Konferenzbeitrag
Financial Intermediation, Asset Prices, and Macroeconomic Dynamics
Fluctuations in the aggregate balance sheets of financial intermediaries provide a window on the joint determination of asset prices and macroeconomic aggregates. We document that financial intermediary balance sheets contain strong predictive power for future excess returns on a broad set of equity, corporate, and Treasury bond portfolios. We also show that the same intermediary variables that predict excess returns forecast real economic activity and various measures of inflation. Our findings point to the importance of financing frictions in macroeconomic dynamics, and provide quantitative guidance for preemptive macroprudential and monetary policies.
- Sprache
-
Englisch
- Erschienen in
-
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Empirical Asset Pricing ; No. F19-V1
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Financial Institutions and Services: General
Business Fluctuations; Cycles
- Thema
-
Return Predictability
Financial Intermediation
Macroeconomic Dynamics
Macroprudential Policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Moench, Emanuel
Adrian, Tobias
Shin, Hyun Song
- Ereignis
-
Veröffentlichung
- (wer)
-
Verein für Socialpolitik
- (wo)
-
Frankfurt a. M.
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Konferenzbeitrag
Beteiligte
- Moench, Emanuel
- Adrian, Tobias
- Shin, Hyun Song
- Verein für Socialpolitik
Entstanden
- 2010
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