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Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie >
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http://hdl.handle.net/10419/37272
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| Title: | | Financial Intermediation, Asset Prices, and Macroeconomic Dynamics  |
| Authors: | | Moench, Emanuel Adrian, Tobias Shin, Hyun Song |
| Issue Date: | | 2010 |
| Series/Report no.: | | Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Empirical Asset Pricing F19-V1 |
| Abstract: | | 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. |
| Subjects: | | Return Predictability Financial Intermediation Macroeconomic Dynamics Macroprudential Policy |
| JEL: | | G10 G20 E32 |
| Document Type: | | Conference Paper |
| Appears in Collections: | | Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie
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