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Liquidity shocks and asset price boom/bust cycles

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Cited by:

  1. Ellington, Michael & Milas, Costas, 2021. "On the economic impact of aggregate liquidity shocks: The case of the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 737-752.
  2. Belke Ansgar, 2010. "Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise – Ein ARDL-Ansatz für Deutschland / Money, Credit and House Prices – An ARDL-Approach for Germany," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(2), pages 138-162, April.
  3. Hans-Eggert Reimers, 2012. "Early Warning Indicator Model of Financial Developments Using an Ordered Logit," Business and Economic Research, Macrothink Institute, vol. 2(2), pages 171-191, December.
  4. Punzi, Maria Teresa, 2016. "Financial cycles and co-movements between the real economy, finance and asset price dynamics in large-scale crises," FinMaP-Working Papers 61, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  5. Dieter Gerdesmeier & Andreja Lenarčič & Barbara Roffia, 2015. "An alternative method for identifying booms and busts in the Euro area housing market," Applied Economics, Taylor & Francis Journals, vol. 47(5), pages 499-518, January.
  6. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
  7. Guarda, Paolo & Jeanfils, Philippe, 2012. "Macro-Financial Linkages: evidence from country-specific VARs," CEPR Discussion Papers 8875, C.E.P.R. Discussion Papers.
  8. Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
  9. Dieter Gerdesmeier & Hans‐Eggert Reimers & Barbara Roffia, 2010. "Asset Price Misalignments and the Role of Money and Credit," International Finance, Wiley Blackwell, vol. 13(3), pages 377-407, December.
  10. Metrick, Andrew, 2019. "Ireland and Iceland in Crisis A: Increasing Risk in Ireland," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 1(3), pages 1-15, March.
  11. Punzi, Maria Teresa & Kauko, Karlo, 2015. "Testing the global banking glut hypothesis," Journal of Financial Stability, Elsevier, vol. 19(C), pages 128-151.
  12. Arghyrou, Michael G. & Kontonikas, Alexandros, 2012. "The EMU sovereign-debt crisis: Fundamentals, expectations and contagion," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 658-677.
  13. Alessi, Lucia & Detken, Carsten, 2011. "Quasi real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity," European Journal of Political Economy, Elsevier, vol. 27(3), pages 520-533, September.
  14. Sebastian Ankargren & Mårten Bjellerup & Hovick Shahnazarian, 2017. "The importance of the financial system for the real economy," Empirical Economics, Springer, vol. 53(4), pages 1553-1586, December.
  15. Ratti, Ronald A. & Vespignani, Joaquin L., 2013. "Crude oil prices and liquidity, the BRIC and G3 countries," Energy Economics, Elsevier, vol. 39(C), pages 28-38.
  16. repec:zbw:rwirep:0037 is not listed on IDEAS
  17. Ansgar Belke & Jonas Keil, 2018. "Fundamental Determinants of Real Estate Prices: A Panel Study of German Regions," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 24(1), pages 25-45, February.
  18. Vittorio Peretti & Rangan Gupta & Roula Inglesi-Lotz, 2012. "Do House Prices Impact Consumption and Interest Rate in South Africa? Evidence from a Time-Varying Vector Autoregressive Model," Working Papers 201216, University of Pretoria, Department of Economics.
  19. Hogan, Thomas L. & White, Lawrence H., 2021. "Hayek, Cassel, and the origins of the great depression," Journal of Economic Behavior & Organization, Elsevier, vol. 181(C), pages 241-251.
  20. Lucas Papademos, 2007. "The Effects of Globalization on Inflation, Liquidity and Monetary Policy," NBER Chapters, in: International Dimensions of Monetary Policy, pages 593-608, National Bureau of Economic Research, Inc.
  21. Hovick Shahnazarian & Martin Solberger & Erik Spånberg, 2017. "Forecasting and Analysing Corporate Tax Revenues in Sweden Using Bayesian VAR Models," Finnish Economic Papers, Finnish Economic Association, vol. 28(1), pages 50-74, Autumn.
  22. Lubos Komarek & Ivana Kubicová, 2011. "The Classification and Identification of Asset Price Bubbles," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(1), pages 34-48, January.
