Understanding asset prices: an overview
This paper reviews analytical work carried out by central banks that participated at the Autumn Meeting of Central Bank Economists on "Understanding asset prices: determinants and policy implications", which the BIS hosted on 30-31 October 2006. The paper first discusses some general properties of asset prices, focusing on volatilities and co-movements. It then reviews studies that look at determinants of asset prices and that attempt to estimate a fair value of assets. The next part of the paper focuses on research that aims at measuring the impact of changes in asset wealth on the real economy. It then goes on to discuss how central banks use information from asset prices to develop indicators of market expectations that are useful for monetary policy purposes. Finally, the paper reviews central banks' views on whether monetary policy should react in a direct way to asset price developments.
|This book is provided by Bank for International Settlements in its series BIS Papers with number 34 and published in 2007.|
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- Hans Dewachter & Marco Lyrio, 2003. "Macro Factors and the Term Structure of Interest Rates," International Economics Working Papers Series ces0304, Katholieke Universiteit Leuven, Centrum voor Economische Studiën, International Economics.
- Hans Dewachter & Marco Lyrio, 2003. "Macro Factors and the Term Structure of Interest Rates," Working Papers Department of Economics ces0304, KU Leuven, Faculty of Economics and Business, Department of Economics.
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"Boom-Busts in Asset Prices, Economic Instability and Monetary Policy,"
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3398, C.E.P.R. Discussion Papers.
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