On The Interaction Between Asset Prices Inflation And Interest Rates
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Issues In Monetary Policy
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Author : Kent Matthews
language : en
Publisher: John Wiley & Sons
Release Date : 2006-02-22
Issues In Monetary Policy written by Kent Matthews and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-02-22 with Business & Economics categories.
Since the Bank of England was made independent in 1997, the conduct of monetary policy has been relatively uncontroversial. The debates between Keyneisans, monetarists and supporters of fixed exchange rate mechanisms now appear very distant. Despite the apparent consensus there are many issues related to the conduct of monetary policy that are not yet settled and which will soon come to the fore. Is the current form of independence for the Bank of England appropriate? Should a central bank target inflation or the prices level? How does a central bank deal with asset price deflation? Should more account be taken of monetary aggregates? Should central banks target asset prices? What is the relationship between the money supply and asset price inflation? How should central banks ensure financial stability? The IEA was at the forefront of changing the parameters of the debate surrounding monetary policy in the 1970s and 1980s. This text, brings together some of the leading authors in the field, including the current Governor of the Bank of England, to discuss current issues in monetary policy and the relationship between monetary policy and financial markets. It is appropriate for undergraduates and postgraduates in economics and finance as well as for practitioners in financial markets.
On Interest Rates And Asset Prices In Europe
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Author : M. M. G. Fase
language : en
Publisher: Edward Elgar Publishing
Release Date : 1999
On Interest Rates And Asset Prices In Europe written by M. M. G. Fase and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Business & Economics categories.
Presenting 25 years of empirical research on interest rates and a variety of asset prices, this text aims to deepen understanding of asset price inflation. It includes an analysis of the measurement of interest rates, with case studies from The Netherlands, Belgium and EMU, and emphasizes statistical measurement and the attempt to understand interest rate behaviour through statistical estimation. The text also includes an examination of historical interest rate development in the long run, both theoretically and empirically. The behaviour of bonds, stocks, and investment in art are analyzed, as well as the factors indispensable for a monetary strategy designed to target inflation.
On The Interaction Between Asset Prices Inflation And Interest Rates
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Author : Alexandros Kontonikas
language : en
Publisher:
Release Date : 2004
On The Interaction Between Asset Prices Inflation And Interest Rates written by Alexandros Kontonikas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Money Interest Rates And Inflation
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Author : Frederic S. Mishkin
language : en
Publisher: Edward Elgar Publishing
Release Date : 1993
Money Interest Rates And Inflation written by Frederic S. Mishkin and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Business & Economics categories.
Frederick Mishkin's work has been dedicated to understanding the relationship between money, interest rates and inflation. The 15 essays in this collection - unabashedly empirical and rigorous - include much of Professor Mishkin's most highly regarded work. Money, Interst Rates and Inflation offers a coherent and informative assessment of how monetary policy affects the economy. In addition, the essays in this collection illustrate how rational expectations econometrics can be used to answer basic questions in the monetary-macroeconomics and finance areas.
Essays On Money Inflation And Asset Prices
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Author : Timothy Gordon Jones
language : en
Publisher:
Release Date : 2008
Essays On Money Inflation And Asset Prices written by Timothy Gordon Jones and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Interest rates categories.
This dissertation explores different aspects of the interaction between money and asset prices. The first chapter investigates how a firm's financing affects its decision to update prices: does linking interest rates to inflation alter the firm's optimal price updating strategy? Building on the state dependent pricing models of Willis (2000) and the price indexing literature of Azariadis and Cooper (1985) and Freeman and Tabellini (1998), this model investigates the financing and price updating decisions of a representative firm facing state-dependent pricing and a cash-in-advance constraint. The model shows the circumstances under which a firm's financing decision affects its price updating decision, and how the likelihood of changing prices affects the amount borrowed. It also illustrates how the use of nominal (as opposed to inflation-linked) interest rates leads to a lower frequency of price updating and higher profits overall for a firm facing menu costs and sticky prices. The second chapter extends the bank run literature to present a theoretical mechanism that explains how money supply can affect asset prices and asset price volatility. In a two period asset allocation model, agents faced with uncertainty cannot perfectly allocate assets ex-ante. After income shocks are revealed, they will be willing to pay a premium over the future fundamental value for an asset in order to consume in the current period. The size of this premium is directly affected by the supply of money relative to the asset. This paper explores the relationship between economy-wide monetary liquidity on the mean and variance of equity returns and in relation to market liquidity. At an index level, I test the impact of money-based liquidity measures against existing measures of market liquidity. I proceed to do a stock level analysis of liquidity following Pastor and Stambaugh (2003). The results indicated that measures of aggregate money supply are able to match several of the observed relationships in stock return data much better than market liquidity. At an individual stock level, monetary liquidity is a priced factor for individual stocks. Taken together, these papers support the idea that changes in the money supply have consequences for the real economy.