  23. Dreger, Christian & Wolters, Jürgen, 2011. "Liquidity and Asset Prices: How Strong Are the Linkages?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 1, pages 43-52.
  24. Lawrence Christiano & Roberto Motto & Massimo Rostagno, 2007. "Two Reasons Why Money and Credit May be Useful in Monetary Policy," NBER Working Papers 13502, National Bureau of Economic Research, Inc.
  25. Gabriel Jiménez & Steven Ongena & José‐Luis Peydró & Jesús Saurina, 2014. "Hazardous Times for Monetary Policy: What Do Twenty‐Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk‐Taking?," Econometrica, Econometric Society, vol. 82(2), pages 463-505, March.
  26. Belke, Ansgar & Bordon, Ingo G. & Volz, Ulrich, 2013. "Effects of Global Liquidity on Commodity and Food Prices," World Development, Elsevier, vol. 44(C), pages 31-43.
  27. Christiano, Lawrence & Motto, Roberto & Rostagno, Massimo & Ilut, Cosmin, 2008. "Monetary policy and stock market boom-bust cycles," Working Paper Series 955, European Central Bank.
  28. David Laidler & Robin Banerjee, 2008. "Unstable Foundations: Assets Markets, Inflation Targets, and Canada's 2011 Policy Choices," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 278, December.
  29. Xiao Weiguo & Zhao Yang & Yuan Wei, 2013. "Liquidity Characteristics, Implicit Information of Asset Prices and Monetary Policy in China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 56-66, December.
  30. Franz Seitz & Julian von Landesberger, 2014. "Household Money Holdings in the Euro Area: An Explorative Investigation," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(2), pages 83-115, November.
  31. Dreger, Christian & Wolters, Jürgen, 2016. "On the Empirical Relevance of the Lucas Critique: the Case of Euro Area Money Demand," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 43(1), pages 61-82.
  32. Lawrence J. Christiano & Cosmin Ilut & Roberto Motto & Massimo Rostagno, 2010. "Monetary policy and stock market booms," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 85-145.
  33. Marta Areosa. Waldyr Areosa, 2012. "Asset Prices and Monetary Policy – A sticky-dispersed information model," Working Papers Series 285, Central Bank of Brazil, Research Department.
  34. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
  35. Christian Dreger & Malte Rieth & David Pothier, 2015. "Is Globalization Reducing the Ability of Central Banks to Control Inflation? In-Depth Analysis," DIW Berlin: Politikberatung kompakt, DIW Berlin, German Institute for Economic Research, volume 106, number pbk106, January.
  36. Maciej Ryczkowski, 2020. "Money and credit during normal times and house price booms: evidence from time-frequency analysis," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 47(4), pages 835-861, November.
  37. Hirota, Shinichi, 2023. "Money supply, opinion dispersion, and stock prices," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 1286-1310.
  38. Belke, Ansgar & Orth, Walter & Setzer, Ralph, 2010. "Liquidity and the dynamic pattern of asset price adjustment: A global view," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1933-1945, August.
  39. Aidan Corcoran, 2010. "Global Funding Liquidity, Equity Returns and Crash Risk: Implications for Monetary Policy," The Institute for International Integration Studies Discussion Paper Series iiisdp318, IIIS, revised Feb 2010.
  40. Christian Dreger & Jürgen Wolters, 2011. "Money and Inflation in the Euro Area during the Financial Crisis," Discussion Papers of DIW Berlin 1131, DIW Berlin, German Institute for Economic Research.
  41. Zhang, Chengsi, 2013. "Money, housing, and inflation in China," Journal of Policy Modeling, Elsevier, vol. 35(1), pages 75-87.
  42. Michal Hlavacek & Lubos Komarek, 2009. "Housing Price Bubbles and their Determinants in the Czech Republic and its Regions," Working Papers 2009/12, Czech National Bank.
  43. Michael Berlemann & Julia Freese & Sven Knoth, 2012. "Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control," CESifo Working Paper Series 3962, CESifo.
