scholarly journals Technology Shocks and Asset Price Dynamics: The Role of Housing in General Equilibrium

2008 ◽  
Author(s):  
Jiro Yoshida
Keyword(s):  
General Equilibrium ◽  
Asset Price ◽  
Price Dynamics ◽  
Technology Shocks

Old Lessons Relearned: The Asset Price Dynamics of High-Yield Bonds

2009 ◽  
Author(s):  
Jason Thomas
Keyword(s):  
Asset Price ◽  
High Yield ◽  
Price Dynamics

Corporate Investment and Asset Price Dynamics: Implications for the Cross-section of Returns

2004 ◽  
Vol 59 (6) ◽  
pp. 2577-2603 ◽  
Author(s):  
MURRAY CARLSON ◽  
ADLAI FISHER ◽  
RON GIAMMARINO
Keyword(s):  
Cross Section ◽  
Asset Price ◽  
Corporate Investment ◽  
Price Dynamics ◽  
The Cross

Sukuk and monetary policy transmission in Indonesia: the role of asset price and exchange rate channels

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Suriani Suriani ◽  
M. Shabri Abd. Majid ◽  
Raja Masbar ◽  
Nazaruddin A. Wahid ◽  
Abdul Ghafar Ismail
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rates ◽  
Asset Price ◽  
Transmission Mechanism ◽  
Monetary Policy Transmission ◽  
Content Type ◽  
Policy Transmission ◽  
Monetary Policy Transmission Mechanism

Purpose The purpose of this study is to empirically analyze the role of sukuk in the monetary policy transmission mechanism through the asset price and exchange rate channels in the Indonesian economy. Design/methodology/approach Using the monthly data from January 2003 to November 2017, this study uses a multivariate vector error correction model causality framework. To examine the role of sukuk in the monetary policy transmission mechanism through the asset price channel, this study uses the variables of consumption, inflation, interest rates, economic growth and the composite stock price index. Meanwhile, to examine the role of sukuk in the monetary policy transmission mechanism through the exchange rate channel, this study used variables of inflation, interest rates, economic growth, foreign investment and exchange rate. Findings This study documented that sukuk has no causal relationship with inflation through asset price and exchange rate channels. Nevertheless, sukuk has a bidirectional causal relationship with economic growth through asset price and exchange rate channels. Sukuk is also documented to have a causal relationship with monetary policy variables of interest rate and stock prices through asset price and exchange rate channels. Finally, a unidirectional causality is recorded running from the exchange rate to sukuk in the exchange rate channel. Research limitations/implications The finding of independence of the sukuk market from interest rates provides evidence that the trading of the sukuk in Indonesia has been in harmony with the Islamic tenets. Practical implications The relevant Indonesian authorities need to enhance both domestic and global sukuk markets as part of efforts to promote the sustainability of Islamic capital market development in Indonesia. Originality/value To the best of the authors’ knowledge, this study is among the first attempts to empirically investigate the role of sukuk in monetary policy transmission through asset price and exchange rate channels in the context of the Indonesian economy.

Corporate Investment and Asset Price Dynamics: Implications for the Cross-Section of Returns

2003 ◽  
Author(s):  
Murray D. Carlson ◽  
Adlai J. Fisher ◽  
Ron Giammarino
Keyword(s):  
Cross Section ◽  
Asset Price ◽  
Corporate Investment ◽  
Price Dynamics ◽  
The Cross

scholarly journals News Shocks and Asset Price Volatility in General Equilibrium

2011 ◽  
Author(s):  
Akito Matsumoto ◽  
Pietro Cova ◽  
Massimiliano Pisani ◽  
Alessandro Rebucci
Keyword(s):  
General Equilibrium ◽  
Asset Price ◽  
Price Volatility ◽  
News Shocks

Alternative Models of Asset Price Dynamics

2018 ◽  
pp. 653-671
Author(s):  
Giuseppe Campolieti ◽  
Roman N. Makarov
Keyword(s):  
Asset Price ◽  
Price Dynamics ◽  
Alternative Models

scholarly journals Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs

2007 ◽  
Author(s):  
Valentyn Panchenko ◽  
Sergiy Gerasymchuk ◽  
Oleg V. Pavlov
Keyword(s):  
Asset Price ◽  
Heterogeneous Beliefs ◽  
Price Dynamics ◽  
Local Interactions

scholarly journals Evaluating the Effects of the Home Affordable Modification Program

2021 ◽  
Author(s):  
Richard Cóndor
Keyword(s):  
General Equilibrium ◽  
Great Recession ◽  
Heterogeneous Agents ◽  
Idiosyncratic Risk ◽  
The Great Recession ◽  
Heterogeneous Agents Model ◽  
The U.S

The Home Affordable Modification Program (HAMP) was a loan modification program introduced in 2009, in the U.S., to assist highly indebted homeowners with avoiding foreclosure. This program also encouraged private lenders to offer more sustainable modifications. This paper studies the role of HAMP in preventing higher foreclosures rates during and after the Great Recession, in the context of a general-equilibrium heterogeneous-agents model with two types of households (Borrowers and Savers), uninsurable idiosyncratic risk, and both private and HAMP modifications. The main result is that, without HAMP, the peak in the foreclosure rate could have been 50% larger (3.2 percent vs 2.2 percent in data).

scholarly journals A Note on Technology Shocks and the Great Depression

2016 ◽  
Vol 76 (3) ◽  
pp. 934-936 ◽  
Author(s):  
Robert Inklaar ◽  
Herman de Jong ◽  
Reitze Gouma
Keyword(s):  
Great Depression ◽  
Driving Force ◽  
Technology Shocks ◽  
The Great Depression

The role of technology shocks as a driver of the Great Depression is the topic of our own earlier work and the paper by Watanabe in this issue. While the two studies differ in their data and assumptions, they complement each other and strengthen the conclusion of both papers: technology shocks were not the driving force of the Great Depression.

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