메뉴 건너뛰기




Volumn 24, Issue 3, 2007, Pages 411-430

Asset price volatility and monetary policy rules: A dynamic model and empirical evidence

Author keywords

Asset price bubble; Liquidity trap; Monetary policy rule

Indexed keywords


EID: 33847071560     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2006.10.001     Document Type: Article
Times cited : (20)

References (45)
  • 1
    • 0003398185 scopus 로고    scopus 로고
    • Measuring business cycles: approximate Band-Pass filters for economic time series
    • Baxter M., and King R.G. Measuring business cycles: approximate Band-Pass filters for economic time series. NBER working paper, No. 5022 (2002)
    • (2002) NBER working paper, No. 5022
    • Baxter, M.1    King, R.G.2
  • 3
    • 0002202504 scopus 로고    scopus 로고
    • Monetary policy and asset price volatility
    • Federal Reserve Bank of Kansas City
    • Bernanke B., and Gertler M. Monetary policy and asset price volatility. Economic Review, fourth quarter 1999 (1999), Federal Reserve Bank of Kansas City 17-51
    • (1999) Economic Review, fourth quarter 1999 , pp. 17-51
    • Bernanke, B.1    Gertler, M.2
  • 4
    • 0001776839 scopus 로고
    • Output, the stock market, and interest rates
    • Blanchard O. Output, the stock market, and interest rates. American Economic Review 71 (1981) 410-425
    • (1981) American Economic Review , vol.71 , pp. 410-425
    • Blanchard, O.1
  • 5
    • 0001866008 scopus 로고
    • Bubbles, rational expectations, and financial markets
    • Wachtel P. (Ed), Lexington Books
    • Blanchard O., and Watson M. Bubbles, rational expectations, and financial markets. In: Wachtel P. (Ed). Crisis in The Economic and Financial Structure (1982), Lexington Books 410-425
    • (1982) Crisis in The Economic and Financial Structure , pp. 410-425
    • Blanchard, O.1    Watson, M.2
  • 6
    • 84934349184 scopus 로고
    • The case of the negative nominal interest rates: new estimates of the term structure of interest rates during the Great Depression
    • Cecchetti S. The case of the negative nominal interest rates: new estimates of the term structure of interest rates during the Great Depression. Journal Political Economy 96 (1988) 1111-1141
    • (1988) Journal Political Economy , vol.96 , pp. 1111-1141
    • Cecchetti, S.1
  • 7
    • 12844281864 scopus 로고    scopus 로고
    • Monetary policy rules, asset prices, and exchange rates
    • Chadha J.S., Sarno L., and Valente G. Monetary policy rules, asset prices, and exchange rates. IMF Staff Papers 51 3 (2004) 529-552
    • (2004) IMF Staff Papers , vol.51 , Issue.3 , pp. 529-552
    • Chadha, J.S.1    Sarno, L.2    Valente, G.3
  • 8
    • 33847072775 scopus 로고    scopus 로고
    • Chiarella, C., Franke, R., Flaschel, P., Semmler, W., 2001. Output and interest rates. Jump variable, relaxation oscillation and phase diagram switching methodologies, University of Bielefeld, mimeo.
  • 9
    • 0031670190 scopus 로고    scopus 로고
    • Monetary policy rules in practice: some international evidence
    • Clarida R., Gali J., and Gertler M. Monetary policy rules in practice: some international evidence. European Economic Review 42 (1998) 1033-1067
    • (1998) European Economic Review , vol.42 , pp. 1033-1067
    • Clarida, R.1    Gali, J.2    Gertler, M.3
  • 10
    • 33847041543 scopus 로고    scopus 로고
    • Clouse, J., Henderson D., Orphanides A., Small D., Tinsley P., 2000. "Monetary policy when the nominal short-term interest rate is zero," mimeo.
  • 11
    • 0041573263 scopus 로고    scopus 로고
