Download or read book Does Monetary Policy Affect Stock Prices and Treasury Yields An Error Correction and Simultaneous Equation Approach written by J. Benson Durham and published by . This book was released on 2003 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Effects of Monetary Policy in the US The Vector Error Correction Model VECM compared to the Structural Autoregressive Model SVAR written by Colin Tissen and published by GRIN Verlag. This book was released on 2017-10-13 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research Paper (undergraduate) from the year 2017 in the subject Mathematics - Applied Mathematics, grade: 8.5, , course: Empirical Econometrics II, language: English, abstract: This paper investigates the effects of monetary policy in the US by comparing a system of equations – estimated from a VECM (vector error correction model) – to a SVAR (structural autoregressive) model. Vector error-correction models are used when there exists long-run equilibrium relation-ships between non-stationary data integrated of the same order. Those models imply that the stationary transformations of the variables adapt to disequilibria between the non-stationary variables in the model. In contrast, SVAR models focus on the contemporaneous interdependence between the variables. The authors apply these two methods on a model with a contractionary monetary policy which affects the short-term interest rate. Following Sims and Zha the authors use a shock to the Treasury Bill rate instead of a shock to the Federal Funds rate. The paper continues as follows. First, a description of the data is given. Secondly, it presents a system of equations built from the LSE approach, aiming at macroeconomic simulations. Thirdly, it compares results obtained from the previous part to those obtained using SVAR impulse response functions (IRFs) identified with sign restrictions. The paper focuses on the impact of the simulated policies or monetary shocks on GDP and its growth rate.
Download or read book Money Stock Prices and Central Banks written by Marcel Wiedmann and published by Springer Science & Business Media. This book was released on 2011-05-05 with total page 489 pages. Available in PDF, EPUB and Kindle. Book excerpt: This contribution applies the cointegrated vector autoregressive (CVAR) model to analyze the long-run behavior and short-run dynamics of stock markets across five developed and three emerging economies. The main objective is to check whether liquidity conditions play an important role in stock market developments. As an innovation, liquidity conditions enter the analysis from three angles: in the form of a broad monetary aggregate, the interbank overnight rate and net capital flows, which represent the share of global liquidity that arrives in the respective country. A second aim is to understand whether central banks are able to influence the stock market.
Download or read book Financial Market Bubbles and Crashes Second Edition written by Harold L. Vogel and published by Springer. This book was released on 2018-08-16 with total page 477 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Download or read book The Relationships Among Monetry Policy Stock Prices and the Exchange Rate written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, we are interested in the relationships among monetary policy, stock prices and exchange rates. This thesis argues that on the one hand, monetary policy affects both stock prices and the exchange rate, on the other hand, stock prices and exchange rates affect monetary policy as well as each other. Therefore, the relationships between these variables are reciprocal, and it is highly probable that a shock to one variable will affect the other variables. This paper takes into account the endogenous relationship among the above mentioned variables, the conditional variances and conditional cross covariances among these variables . We examine the simultaneous relationship between monetary policy and stock prices, and between monetary policy and the exchange rate by employing the Identification Through Heteroscedasticity (ITH) method. We also examine the dynamic relationships among monetary policy and the financial variables(stock prices and the exchange rate) and the dynamic relationships among the volatilities of shocks to monetary policy and financial variables using the Vector Error Correction Model (VECM), Multivariate VAR (p), Multivariate-VARX (p) and Multivariate VAR (p)-GARCH (q, p) models. Our findings indicate that monetary policy reacts to the fluctuations in the stock market and the exchange rate and that monetary policy has significant effects on the stock and exchange rate. We also find that there are strong spillover effects of shocks and volatilities across interest rates, stock prices and the exchange rate.
Download or read book Financial Market Bubbles and Crashes written by Harold L. Vogel and published by Springer Nature. This book was released on 2021-12-17 with total page 619 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and are defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.
Download or read book From the Horse s Mouth written by Gene Amromin and published by . This book was released on 2005 with total page 78 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Density Selection and Combination Under Model Ambiguity written by Stefania D'Amico and published by . This book was released on 2005 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper proposes a method for predicting the probability density of a variable of interest in the presence of model ambiguity. In the first step, each candidate parametric model is estimated minimizing the Kullback-Leibler 'distance' (KLD) from a reference nonparametric density estimate. Given that the KLD represents a measure of uncertainty about the true structure, in the second step, its information content is used to rank and combine the estimated models.
Download or read book Risk Uncertainty and Asset Prices written by Geert Bekaert and published by . This book was released on 2006 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt: We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily driven by risk, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns.
Download or read book Central Bank Talk written by Donald Lewis Kohn and published by . This book was released on 2003 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Arbitrage free Three factor Term Structure Model and the Recent Behavior of Long term Yields and Distant horizon Forward Rates written by Don H. Kim and published by . This book was released on 2005 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper reviews a simple three-factor arbitrage-free term structure model estimated by Federal Reserve Board staff and reports results obtained from fitting this model to U.S. Treasury yields since 1990. The model ascribes a large portion of the decline in long-term yields and distant-horizon forward rates since the middle of 2004 to a fall in term premiums. A variant of the model that incorporates inflation data indicates that about two-thirds of the decline in nominal term premiums owes to a fall in real term premiums, but estimated compensation for inflation risk has diminished as well.
Download or read book Fresh Start Or Head Start written by Song Han and published by . This book was released on 2003 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Yesterday s Bad Times are Today s Good Old Times written by Alan Kackmeister and published by . This book was released on 2005 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This paper compares nominal price rigidity in retail stores during two 28-month periods: 1889- 1891 and 1997-1999. The 1889-1891 microdata price quotes show: 1. a lower frequency of price changes; 2. a smaller average magnitude of price changes; 3. fewer "small" price changes; and, 4. fewer temporary price reductions. These differences are consistent with the 1889-1891 period having a higher cost of changing prices resulting in less adjustment to transitory price shocks. Changes in the retailing environment that may have led to a higher cost of changing prices in 1889-1891 are discussed."
Download or read book Reading the Minds of Investors written by James A. Clouse and published by . This book was released on 2004 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: The changes in expected future short rates are then further decomposed into portions attributable to changes in the expected future paths for inflation, the unemployment rate, and GDP growth and also to a fourth factor interpreted as changes in the "stance of monetary policy." The model results indicate that changes in long-term interest rates, on average, have been about equal parts changes in term premia and changes in expected future short rates. Changes in expected future short rates seem to be driven largely by changes in the stance of monetary policy and in the outlook for inflation while the estimated influence of changes in the outlook for the unemployment rate and GDP growth is more muted"--Abstract.
Download or read book Cash Balance Pension Plan Conversions and the New Economy written by Julia Lynn Coronado and published by . This book was released on 2003 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Forecasting Exogenous Fiscal Variables in the United States written by Darrel Cohen and published by . This book was released on 2003 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Housing and the Business Cycle written by Morris A. Davis and published by . This book was released on 2004 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
