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Optimal Macroprudential Policy and Asset Price Bubbles

Optimal Macroprudential Policy and Asset Price Bubbles »

Source: Optimal Macroprudential Policy and Asset Price Bubbles

Volume/Issue: 2019/184

Series: IMF Working Papers

Author(s): Nina Biljanovska , Lucyna Gornicka , and Alexandros Vardoulakis

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 August 2019

ISBN: 9781513511078

Keywords: Economic conditions, Financial crises, Demand, Economic stabilization, Price indexes, Collateral constraints, rational bubbles, macroprudential regulation, optimal policy, WP

An asset bubble relaxes collateral constraints and increases borrowing by credit-constrained agents. At the same time, as the bubble deflates when constraints start binding, it amplifies downturns. We show analytic...

Consequences of Asset Shortages in Emerging Markets

Consequences of Asset Shortages in Emerging Markets »

Source: Consequences of Asset Shortages in Emerging Markets

Volume/Issue: 2012/102

Series: IMF Working Papers

Author(s): Patrick Imam , and Jiaqian Chen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2012

ISBN: 9781475502923

Keywords: Asset Shortage, Emerging Market, Crisis, Asset Bubble, financial assets, bond, bonds, asset bubbles, Money and Interest Rates: General, Financial Economics: General,

We assess econometrically the impact of asset shortages on economic growth, asset bubbles, the probability of a crisis, and the current account for a group of 41 Emerging markets for 1995-2008. The econometric esti...

Japan's Stagnant Nineties

Japan's Stagnant Nineties »

Source: Japan's Stagnant Nineties : A Vector Autoregression Retrospective

Volume/Issue: 1999/45

Series: IMF Working Papers

Author(s): Christel Rendu , and Ramana Ramaswamy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1999

ISBN: 9781451846454

Keywords: vector autoregression, shocks, bubble, private consumption, fiscal policies, fiscal stimulus, household wealth

This paper uses a vector autoregression (VAR) approach to identify the driving forces of the growth slowdown in Japan during the 1990s. Negative shocks to both residential and nonresidential investment are shown to...

The Rise in Comovement Across National Stock Markets

The Rise in Comovement Across National Stock Markets »

Source: The Rise in Comovement Across National Stock Markets : Market Integration or Global Bubble?

Volume/Issue: 2002/147

Series: IMF Working Papers

Author(s): Robin Brooks , and Marco Del Negro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2002

ISBN: 9781451856743

Keywords: Diversification, risk, country effects, stock market, stock markets, equity markets, stock market bubble,

The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying...

Asset Price Bubbles

Asset Price Bubbles »

Source: Asset Price Bubbles : A Selective Survey

Volume/Issue: 2013/45

Series: IMF Working Papers

Author(s): Anna Scherbina

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 February 2013

ISBN: 9781475515299

Keywords: Bubbles, Limits to Arbitrage, stock market, discount rate, mortgage, cash flows, financial economics, General,

Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with fric...

The Housing Cycle in Emerging Middle Eastern Economies and its Macroeconomic Policy Implications

The Housing Cycle in Emerging Middle Eastern Economies and its Macroeconomic Policy Implications »

Source: The Housing Cycle in Emerging Middle Eastern Economies and its Macroeconomic Policy Implications

Volume/Issue: 2009/288

Series: IMF Working Papers

Author(s): Samya Beidas-Strom , Weicheng Lian , and Ashwaq Maseeh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2009

ISBN: 9781451874334

Keywords: Housing finance, mortgage market, housing and rental price dynamics and bubbles, panel data analysis, mortgage, real estate, mortgage markets,

This paper examines housing finance and housing price dynamics in selected emerging Middle Eastern economies over the past two decades. It finds that (i) mortgage markets have experienced rapid development, which h...

Lending Booms, Real Estate Bubbles and the Asian Crisis

Lending Booms, Real Estate Bubbles and the Asian Crisis »

Source: Lending Booms, Real Estate Bubbles and the Asian Crisis

Volume/Issue: 2002/20

Series: IMF Working Papers

Author(s): Abdelhak Senhadji , and Charles Collyns

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2002

ISBN: 9781451843859

Keywords: Lending Booms, Real Estate Bubbles, Asia Crisis, real estate, stock market, real estate prices, moral hazard, Asian Crisis,

This paper examines the link between lending booms, asset price cycles, and financial crises across East Asian countries. Both theoretical arguments and empirical evidence support a strong relationship between bank...

Monetary Policy and Asset Prices

Monetary Policy and Asset Prices »

Source: Monetary Policy and Asset Prices : Does "Benign Neglect" Make Sense?

Volume/Issue: 2002/225

Series: IMF Working Papers

Author(s): Olivier Jeanne , and Michael Bordo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2002

ISBN: 9781451875362

Keywords: credit crunch, Taylor rule, bubbles, new economy, inflation, monetary authorities, monetary fund, Economic History: Financial Markets and Institutions: General, International, or Comparative,

The link between monetary policy and asset price movements has been of perennial interest to policymakers. In this paper, we consider the potential case for preemptive monetary restrictions when asset price reversa...

Intangible Capital, Relative Asset Shortages and Bubbles

Intangible Capital, Relative Asset Shortages and Bubbles »

Source: Intangible Capital, Relative Asset Shortages and Bubbles

Volume/Issue: 2011/271

Series: IMF Working Papers

Author(s): Stefano Giglio , and Tiago Severo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463925260

Keywords: Rational Bubbles, Financial Constraints, Dynamic Inefficiency, entrepreneurs, entrepreneur, technological progress, Financial Markets and the Macroeconomy, Economic Growth and Aggregate Productivity: General,

We analyze an overlapping generations economy with financial frictions and accumulation of both physical and intangible capital. The key difference between them is that intangible capital cannot be used as collater...

Asset Booms and Structural Fiscal Positions

Asset Booms and Structural Fiscal Positions »

Source: Asset Booms and Structural Fiscal Positions : The Case of Ireland

Volume/Issue: 2010/57

Series: IMF Working Papers

Author(s): Daniel Kanda

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2010

ISBN: 9781451963687

Keywords: Asset Price Cycle, Property Bubble, expenditure, structural fiscal, fiscal balance, public finances, Estimation, Model Construction and Estimation, National Deficit Surplus, Econometric And Statistical Methods: - General,

Asset booms and sectoral changes can distort traditional estimates of structural fiscal revenue, and could lead to serious fiscal policy errors. This paper extends the estimation of structural revenues to take acco...