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dc.contributor.authorAdrian, Tobiasen_US
dc.contributor.authorMoench, Emanuelen_US
dc.contributor.authorShin, Hyun Songen_US
dc.date.accessioned2010-05-12en_US
dc.date.accessioned2012-08-17T14:33:32Z-
dc.date.available2012-08-17T14:33:32Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/60791-
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.publisherFederal Reserve Bank of New York New York, NYen_US
dc.relation.ispartofseriesStaff Report, Federal Reserve Bank of New York 422en_US
dc.subject.jelG10en_US
dc.subject.jelG12en_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.typeWorking Paperen_US
dc.identifier.ppn62284394Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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