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Staff Reports, Federal Reserve Bank of New York >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/60791
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Adrian, Tobias | | en_US |
| dc.contributor.author | | Moench, Emanuel | | en_US |
| dc.contributor.author | | Shin, Hyun Song | | en_US |
| dc.date.accessioned | | 2010-05-12 | | en_US |
| dc.date.accessioned | | 2012-08-17T14:33:32Z | | - |
| dc.date.available | | 2012-08-17T14:33:32Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/60791 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Federal Reserve Bank of New York New York, NY | | en_US |
| dc.relation.ispartofseries | | Staff Report, Federal Reserve Bank of New York 422 | | en_US |
| dc.subject.jel | | G10 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Return predictability | | en_US |
| dc.subject.keyword | | financial intermediation | | en_US |
| dc.subject.keyword | | macroeconomic dynamics | | en_US |
| dc.subject.keyword | | macroprudential policy | | en_US |
| dc.title | | Financial intermediation, asset prices, and macroeconomic dynamics | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 62284394X | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
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