4,056 research outputs found
Monetary policy and asset prices: the investment channel
No full textThe role of monetary policy during periods of asset price volatility has been the subject of discussion among economists and policymakers at least since the 1920s and the Great Depression that followed. In this paper we survey the recent and rapidly growing literature on this topic, with an emphasis on the investment channel. We present a detailed discussion of the hypotheses that have been used to justify, or criticise, a response to asset prices. These hypotheses concern imperfections in financial markets, bubbles in asset prices, and the information on which firm managers and central banks base their decisions.Investment; Asset Prices; Inflation Targeting; Fundamentals.
Collateralizable Wealth, Asset Returns, and Systemic Risk: International Evidence
No full textI assess the role of wealth and systemic risk in explaining future asset returns. I show that the residuals of the trend relationship among asset wealth and human wealth predict both stock returns and government bond yields. Using data for a set of industrialized countries, I find that when the wealth-to-income ratio falls, investors demand a higher risk premium for stocks. As for government bond returns: (i) when they are seen as a component of asset wealth, investors react in the same manner; (ii) if, however, investors perceive the increase in government bond returns as signalling a future rise in taxes or a deterioration of public finances, then investors interpret the fall in the wealth-to-income ratio as a fall in future bond premia. Finally, I show that the occurrence of crises episodes (in particular, systemic crises) amplifies the transmission of housing market shocks to financial markets and the banking sector.stock returns; government bond yields; systemic crises.
Asset Prices and Monetary Policy in the Euro Area: a tentative model
No full textThe nature of the relationship between asset price movements and monetary policy is a currently hotly debated topic in macroeconomics. This paper examines empirically if monetary policy in the euro-area, since 1987, has been influenced by high valuations of the equity and housing markets. A first aim of the paper is to assess the performance of Taylor-type rules and to evaluate whether alternative specifications, including asset prices, can better track the interest rate setting in the euro area. The general finding is that a Taylor-like rule, with an interest rate smoothing term but without including asset prices, seems to be helpful in describing monetary policy in the euro-area in the last fifteen years. Next, in the context of a simple macro model, extended with asset prices, we derive the optimal reaction function for the monetary authorities. Through a simple calibration of that model, we find that asset prices inclusion in the monetary authority’s reaction function implies a larger volatility for the interest rate and destabilizes the economy. That is, apart from demand shocks, the rule incorporating asset prices implies more volatility than a simple rule. The effect of the disturbances dies out after some periods, but the observed volatility in the variables is greater in the extended model.European Central Bank, Asset Prices, Monetary Policy, Inflation Targeting
Equitity prices and Monetary Policy: An Overview with an Exploratory Model
No full textFinancial stability, with an emphasis on the relevance of asset prices stability to the stability of the overall economy, has become the sub ject of wide discussion among monetary authorities. Closely related to these issues are the concerns of central bankers with a bubble economy and its aftermath. After briefly surveying the potential links between financial markets and the real economy and its implications for the design of monetary policy, we illustrate some of the issues in this literature through the analysis of a simple linear rational expectations model. From this exercise we conclude that the benefits of reacting to asset prices depend crucially on the kind of shock hitting the economy. Ideally, reacting to the misalignment of equity prices is desirable. However, the presence of uncertainty in the estimation of the variables to which the policy rule responds may overturn this conclusion.Asset Prices, Inflation Targeting, Taylor Rule, Rational Expectations, Uncertainty.