  44. Mr. Alasdair Scott & Mr. Pau Rabanal & Mr. Prakash Kannan, 2009. "Macroeconomic Patterns and Monetary Policy in the Run-up to Asset Price Busts," IMF Working Papers 2009/252, International Monetary Fund.
  45. Hoffmann, Andreas, 2013. "Did the Fed and ECB react asymmetrically with respect to asset market developments?," Journal of Policy Modeling, Elsevier, vol. 35(2), pages 197-211.
  46. Christiane Baumeister & Eveline Durinck & Gert Peersman, 2008. "Liquidity, inflation and asset prices in a time-varying framework for the euro area," Working Paper Research 142, National Bank of Belgium.
  47. Gabriel Jiménez & Steven Ongena & José-Luis Peydró & Jesús Saurina, 2017. "“In the Short Run Blasé, In the Long Run Risqué”," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 18(3), pages 181-226, August.
  48. Lambertini, Luisa & Mendicino, Caterina & Punzi, Maria Teresa, 2013. "Expectation-driven cycles in the housing market: Evidence from survey data," Journal of Financial Stability, Elsevier, vol. 9(4), pages 518-529.
  49. Belke, Ansgar & Orth, Walter & Setzer, Ralph, 2008. "Liquidity and the dynamic pattern of price adjustment: a global view," Discussion Paper Series 1: Economic Studies 2008,25, Deutsche Bundesbank.
  50. Ansgar Belke, 2009. "Die Auswirkungen der Geldmenge und des Kreditvolumens auf die Immobilienpreise: ein ARDL-Ansatz für Deutschland," Discussion Papers of DIW Berlin 953, DIW Berlin, German Institute for Economic Research.
  51. Ansgar Belke & Walter Orth, 2007. "Global Excess Liquidity and House Prices - A VAR Analysis for OECD Countries," Ruhr Economic Papers 0037, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  52. Franz Seitz & Markus A. Schmidt, 2014. "Money In Modern Macro Models: A Review of the Arguments," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 156-174.
  53. Manganelli, Simone & Wolswijk, Guido, 2007. "Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?," Working Paper Series 745, European Central Bank.
  54. Vašíček, Bořek & Žigraiová, Diana & Hoeberichts, Marco & Vermeulen, Robert & Šmídková, Kateřina & de Haan, Jakob, 2017. "Leading indicators of financial stress: New evidence," Journal of Financial Stability, Elsevier, vol. 28(C), pages 240-257.
  55. Krustev, Georgi, 2019. "The natural rate of interest and the financial cycle," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 193-210.
  56. Marlon Fritz & Thomas Gries & Lukas Wiechers, 2022. "An Early Indicator for Anomalous Stock Market Performance," Working Papers CIE 153, Paderborn University, CIE Center for International Economics.
  57. Christian Dreger & Jürgen Wolters, 2009. "Money velocity and asset prices in the euro area," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(1), pages 51-63, February.
  58. Gertler, Pavel & Hofmann, Boris, 2018. "Monetary facts revisited," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 154-170.
  59. Ansgar Belke & Ingo Bordon & Torben Hendricks, 2010. "Global liquidity and commodity prices-a cointegrated VAR approach for OECD countries," Applied Financial Economics, Taylor & Francis Journals, vol. 20(3), pages 227-242.
  60. Bernardina Algieri & Thierry Bracke, 2011. "Patterns of Current Account Adjustment—Insights from Past Experience," Open Economies Review, Springer, vol. 22(3), pages 401-425, July.
  61. Dieter Gerdesmeier & Hans-Eggert Reimers & Barbara Roffia, 2011. "Early Warning Indicators for Asset Price Booms," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 1-19, June.
  62. Ansgar Belke & Walter Orth & Ralph Setzer, 2008. "Sowing the seeds for the subprime crisis: does global liquidity matter for housing and other asset prices?," International Economics and Economic Policy, Springer, vol. 5(4), pages 403-424, December.
  63. Tihana Skrinjaric, 2023. "Introducing a composite indicator of cyclical systemic risk in Croatia: possibilities and limitations," Public Sector Economics, Institute of Public Finance, vol. 47(1), pages 1-39.
