asset prices

MACRO-FINANCIAL LINKAGES: EVIDENCE FROM COUNTRYSPECIFIC VARS

JEL codes: 
A14
Version Date: 
Mar 2012
Author/s: 
Abstract: 

This paper estimates the contribution of financial shocks to fluctuations in the
real economy by augmenting the standard macroeconomic vector
autoregression (VAR) with five financial variables (real stock prices, real
house prices, term spread, loans-to-GDP ratio and loans-to-deposits ratio).

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Financial Innovation, the Discovery of Risk, and the U.S. Credit Crisis

JEL codes: 
D82, E44, F41
Version Date: 
Jul 2010
Author/s: 
Abstract: 

Uncertainty about the riskiness of a new financial environment was an important factor behind the U.S. credit crisis. We show that a boom-bust cycle in debt, asset prices and consumption characterizes the equilibrium dynamics of a model with a collateral constraint in which agents learn "by observation" the true riskiness of the new environment.

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