    • The zero-interest-rate bound and the role of the exchange rate for monetary policy in Japan
    • Coenen G., and Wieland V. The zero-interest-rate bound and the role of the exchange rate for monetary policy in Japan. Journal of Monetary Economics 50 5 (2003) 1071-1101
    • (2003) Journal of Monetary Economics , vol.50 , Issue.5 , pp. 1071-1101
    • Coenen, G.1    Wieland, V.2
  • 12
    • 14844360443 scopus 로고    scopus 로고
    • Price stability and monetary policy effectiveness when nominal interest rates are bounded at zero
    • (Article 1)
    • Coenen G., Orphanides A., and Wieland V. Price stability and monetary policy effectiveness when nominal interest rates are bounded at zero. Advances in Macroeconomics 4 1 (2004) (Article 1)
    • (2004) Advances in Macroeconomics , vol.4 , Issue.1
    • Coenen, G.1    Orphanides, A.2    Wieland, V.3
  • 14
    • 33847021969 scopus 로고    scopus 로고
    • Dupor, W., 2001. Nominal prices versus asset price stabilization, University of Pennsylvania, mimeo.
  • 15
    • 33847052133 scopus 로고    scopus 로고
    • Eggertsson, G., Woodford, M., 2003. The zero bound on interest rates and optimal monetary policy, mimeo.
  • 17
    • 33847069688 scopus 로고    scopus 로고
    • Goodhart, C., Hofmann, B., 2000. Financial variables and the conduct of monetary policy, Sveriges Riksbank working paper 12.
  • 19
    • 0000414660 scopus 로고
    • Large sample properties of generalized method of moments estimators
    • Hansen L.P. Large sample properties of generalized method of moments estimators. Econometrica 50 (1982) 1029-1054
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.P.1
  • 20
    • 11344278953 scopus 로고    scopus 로고
    • Optimal monetary policy when the interest rates are bounded at zero
    • Kato R., and Nishiyama S. Optimal monetary policy when the interest rates are bounded at zero. Journal of Economic Dynamics and Control 29 1-2 (2005) 97-133
    • (2005) Journal of Economic Dynamics and Control , vol.29 , Issue.1-2 , pp. 97-133
    • Kato, R.1    Nishiyama, S.2
  • 21
    • 33847035613 scopus 로고    scopus 로고
    • Kent, C., Lowe, P., 1997. Asset-price bubbles and monetary policy, Mimeo, Research Bank of Australia, Dec. 1997.
  • 22
    • 84887042459 scopus 로고    scopus 로고
    • Has monetary policy reacted to asset price movements? Evidence from the UK
    • Kontonikas A., and Montagnoli A. Has monetary policy reacted to asset price movements? Evidence from the UK. Ekonomia 7 (2004) 1-16
    • (2004) Ekonomia , vol.7 , pp. 1-16
    • Kontonikas, A.1    Montagnoli, A.2
  • 24
    • 0000507406 scopus 로고
    • Equilibria under active and passive monetary and fiscal policies
    • Leeper E.M. Equilibria under active and passive monetary and fiscal policies. Journal of Monetary Economics 27 (1991) 129-147
    • (1991) Journal of Monetary Economics , vol.27 , pp. 129-147
    • Leeper, E.M.1
  • 25
    • 0002231852 scopus 로고    scopus 로고
    • How important is the stock market effect on consumption?
    • Federal Reserve Bank of New York
    • Ludvigson S., and Steindel C. How important is the stock market effect on consumption?. Economic Policy Review, July 1999 (1999), Federal Reserve Bank of New York 29-52
    • (1999) Economic Policy Review, July 1999 , pp. 29-52
    • Ludvigson, S.1    Steindel, C.2
  • 26
    • 0032208905 scopus 로고    scopus 로고
    • On the volatility of stock prices: an exercise in quantitative theory
    • Mehra R. On the volatility of stock prices: an exercise in quantitative theory. International Journal of Systems Science 29 11 (1998) 1203-1211