  64. J. Liu & C.J.M. Kool, 2017. "Monetary dynamics in the euro area: a disaggregate panel approach," Working Papers 17-14, Utrecht School of Economics.
  65. Hoffmann, Andreas, 2009. "Fear of depression - Asymmetric monetary policy with respect to asset markets," MPRA Paper 17522, University Library of Munich, Germany.
  66. Bagliano, Fabio C. & Morana, Claudio, 2012. "The Great Recession: US dynamics and spillovers to the world economy," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 1-13.
  67. Gros, Daniel & Alcidi, Cinzia, 2014. "The Global Economy in 2030: Trends and Strategies for Europe," CEPS Papers 9142, Centre for European Policy Studies.
  68. Frondel, Manuel & Schmidt, Torsten & Vance, Colin & Zimmermann, Tobias & Belke, Ansgar, 2008. "Einfluss von Preisschocks auf die Preisentwicklung in Deutschland: Forschungsvorhaben des Bundesministeriums für Wirtschaft und Technologie. Projekt-Nr. I D 4-020815-16/07. Endbericht - Oktober 2008," RWI Projektberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, number 70890.
  69. Coudert, V. & Pouvelle, C., 2008. "Is credit growth in central and eastern European countries excessive?," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 13, pages 63-102, Autumn.
  70. Drescher, Christian, 2011. "Reviewing Excess Liquidity Measures - A Comparison for Asset Markets," MPRA Paper 30922, University Library of Munich, Germany.
  71. Vašíček, Bořek & Žigraiová, Diana & Hoeberichts, Marco & Vermeulen, Robert & Šmídková, Kateřina & de Haan, Jakob, 2017. "Leading indicators of financial stress: New evidence," Journal of Financial Stability, Elsevier, vol. 28(C), pages 240-257.
  72. Nasir Munir & Sadaf Shahab & Muhammad Tariq Mehmood, 2022. "Financial Risk Management and Transmission Mechanism of Monetary Policy: An Empirical Evidence from Pakistan," Journal of Economic Impact, Science Impact Publishers, vol. 4(2), pages 75-82.
  73. Christopher Martin & Costas Milas, 2009. "Causes of the Financial Crisis: an Assessment Using UK Data," Working Paper series 10_09, Rimini Centre for Economic Analysis.
  74. Imad A. Moosa, 2020. "The bitcoin: a sparkling bubble or price discovery?," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 47(1), pages 93-113, March.
  75. policy, Work stream on macroprudential & Policy, Monetary & Stability, Financial & Albertazzi, Ugo & Martin, Alberto & Assouan, Emmanuelle & Tristani, Oreste & Galati, Gabriele & Vlassopoulos, Thomas , 2023. "The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area," Occasional Paper Series 272, European Central Bank.
  76. Daniel Gros, 2013. "Becoming Slimmer: Why Europe Needs to Cut Debt and Reduce Leverage," CESifo Forum, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 14(3), pages 17-24, October.
  77. Jean-Claude Trichet, 2009. "Credible alertness revisited," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 437-460.
  78. Andreas Hoffmann & Gunther Schnabl, 2011. "National Monetary Policy, Internatinal Economic Instability and Feeback Effects - An Overinvestment View," Global Financial Markets Working Paper Series 19-2011, Friedrich-Schiller-University Jena.
  79. Detken, Carsten & Weeken, Olaf & Alessi, Lucia & Bonfim, Diana & Boucinha, Miguel & Castro, Christian & Frontczak, Sebastian & Giordana, Gaston & Giese, Julia & Wildmann, Nadya & Kakes, Jan & Klaus, B, 2014. "Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options," ESRB Occasional Paper Series 5, European Systemic Risk Board.
  80. Abul, Sadeq & Al-Kandari, Ahmad M., 2020. "Real Estate Market and Macroeconomic Factors in Kuwait: An ARDL Approach," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 73(3), pages 405-434.
  81. Lillian Cheung & Chi-Sang Tam, 2009. "Role of Credit in Equity Market Booms and Busts," Working Papers 0904, Hong Kong Monetary Authority.
