Asset prices
Fed minutes ‘significantly affect’ US asset prices
New York Fed economic policy review finds that US asset price volatility increases when the Fed releases minutes from policy meetings, but less so since FOMC has become more transparent
NY Fed staff say effect of policy changes depend on risk environment
New staff report argues that macro policy announcements affect asset prices to different extents depending on the existing economic outlook; when risk is elevated, the impact is reduced
IMF paper finds less tail risk in immediate aftermath of QE
IMF working paper finds ‘strong evidence' that unconventional monetary policy led to a reduction in market uncertainty, in turn contributing to an easing in financial conditions
HKMA deputy says QE taper to bring ‘immense shocks' to markets
Eddie Yue slams advanced economies' ‘unprecedented' accommodative monetary policy for creating global imbalances and fuelling Hong Kong asset prices
Bank of Mexico paper backs credit multiplier as amplification mechanism in DSGE
Working paper finds that credit multipliers do produce the amplification effects expected of them in a DSGE model and are not failing as some suggest
Fed research digs deeper into operation of QE
Working paper looks at the composition of investors selling assets in the Federal Reserve’s quantitative easing programmes, finding evidence for a ‘preferred habitat’ theory of transmission
Bernanke outlines Fed's ‘intensified' monitoring of financial system
Focus is on Sifis, shadow banking, asset markets, and the non-financial sector, according to the chairman of the Federal Reserve
ECB researcher views liquidity shocks through enhanced DGE lens
Model aims to more accurately capture equity premia, finding that this amplifies liquidity shocks and explains a ‘significant fraction’ of business cycle fluctuations
Canadian study links financial development and income volatility
Working paper finds financial development can dampen the impact of technological shocks on the economy
BoJ boosts easing amid mounting political pressure
Policy board votes to increase asset purchases by ¥10 trillion ($119 billion); close proximity to election raises questions of political influence in decision
French research says monetary policy can offset herding
Banque de France working paper says interest rate hikes can be used to eliminate asset price bubbles caused by investor herding behaviour
QE ‘relief’ no substitute for deleveraging, says HKMA’s Chan
HKMA chief executive warns asset price growth must be supported by structural developments
ECB paper highlights locational importance of asset bubbles
Working paper finds asset bubbles have differing effects on the economy depending on whether they are located with banks or ordinary savers, with implications for macro-prudential policy
Emerging market bonds behaving as safe assets, says BIS paper
Local government bond yields in emerging market economies have contracted as global risk sentiment worsens, study suggests
BoJ mirrors BoE’s FLS and steps up easing
Bank of Japan launches scheme with similarities to Bank of England’s funding for lending and steps up the size of its asset purchase programme by $138 billion
Early-warning indicators useful in emerging markets, says Finland paper
Bank of Finland study applies advanced economies' asset price indicators to emerging markets, saying they can be effective with only slight adjustment
BoJ expands asset purchase programme
Japanese policy board votes to increase purchases of government bonds and treasury bills; Bank of Mauritius governor highlights risk to central bank reserves from further asset purchases
Concerns raised over impact of Fed’s QE3
Federal Reserve to purchase $40 billion of mortgage-backed securities each month until US economy improves; doubts arise over effectiveness of the policy despite positive market response
Bank of Spain paper develops model of market volatility
Researchers produce measure of volatility able to cope with ‘vast’ panels of data; find model performs better than others that use shorter time horizons
Bernanke disappoints markets by revealing little about QE3
Ben Bernanke’s Jackson Hole speech gets muted response from markets; gives no clear indication of whether third round of quantitative easing is forthcoming
BoE weighs distributional effects of QE
Paper assesses impact of quantitative easing on overall economy and examines distributional effects; finds main benefits for holders of assets and well-funded pension schemes
Central Bank of Chile paper tests evidence of asset price booms
Researcher finds evidence that capital flows drive asset price booms; identifies factors that mitigate this effect but says capital controls are not effective
BIS paper links funding to emerging economies and stock market volatility
Working paper studies funding flows between emerging market central banks and investors during stock market calm and volatility; suggests this reinforces risk-on and risk-off markets
IMF paper studies effects of macro-prudential policy
Working paper studies effectiveness of macro-prudential policy in an environment of financial innovation; identifies various factors determining policy outcomes