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dc.contributor.authorAdrian, Tobiasen
dc.contributor.authorMoench, Emanuelen
dc.contributor.authorShin, Hyun Songen
dc.date.accessioned2010-05-12-
dc.date.accessioned2012-08-17T14:33:32Z-
dc.date.available2012-08-17T14:33:32Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aFederal Reserve Bank of New York |cNew York, NYen
dc.relation.ispartofseries|aStaff Report |x422en
dc.subject.jelG10en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordReturn predictabilityen
dc.subject.keywordfinancial intermediationen
dc.subject.keywordmacroeconomic dynamicsen
dc.subject.keywordmacroprudential policyen
dc.titleFinancial intermediation, asset prices, and macroeconomic dynamics-
dc.typeWorking Paperen
dc.identifier.ppn62284394Xen
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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