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.
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- Hans Dewachter & Marco Lyrio, 2002.
"Macro Factors and the Term Structure of Interest Rates,"
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- Dewachter, Hans & Lyrio, Marco, 2006. "Macro Factors and the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(1), pages 119-140, February.
- Dewachter, H.D.R. & Lyrio, M., 2003. "Macro factors and the Term Structure of Interest Rates," ERIM Report Series Research in Management ERS-2003-037-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- 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.
- 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.
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"Monetary Policy and Asset Prices; Does "Benign Neglect" Make Sense?,"
IMF Working Papers
02/225, International Monetary Fund.
- Bordo, Michael D & Jeanne, Olivier, 2002. "Monetary Policy and Asset Prices: Does 'Benign Neglect' Make Sense?," International Finance, Wiley Blackwell, vol. 5(2), pages 139-64, Summer.
- Philip Lowe & Claudio Borio, 2002. "Asset prices, financial and monetary stability: exploring the nexus," BIS Working Papers 114, Bank for International Settlements.
- Michael D. Bordo & Olivier Jeanne, 2002.
"Boom-Busts in Asset Prices, Economic Instability, and Monetary Policy,"
NBER Working Papers
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- Bordo, Michael D & Jeanne, Olivier, 2002. "Boom-Busts in Asset Prices, Economic Instability and Monetary Policy," CEPR Discussion Papers 3398, C.E.P.R. Discussion Papers.
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