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dc.contributor.authorMoench, Emanuelen_US
dc.contributor.authorAdrian, Tobiasen_US
dc.contributor.authorShin, Hyun Songen_US
dc.date.accessioned2010-08-11T09:12:15Z-
dc.date.available2010-08-11T09:12:15Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/37272-
dc.description.abstractFluctuations 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.en_US
dc.language.isoengen_US
dc.publisherVerein für Socialpolitik Frankfurt a. M.en_US
dc.relation.ispartofseriesBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Empirical Asset Pricing F19-V1en_US
dc.subject.jelG10en_US
dc.subject.jelG20en_US
dc.subject.jelE32en_US
dc.subject.ddc330en_US
dc.subject.keywordReturn Predictabilityen_US
dc.subject.keywordFinancial Intermediationen_US
dc.subject.keywordMacroeconomic Dynamicsen_US
dc.subject.keywordMacroprudential Policyen_US
dc.titleFinancial Intermediation, Asset Prices, and Macroeconomic Dynamicsen_US
dc.typeConference Paperen_US
dc.identifier.ppn654566127-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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