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Title:Financial Intermediation, Asset Prices, and Macroeconomic Dynamics PDF Logo
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: Ökonomie der Familie

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