La filosofía del derecho de Alexandre Kojève
No full textThis article is a presentation of Alexandre Kojève’s philosophy of law, exposed in his Esquisse d’une phénoménologie du droit (1981). Little attention has been paid to this work. So there is a gap that has to be filled with a critical reflection of its strengths. Among them, undoubtedly, we count the fact that Kojève is introducing a conception of international justice that casts a singular light on current debates about cosmopolitanism and globalization. According to this author, citizenship is the key element of the process of global expansion of the juridical sphere. In sum, Kojève’s philosophy is useful to reflect upon the contrast between the juridical and the political, which is the basis for all philosophy of law, in order to achieve world peace and international justice.Este artículo es una presentación de la filosofía del derecho de Alexandre Kojève contenida en su Esquisse d’une phénoménologie du droit (1981). La poca atención que dicha obra ha recibido es un vacío que debiera llenarse con una reflexión crítica de sus puntos fuertes. Entre ellos destaca una concepción de la justicia internacional que proyecta una luz muy singular sobre los actuales debates en torno a la globalización y el cosmopolitismo. A ojos de este autor, la ciudadanía es el elemento clave para aquilatar la expansión global de lo jurídico. En suma, Kojève aparece como un valioso referente en la labor de pensar la contraposición entre lo jurídico y lo político que está en la base de toda filosofía del derecho, con la aspiración al logro de la justicia internacional y la paz mundial en el horizonte
On the interaction between asset prices, inflation and interest rates
No full textThis thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.This thesis examines the interaction between monetary policy, inflation and asset prices. The role of asset prices in the transmission mechanism of monetary policy via
consumption wealth effects and investment balance sheet effects is receiving a growing degree of attention nowadays. Financial asset prices respond quickly to new information about monetary policy shifts, while the transmission of policy actions to output and inflation exhibits significant lags. Therefore, it is important to examine the feedback between interest rates and asset prices, since it will provide important insights for central bankers and investors alike. This area of the literature draws from both the monetary economics and financial economics disciplines and has become quite important given the new challenges for monetary policyrnakers in the context of fundamental changes in the underlying financial and macroeconomic framework. In this respect, we are interested in three main issues: first, to investigate the impact of the, nowadays prevalent, inflation targeting monetary policy regime on average inflation and the related inflationary uncertainty (Chapter 2); second, to establish quantitatively the existence of a transmission link from changes in the monetary policy stance to the stock market (Chapter 1); third, to examine the monetary policy reaction to asset price fluctuations (Chapters 3-5). Chapter 2 looks at the significant changes that occurred in the inflation process over the 1990s using British data. We show that post-targeting, inflation is lower, less persistent and less volatile. In chapter 3, we use data from the UK and the US and find that lower expected inflation allows monetary policy to relax by decreasing short-term interest rates. In chapter 1, international evidence suggests that decreases in interest rates exert a significantly positive impact on stock prices in the majority of the countries under investigation. Hence, the empirical evidence in chapters 1-3 is consistent with the scenario
underlying the so-called 'new environment' hypothesis. Inflation targets were successful in anchoring inflation expectations and subsequently boosting stock prices due to lower interest rates. In chapters 3-5 we focus on the role of asset prices for monetary policy formulation. We present empirical (chapter 3), theoretical (chapter 4), and simulation n(chapter 5) evidence indicating that monetary policy has responded and should, in principle, respond to asset price fluctuations. Particularly, in chapter 3 we augment the standard forward-looking Taylor rule with the change in asset prices (house prices, stock prices) and find that there is a positive and statistically significant weight attached to asset price fluctuations in both the UK and the US. The estimates suggest that policyrnakers in the US are more concerned about stock market developments, while in the UK about house market developments. In chapter 4, we utilise a structural backward-looking economic model, augmented for the effect of asset prices on aggregate demand, that allows us to derive the optimal interest rate rule via dynamic minimisation of the central bank's loss function. We show that under certain assumptions about the asset price evolution, monetary
policy should react to asset price misalignments from their fundamental value. Finally, in chapter 5 we simulate a forward-looking model to examine the impact on macroeconomic volatility from reacting, or not, to asset price misalignments. We find that a policy reaction that is aggressive with respect to inflation, and mild (but not zero) with respect to asset price misalignments is able to promote overall macroeconomic stability
Extension of the Forward Search Estimation Method: Robust Analysis of Energy Markets and Asset Pricing Models
No full textIn questa tesi abbiamo sviluppato un nuovo metodo di stima robusta ponderata i cui pesi sono basati sulla Forward Search (Atkinson e Riani, 2000). Attraverso un complesso schema di simulazioni è stato dimostrato che il nuovo stimatore possiede un’efficienza comparabile con quella dello stimatore OLS quando nei dati non sono presenti valori anomali, mentre si dimostra molto più robusto dello stimatore OLS quando i dati sono contaminati. Il metodo proposto nella tesi è stato applicato ai dati osservati sui mercati energetici e la sua performance è stata studiata in relazione ai modelli di asset pricing. I risultati indicano che i dati utilizzati in entrambi i contesti contengono numerosi valori anomali per cui le conclusioni a cui si perviene sulla base dei parametri stimati dovrebbero essere interpretate con cautela, in quanto i metodi di stima più comunemente utilizzati sono fortemente influenzati dalla presenza di valori anomali. L’applicazione dello stimatore ponderato mediante la forward search consente di ottenere stime più affidabili che descrivono in modo ottimale il processo generatore dei dati.In this thesis we develop a new weighted robust estimation method based on the Forward Search (Atkinson and Riani, 2000). Through extensive simulation experiments we show that the method is almost as efficient as OLS when data is free of outliers and is very robust when data are contaminated. The method is applied to energy market data as well as asset pricing models. Results indicate that data used in both contexts contain outliers and conclusions based on estimated parameters should be interpreted with care, as the most commonly used estimation methods are very sensitive to outliers. Through the application of the weighted forward search estimator more reliable coefficients are obtained which better describe the generating process of the observed data
Reconfiguração do consensualismo contratual: as ações tituladas nominativas e os limites à transmissão
No full textPartimos da evolução histórica do consensualismo contratual salientando os
principais carateres que, nos diversos momentos históricos, se foram evidenciando.