    • (1998) International Journal of Systems Science , vol.29 , Issue.11 , pp. 1203-1211
    • Mehra, R.1
  • 29
    • 0042074663 scopus 로고    scopus 로고
    • Optimal discretionary monetary policy in a model of asymmetric central bank preferences
    • Nobay A.R., and Peel D.A. Optimal discretionary monetary policy in a model of asymmetric central bank preferences. Economic Journal, Royal Economic Society 113 489 (2003) 657-665
    • (2003) Economic Journal, Royal Economic Society , vol.113 , Issue.489 , pp. 657-665
    • Nobay, A.R.1    Peel, D.A.2
  • 31
    • 0036421580 scopus 로고    scopus 로고
    • The unreliability of output gap estimation in real time
    • Orphanides A., and van Norden S. The unreliability of output gap estimation in real time. Review of Economics and Statistics 84 4 (2002) 569-583
    • (2002) Review of Economics and Statistics , vol.84 , Issue.4 , pp. 569-583
    • Orphanides, A.1    van Norden, S.2
  • 33
    • 0002504725 scopus 로고    scopus 로고
    • The Taylor rule: a useful monetary policy benchmark for the Euro-area?
    • Peersman G., and Smets F. The Taylor rule: a useful monetary policy benchmark for the Euro-area?. International Finance 1 (1999) 85-116
    • (1999) International Finance , Issue.1 , pp. 85-116
    • Peersman, G.1    Smets, F.2
  • 34
    • 9944219806 scopus 로고    scopus 로고
    • Measuring the reaction of monetary policy to the stock market
    • Rigobon R., and Sack B. Measuring the reaction of monetary policy to the stock market. NBER working paper 8350 (2001)
    • (2001) NBER working paper 8350
    • Rigobon, R.1    Sack, B.2
  • 36
    • 33847078916 scopus 로고    scopus 로고
    • Nonlinear Phillips curves, endogenous nairu and monetary policy
    • Chiarella C., Flaschel P., Franke R., and Semmler W. (Eds). Amsterdam, Elsevier Science Ltd.
    • Semmler W., and Zhang W. Nonlinear Phillips curves, endogenous nairu and monetary policy. In: Chiarella C., Flaschel P., Franke R., and Semmler W. (Eds). Empirical and Quantitative Analysis of Nonlinear Dynamic Macromodels. Amsterdam, Elsevier Science Ltd. (2006) 495-527
    • (2006) Empirical and Quantitative Analysis of Nonlinear Dynamic Macromodels , pp. 495-527
    • Semmler, W.1    Zhang, W.2
  • 39
    • 77957241272 scopus 로고    scopus 로고
    • An estimated dynamic general equilibrium model of the Euro-area
    • Smets F., and wouters R. An estimated dynamic general equilibrium model of the Euro-area. Journal of the European Economic Association 1 5 (2003) 1123-1175
    • (2003) Journal of the European Economic Association , vol.1 , Issue.5 , pp. 1123-1175
    • Smets, F.1    wouters, R.2
  • 40
    • 0000529574 scopus 로고    scopus 로고
    • Inflation forecasting targeting: implementing and monitoring inflation targets
    • Svensson L.E.O. Inflation forecasting targeting: implementing and monitoring inflation targets. European Economic Review 41 (1997) 1111-1146
    • (1997) European Economic Review , vol.41 , pp. 1111-1146
    • Svensson, L.E.O.1
  • 41
  • 44
    • 33847024607 scopus 로고    scopus 로고
    • Vickers, J. (1999), "Monetary policy and asset prices," mimeo, Bank of England, Sept. 1999.
  • 45
    • 33847075087 scopus 로고    scopus 로고
    • Prospect theory for the stock market: empirical evidence with time-series data
    • Zhang W., and Semmler W. Prospect theory for the stock market: empirical evidence with time-series data. CEM working paper, University of Bielefeld (2005)
    • (2005) CEM working paper, University of Bielefeld
    • Zhang, W.1    Semmler, W.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.