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Optimal Macroprudential Policy and Asset Price Bubbles

Optimal Macroprudential Policy and Asset Price Bubbles »

Article

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...

Financial Integration

Financial Integration »

Article

Source: Financial Integration : A New Methodology and An Illustration

Volume/Issue: 2004/110

Series: IMF Working Papers

Author(s): Andrew Rose , and Robert Flood

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2004

ISBN: 9781451853377

Keywords: risk-free, rate, intertemporal, asset, market, expected, price, stock, conditional, nasdaq

This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free rates across ass...

The Equilibrium Distributions of Value for Risky Stocks and Bonds

The Equilibrium Distributions of Value for Risky Stocks and Bonds »

Article

Source: The Equilibrium Distributions of Value for Risky Stocks and Bonds

Volume/Issue: 2001/39

Series: IMF Working Papers

Author(s): Ronald Johannes

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2001

ISBN: 9781451845839

Keywords: Capital assets, distribution of expected price, market fundamentals, investor sentiment, probability, bonds, probability distribution, equations,

Within a unified theory for stocks and corporate bonds, based on dynamic optimization by investors, this paper derives analytical expressions for the momentary distributions of expected price, respectively known to...

Cyclicality of Revenue and Structural Balances in South Africa

Cyclicality of Revenue and Structural Balances in South Africa »

Article

Source: Cyclicality of Revenue and Structural Balances in South Africa

Volume/Issue: 2010/216

Series: IMF Working Papers

Author(s): Burcu Aydin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

ISBN: 9781455208814

Keywords: structural balance, credit growth, commodity and asset prices, tax revenue, tax base, tax policy, budget balance, Multiple or Simultaneous Equation Models: Time-Series Models, Econometric Modeling: General,

This paper applies a disaggregated method for the calculation of the cyclical component of the budget balance for South Africa with an emphasis on the effect of commodity and asset prices, and credit cycle. Results...

Peaks, Spikes, and Barrels

Peaks, Spikes, and Barrels »

Article

Source: Peaks, Spikes, and Barrels : Modeling Sharp Movements in Oil Prices

Volume/Issue: 2010/186

Series: IMF Working Papers

Author(s): Malika Pant , Martin Mühleisen , and Alun Thomas

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

ISBN: 9781455202201

Keywords: oil price, consumption demand, asset demand, speculation, oil prices, opec, oil imports, oil supply, crude oil, Prices

Global oil markets were roiled by sharp price swings in 2008, and economists are still divided over the reasons for the unusual volatility. Those emphasizing fundamentals point to inelastic supply and demand curves...

Optimal Macroprudential Policy and Asset Price Bubbles

Optimal Macroprudential Policy and Asset Price Bubbles »

Journal Issue

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

DOI: http://dx.doi.org/10.5089/9781513511078.001

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...

Financial Integration : A New Methodology and An Illustration

Financial Integration : A New Methodology and An Illustration »

Journal Issue

Volume/Issue: 2004/110

Series: IMF Working Papers

Author(s): Andrew Rose , and Robert Flood

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2004

DOI: http://dx.doi.org/10.5089/9781451853377.001

ISBN: 9781451853377

Keywords: risk-free, rate, intertemporal, asset, market, expected, price, stock, conditional, nasdaq

This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free rates across ass...

The Equilibrium Distributions of Value for Risky Stocks and Bonds

The Equilibrium Distributions of Value for Risky Stocks and Bonds »

Journal Issue

Volume/Issue: 2001/39

Series: IMF Working Papers

Author(s): Ronald Johannes

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2001

DOI: http://dx.doi.org/10.5089/9781451845839.001

ISBN: 9781451845839

Keywords: Capital assets, distribution of expected price, market fundamentals, investor sentiment, probability, bonds, probability distribution, equations,

Within a unified theory for stocks and corporate bonds, based on dynamic optimization by investors, this paper derives analytical expressions for the momentary distributions of expected price, respectively known to...

Cyclicality of Revenue and Structural Balances in South Africa

Cyclicality of Revenue and Structural Balances in South Africa »

Journal Issue

Volume/Issue: 2010/216

Series: IMF Working Papers

Author(s): Burcu Aydin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

DOI: http://dx.doi.org/10.5089/9781455208814.001

ISBN: 9781455208814

Keywords: structural balance, credit growth, commodity and asset prices, tax revenue, tax base, tax policy, budget balance, Multiple or Simultaneous Equation Models: Time-Series Models, Econometric Modeling: General,

This paper applies a disaggregated method for the calculation of the cyclical component of the budget balance for South Africa with an emphasis on the effect of commodity and asset prices, and credit cycle. Results...

Peaks, Spikes, and Barrels : Modeling Sharp Movements in Oil Prices

Peaks, Spikes, and Barrels : Modeling Sharp Movements in Oil Prices »

Journal Issue

Volume/Issue: 2010/186

Series: IMF Working Papers

Author(s): Malika Pant , Martin Mühleisen , and Alun Thomas

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

DOI: http://dx.doi.org/10.5089/9781455202201.001

ISBN: 9781455202201

Keywords: oil price, consumption demand, asset demand, speculation, oil prices, opec, oil imports, oil supply, crude oil, Prices

Global oil markets were roiled by sharp price swings in 2008, and economists are still divided over the reasons for the unusual volatility. Those emphasizing fundamentals point to inelastic supply and demand curves...