Numa segunda etapa exploramos os fundamentos dogmáticos do modelo de
transmissão contratual assumido pelo legislador e a sua viabilidade no sistema
jurídico global, em particular, no direito dos valores mobiliários. Constatamos a
crescente necessidade na prática mercantil e inevitabilidade no sistema jurídico
global da admissibilidade da existência de contratos de compra e venda de natureza
meramente obrigacional. Num terceiro momento desenvolvemos os principais
aspetos do regime jurídico aplicável às ações tituladas nominativas fora do mercado
regulado, em particular, os principais limites à transmissão, enquanto instrumentos/barreiras ao consensualismo contratual.We start from the historical evolution of contractual consensualism emphasizing the
main aspects that, in different historical moments, were showing up. In a second
stage we explore the dogmatic foundations of the transmission model contractual
assumed by the legislator and its viability in the global legal system, in particular, in
securities law. We note the growing need in commercial practice and inevitability in
the global legal system the admissibility of the existence of contracts of sale purely
obligatory. In the third stage we develop the main aspects of the legal regime
applicable to nominative titled actions outside the regulated market, in particular,
the main limits to the transmission, as instruments / barriers to contractual
consensualism
Asset prices, liquidity, and monetary policy in the search theory of money
No full textI present a search-based model in which money coexists with equity shares on a risky aggregate endowment. Agents can use equity as a means of payment, so shocks to equity prices translate into aggregate liquidity shocks that disrupt the mechanism of exchange. I characterize a family of optimal monetary policies, and find that the resulting equity prices are independent of monetary considerations. I also study monetary policies that target a constant, but nonzero, nominal interest rate, and find that to the extent that a financial asset is valued as a means to facilitate transactions, the asset’s real rate of return will include a liquidity return that depends on monetary considerations. Through this liquidity channel, persistent deviations from an optimal monetary policy can cause the real prices of assets that can be used to relax trading constraints to exhibit persistent deviations from their fundamental values.
“Era por Alexandre tod’esto demostrado”: ¿pruebas verídicas y pruebas engañosas en el Libro de Alexandre?
No full textEl Libro de Alexandre es un texto de s. XIII, que se escribió en la España medieval. En este escrito, el autor pretende demostrar que, en el Alexandre, algunas de las situaciones que se ponen a prueba son aceptadas, pero eso no significa que el macedonio gane la prueba. El articulo esta dividido en tres apartados. En el primero, el autor da cuenta de la historia textual de la obra y también dedica ciertas líneas al Estado de la cuestión del texto; mientras que, en la segunda parte, nos guía a conceptos etimológicos de los términos prueba, evidencia y demás. En el tercer apartado se centra en algunas pruebas expuestas en el Libro de Alexandre.The Libro de Alexandre is a literary work, written during the medieval Spain. In this paper, the author tries to demonstrate that, carefully reading the L.A, some of the situations that are set as proves are accepted, but it does not mean that Alexander can be a victor. This paper is divided in three sections: firstly, the author tells the textual history of the L.A and, then, tries to update the State of art: on the other hand, in the second part, the author offers meanings about terms as: prueba and evidencia. Finally, the author focuses on certain passages contained in the Libro de Alexandre that can be taken as failed proves
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