The Consequences of the Secular Decline of Interest Rate on Asset Prices

2021 ◽  
Author(s):  
Sophia Hua
Keyword(s):  
Interest Rate ◽  
Asset Prices ◽  
Secular Decline

scholarly journals Monetary Policy Effects on Energy Sector Bubbles

Energies ◽  
2019 ◽  
Vol 12 (3) ◽  
pp. 472
Author(s):  
Petre Caraiani ◽  
Adrian Călin
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Asset Prices ◽  
The United States ◽  
Energy Sector ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
The Difference ◽  
The Interest Rate ◽  
The Impact

We investigate the effects of monetary policy shocks, including unconventional policy measures, on the bubbles of the energy sector, for the case of the United States. We estimate a time-varying Bayesian VAR model that allows for quantifying the impact of monetary policy shocks on asset prices and bubbles. The energy sector is measured through the S&P Energy Index, while bubbles are measured through the difference between asset prices and the corresponding dividends for the energy sector. We find significant differences in the impact of monetary policy shocks for the aggregate economy and for the energy sector. The findings seem sensitive to the interest rate use, i.e., whether one uses the shadow interest rate or the long-term interest rate.

FINANCIAL MARKET MODEL WITH INFLUENTIAL INFORMED INVESTORS

2005 ◽  
Vol 08 (06) ◽  
pp. 693-716 ◽  
Author(s):  
AXEL GRORUD ◽  
MONIQUE PONTIER
Keyword(s):  
Brownian Motion ◽  
Interest Rate ◽  
Financial Market ◽  
Asset Prices ◽  
Optimization Problem ◽  
Statistical Tests ◽  
Market Model ◽  
Financial Model ◽  
Additional Information ◽  
The Interest Rate

We develop a financial model with an "influential informed" investor who has an additional information and influences asset prices by means of his strategy. The prices dynamics are supposed to be driven by a Brownian motion, the informed investor's strategies affect the risky asset trends and the interest rate. Our paper could be seen as an extension of Cuoco and Cvitanic's work [4] since, as these authors, we solve the informed influential investor's optimization problem. But our main result is the construction of statistical tests to detect if, observing asset prices and agent's strategies, this influential agent is or not an informed trader.

scholarly journals The Role of Monetary Policy in Transmission of Asset Prices into Goods Prices

2020 ◽  
Vol 4 (1) ◽  
pp. 143-167
Author(s):  
Sidra Mariyam ◽  
Wasim Shahid Malik
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Stock Prices ◽  
Asset Prices ◽  
Inflation Rate ◽  
House Prices ◽  
Asset Price ◽  
Price Inflation

Monetary policy in the contemporary world reacts, through short term interest rate, to deviations of inflation rate and output from their respective targets, while asset prices are responded to the extent they contribute to these deviations. This practice significantly affects transmission of asset prices into goods prices, which has serious implications for income distribution. This paper sets the objectives of estimating transmission of asset prices into goods prices and the role of monetary policy in influencing this transmission. In this regard, the paper hypothesizes that inflation rate positively responds to asset prices and this response weakens if interest rate leans against the winds of inflation, output and asset prices. To test these hypotheses, we have estimated different specifications of vector autoregressive (VAR) model and impulse response functions have been found after identifying structural shocks. Data of Pakistan’s economy on inflation rate, large scale manufacturing index, interest rate and asset price index – comprising house prices, stock prices and exchange rate – are used for the time period 2000m01 to 2019m06. We find evidence in support of both hypotheses; asset price inflation positively transmits into goods price inflation and this transmission intensifies if interest rate does not respond to other variables in the model. Moreover, transmission of asset prices into inflation rate, as compared to output, is influenced more by monetary policy. Finally, we find that the transmission of exchange rate and house prices to inflation rate are very much affected by monetary policy while in case of stock prices the influence of policy is moderate.

scholarly journals Optimal interest rate rules, asset prices, and credit frictions

2007 ◽  
Vol 31 (10) ◽  
pp. 3228-3254 ◽  
Author(s):  
Ester Faia ◽  
Tommaso Monacelli
Keyword(s):  
Interest Rate ◽  
Asset Prices ◽  
Interest Rate Rules ◽  
Credit Frictions

Asset Prices and Pandemics: The Effects of Lockdowns

2021 ◽  
pp. 2240002
Author(s):  
Jerome Detemple
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Real Wage ◽  
Asset Prices ◽  
Market Price ◽  
Market Price Of Risk ◽  
Economy Model ◽  
Price Of Risk ◽  
The Impact

We examine the impact of pandemics on equilibrium in an integrated epidemic-economy model with production. Two types of technologies are considered: a neo-classical technology and one capturing the notion of time-to-produce. The impact of a shelter-in-place policy with and without layoffs is studied. The paper documents adjustments in interest rate, market price of risk, stock market and real wage as the epidemic propagates. It shows the qualitative effects of a shelter-in-place policy in the model are consistent with the patterns displayed by the stock market and real wage during the COVID-19 outbreak. Puzzles emerging from the analysis are outlined.

Interest rate tables

1985 ◽  
pp. 164-169
Keyword(s):  
Interest Rate

Money, Credit and Asset Prices

1994 ◽  
Author(s):  
Gordon Pepper
Keyword(s):  
Asset Prices

Two essays on investor overconfidence and asset prices

2012 ◽  
Author(s):  
Biljana Nikolic
Keyword(s):  
Asset Prices
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