Asset Prices And Monetary Policy
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Author : John Y. Campbell
language : en
Publisher: University of Chicago Press
Release Date : 2008-11-15
Asset Prices And Monetary Policy written by John Y. Campbell and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-11-15 with Business & Economics categories.
Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.
Inflation Illusion Credit And Asset Pricing
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Author : Monika Piazzesi
language : en
Publisher:
Release Date : 2007
Inflation Illusion Credit And Asset Pricing written by Monika Piazzesi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Assets (Accounting) categories.
This paper considers asset pricing in a general equilibrium model in which some, but not all, agents suffer from inflation illusion. Illusionary investors mistake changes in nominal interest rates for changes in real rates, while smart investors understand the Fisher equation. The presence of smart investors ensures that the equilibrium nominal interest rate moves with expected inflation. The model also predicts a nonmonotonic relationship between the price-to-rent ratio on housing and nominal interest rates -- housing booms occur both when the nominal rate is especially low and when it is especially high. In either situation, disagreement about real interest rates between smart and illusionary investors stimulates borrowing and lending and drives up the price of collateral. The resulting housing boom is stronger if credit markets are more developed. We document that many countries experienced a housing boom in the high-inflation 1970s and a second, stronger, boom in the low-inflation 2000s.
Exchange Rates Interest Rates And Commodity Prices
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Author : Meher Manzur
language : en
Publisher: Edward Elgar Publishing
Release Date : 2002
Exchange Rates Interest Rates And Commodity Prices written by Meher Manzur and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Foreign exchange rates categories.
This book explores the key issues relating to links between exchange rate instability and domestic inflation, including real exchange rate and interest rate manifestations, and the co-variability of exchange rates and commodity prices. The common theme throughout is the behaviour of asset prices and interest rates in international markets. A number of interrelated questions regarding the interactions of exchange rates, interest rates and commodity prices are posed: Why is purchasing power parity invariably controversial? Despite overwhelming evidence that sterilised central bank interventions are impotent, why do major industrialised countries (such as the G-7) continue to look for accords to stem exchange rate volatility? Why are the currencies of resource-based economies depreciating when the commodity prices are holding up? Has the link between exchange rates and commodity prices collapsed? In a world of increasing globalisation, why are interest rate movements so poorly correlated across countries? New insights to these and other fundamental questions in international finance are provided by way of empirical analyses. Whilst there remains much that is little understood, the conclusions concerning the validity of the theory of purchasing power parity are becoming more and more reliable. This book is a must-read for graduate students, researchers and lecturers interested in finance, economics or business. Exchange Rates, Interest Rates and Commodity Prices will also appeal to policymakers.
Does Expansionary Monetary Policy Cause Asset Price Booms Some Historical And Empirical Evidence
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Author : Michael D. Bordo
language : en
Publisher:
Release Date : 2013
Does Expansionary Monetary Policy Cause Asset Price Booms Some Historical And Empirical Evidence written by Michael D. Bordo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Economics categories.
In this paper we investigate the relationship between loose monetary policy, low inflation, and easy bank credit with asset price booms. Using a panel of up to 18 OECD countries from 1920 to 2011 we estimate the impact that loose monetary policy, low inflation, and bank credit has on house, stock and commodity prices. We review the historical narratives on asset price booms and use a deterministic procedure to identify asset price booms for the countries in our sample. We show that "loose" monetary policy - that is having an interest rate below the target rate or having a growth rate of money above the target growth rate - does positively impact asset prices and this correspondence is heightened during periods when asset prices grew quickly and then subsequently suffered a significant correction. This result was robust across multiple asset prices and different specifications and was present even when we controlled for other alternative explanations such as low inflation or "easy" credit.
Effects Of Inflation And Interest Rates On Land Pricing
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Author : Jacob Harmon
language : en
Publisher:
Release Date : 2011
Effects Of Inflation And Interest Rates On Land Pricing written by Jacob Harmon and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Land is typically the highest value category of assets that farmers and ranchers have on their balance sheets. The value of land is affected by inflation. Understanding the effect of inflation on the land market helps farmers make better land pricing decisions and better asset management decisions. Using Treasury Bills and Farm Credit Bonds, future inflation expectations and agricultural risk premiums can be estimated. With the recent government stimulation of the economy and the resulting large amount of money infused into the economy, inflation is becoming an increasing concern with investors. Economic theory suggests that this infusion of money will affect future interest rates and ultimately the value of land given the inverse relationship between interest rates and the value of land. These lingering affects occur with the rise and fall of yield rates for Treasury Bills and Farm Credit bonds. Farm Credit bonds are sold at a premium over Treasury Bills. This premium indicates the market-assessed additional risk that farmers have to pay for their operating loans and other mortgages. Even though land values are affected by inflation, other things affect land values such as recreational use, development, and natural resource exploration. A combination of inflation and these other affects can greatly affect land prices.