.x
Bernanke, 1998, Measuring monetary policy, Quarterly Journal of Economics, 113, 869, 10.1162/003355398555775
Bernanke, B., Mihov, I., 1998b. The liquidity effect and long-run neutrality. Carnegie-Rochester Conference Series on Public Policy, vol. 49, no. 1, pp. 149–194.
Blanchard, 1989, The dynamic effects of aggregate demand and supply disturbances, American Economic Review, 79, 655
Bloom, N., Floetotto, M., Jaimovich, N., 2009. Real uncertain business cycles. Working Paper, Stanford University.
Bollerslev, 2009, Expected stock returns and variance risk premia, Review of Financial Studies, 22, 4463, 10.1093/rfs/hhp008
Borio, C., Lowe, P., 2002. Asset prices, financial and monetary stability: Exploring the nexus. BIS Working Paper no. 114.
Borio, C., Zhu, H., 2008. Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? BIS Working Paper no. 268.
Breeden, 1978, Prices of state-contingent claims implicit in option prices, Journal of Business, 51, 621, 10.1086/296025
Britten-Jones, 2000, Option prices, implied price processes, and stochastic volatility, Journal of Finance, 55, 839, 10.1111/0022-1082.00228
Campbell, 1999, By force of habit: a consumption based explanation of aggregate stock market behavior, Journal of Political Economy, 107, 205, 10.1086/250059
Chicago Board Options Exchange, 2004. VIX CBOE Volatility Index. White Paper.
Christiano, 1996, The effects of monetary policy shocks: evidence from the flow of funds, The Review of Economics and Statistics, 78, 16, 10.2307/2109845
Christiano, 1999, Monetary policy shocks: what have we learned and to what end?, vol. 1A, 65
Coudert, 2008, Does risk aversion drive financial crises? Testing the predictive power of empirical indicators, Journal of Empirical Finance, 15, 167, 10.1016/j.jempfin.2007.06.001
D'Amico, 2011, The Fed and the stock market: an identification based on intraday futures data, Journal of Business and Economic Statistics, 29, 126, 10.1198/jbes.2009.08019
Drechsler, I., Uncertainty, time-varying fear, and asset prices. Journal of Finance. http://dx.doi.org/10.1111/jofi.12068
Drechsler, 2011, What's vol got to do with it, Review of Financial Studies, 24, 1, 10.1093/rfs/hhq085
Ehrmann, M., Fratzscher, M., 2004. Exchange rates and fundamentals: New evidence from real-time data. ECB Working Paper no. 365.
Faust, 2004, Identifying VARs based on high frequency futures data, Journal of Monetary Economics, 51, 1107, 10.1016/j.jmoneco.2003.11.001
Gilchrist, 2002, Monetary policy and asset prices, Journal of Monetary Economics, 49, 75, 10.1016/S0304-3932(01)00093-9
Gilchrist, 2012, Credit spreads and business cycle fluctuations, American Economic Review, 102, 1692, 10.1257/aer.102.4.1692
Greenspan, A., 2002. Economic Volatility. Speech before a Symposium Sponsored by the Federal Reserve Bank of Kansas City, Jackson Hole, Wyoming, August 30.
Gürkaynak, 2005, Do actions speak louder than words? The response of asset prices to monetary policy actions and statements, International Journal of Central Banking, 1, 55
Ioannidou, V.P., Ongena, S., Peydró, J.-L., 2009. Monetary policy, risk-taking and pricing: Evidence from a quasi natural experiment. European Banking Center Discussion Paper no. 2009-04S.
Jiménez, G., Ongena, S., Peydró, J.-L., Saurina, J., Hazardous times for monetary policy: what do twenty-three million bank loans say about the impact of monetary policy on credit risk-taking? Econometrica, in press
King, R., Watson, M.W., 1992. Testing long run neutrality. NBER Working Papers no. 4156, National Bureau of Economic Research.
Kuttner, 2001, Monetary policy surprises and interest rates: evidence from the Fed funds futures market, Journal of Monetary Economics, 47, 523, 10.1016/S0304-3932(01)00055-1
Maddaloni, 2011, Bank risk-taking, securitization, supervision, and low interest rates: evidence from the Euro area and U.S. lending standards, Review of Financial Studies, 24, 2121, 10.1093/rfs/hhr015
Newey, 1987, A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix, Econometrica, 55, 703, 10.2307/1913610
Popescu, 2009, Uncertainty, risk-taking and the business cycle in Germany, CESifo Economic Studies, 56, 596, 10.1093/cesifo/ifq013
Rajan, 2006, Has finance made the world riskier?, European Financial Management, 12, 499, 10.1111/j.1468-036X.2006.00330.x
Rigobon, 2003, Measuring the reaction of monetary policy to the stock market, Quarterly Journal of Economics, 118, 639, 10.1162/003355303321675473
Rigobon, 2004, The impact of monetary policy on asset prices, Journal of Monetary Economics, 51, 1553, 10.1016/j.jmoneco.2004.02.004
Rubio-Ramírez, 2010, Structural vector autoregressions: theory of identification and algorithms for inference, Review of Economic Studies, 77, 665, 10.1111/j.1467-937X.2009.00578.x
Rudebusch, 2009
Rudebusch, 2008, A macro-finance model of the term structure, monetary policy and the economy, Economic Journal, 118, 906, 10.1111/j.1468-0297.2008.02155.x
Sims, 1998, Comment on Glenn Rudebusch's “Do measures of monetary policy in a VAR make sense.”, International Economic Review, 39, 933, 10.2307/2527345
Taylor, J. B., 1993. Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy, vol. 39, pp. 195–214.
Thorbecke, 1997, On stock market returns and monetary policy, Journal of Finance, 52, 635, 10.1111/j.1540-6261.1997.tb04816.x
Whaley, 2000, The investor fear gauge, Journal of Portfolio Management, Spring, 12, 10.3905/jpm.2000.319728