  82. Belke, Ansgar & Orth, Walter, 2007. "Global Excess Liquidity and House Prices - A VAR Analysis for OECD Countries," Ruhr Economic Papers 37, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  83. Frank Smets, 2007. "Housing is the business cycle: commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 235-243.
  84. Christian Dreger & Jürgen Wolters, 2009. "Geldpolitik und Vermögensmärkte," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 78(1), pages 56-65.
  85. Romuald Morhs, 2010. "Monetary Policy Transmission and Macroeconomic Dynamics in Luxembourg: Results from a VAR Analysis," BCL working papers 49, Central Bank of Luxembourg.
  86. Franz Seitz & Julian von Landesberger, 2012. "Household Money Demand: The Euro Area Case," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 148(III), pages 409-438, September.
  87. Andrew J. Filardo & Pierre L. Siklos, 2016. "Prolonged Reserves Accumulation, Credit Booms, Asset Prices and Monetary Policy in Asia," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(2), pages 364-381, February.
  88. policy, Work stream on macroprudential & Albertazzi, Ugo & Martin, Alberto & Assouan, Emmanuelle & Tristani, Oreste & Galati, Gabriele & Vlassopoulos, Thomas, 2021. "The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area," Occasional Paper Series 272, European Central Bank.
  89. Singh, Bhupal & Nadkarni, Avadhoot R., 2020. "Role of credit and monetary policy in determining asset prices: Evidence from emerging market economies," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  90. Agnello, Luca & Castro, Vítor & Hammoudeh, Shawkat & Sousa, Ricardo M., 2020. "Global factors, uncertainty, weather conditions and energy prices: On the drivers of the duration of commodity price cycle phases," Energy Economics, Elsevier, vol. 90(C).
  91. Christian Heebøll-Christensen, 2011. "Financial Instability - a Result of Excess Liquidity or Credit Cycles?," Discussion Papers 11-21, University of Copenhagen. Department of Economics.
  92. Christopher Martin & Costas Milas, 2010. "Financial Market Liquidity and the Financial Crisis: An Assessment Using UK Data," International Finance, Wiley Blackwell, vol. 13(3), pages 443-459, December.
  93. Annick Bruggeman, 2007. "Can Excess Liquidity Signal an Asset Price Boom?," Working Paper Research 117, National Bank of Belgium.
  94. Choy, Swee Yew & Chit, Myint Moe & Teo, Wing Leong, 2021. "Sovereign credit ratings: Discovering unorthodox factors and variables," Global Finance Journal, Elsevier, vol. 48(C).
  95. Ansgar Belke & Marcel Wiedmann, 2013. "Money, Stock Prices and Central Banks – Cross-Country Comparisons of Cointegrated VAR Models," ROME Working Papers 201308, ROME Network.
  96. L. Aucremanne & S. Ide, 2010. "Lessons from the crisis : Monetary policy and financial stability," Economic Review, National Bank of Belgium, issue ii, pages 7-20, September.
  97. Detken, Carsten & Alessi, Lucia, 2009. "'Real time'early warning indicators for costly asset price boom/bust cycles: a role for global liquidity," Working Paper Series 1039, European Central Bank.
  98. Andrea Nobili, 2009. "Composite indicators for monetary analysis," Temi di discussione (Economic working papers) 713, Bank of Italy, Economic Research and International Relations Area.
  99. Borgy, Vladimir & Clerc, Laurent & Renne, Jean-Paul, 2014. "Measuring aggregate risk: Can we robustly identify asset-price boom–bust cycles?," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 132-150.
  100. repec:zbw:bofitp:2013_005 is not listed on IDEAS
  101. Tihana Skrinjaric, 2023. "Leading indicators of financial stress in Croatia: a regime switching approach," Public Sector Economics, Institute of Public Finance, vol. 47(2), pages 205-232.
  102. Carsten Detken & Olaf Weeken & Lucia Alessi & Diana Bonfim & Miguel M. Boucinha & Christian Castro & Sebastian Frontczak & Gaston Giordana & Julia Giese & Nadya Jahn & Jan Kakes & Benjamin Klaus & Jan, 2014. "Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options," ESRB Occasional Paper Series 05, European Systemic Risk Board.
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