Quasi real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity

European Journal of Political Economy

Volumn 27, Issue 3, 2011, Pages 520-533

  Alessi, Lucia ^a   Detken, Carsten ^a  

^a EUROPEAN CENTRAL BANK   (Germany)

Author keywords

Asset price booms and busts; Early warning indicators; Global liquidity; Leaning against the wind; Signaling approach

Indexed keywords

EID: 79959957517     PISSN: 01762680     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejpoleco.2011.01.003     Document Type: Article

References (39)

1. Adalid R., Detken C. Liquidity shocks and asset price boom/bust cycles. Working Paper Series 2007, 732. European Central Bank.
2. Adrian T., Shin H.S. Financial intermediaries, financial stability and monetary policy. Working Paper Series 2008, 346. Federal Reserve Bank of New York.
3. Adrian T., Shin H.S. Money, liquidity and financial cycles. The Role of Money-Money and Monetary Policy in the Twenty-First Century 2008, 299-309. European Central Bank. A. Beyer, L. Reichlin (Eds.).
4. Assenmacher-Wesche K., Gerlach S. Monetary policy, asset prices and macroeconomic conditions: a panel VAR study. Working Paper 2008, 149. National Bank of Belgium.
5. Baltensperger E., Fischer A., Jordan T. Strong goal independence and inflation targeting. European Journal of Political Economy 2007, 23:88-105.
6. Borio C., Drehmann M. Towards and operational framework for financial stability: "fuzzy" measurement and its consequences. Working Paper 2009, 284. BIS.
7. Borio C., Drehmann M. Assessing the risk of banking crisis-revisited. BIS Quarterly Review 2009, 29-46. March.
8. Borio C., Lowe P. Asset prices, financial and monetary stability: exploring the nexus. Working Paper 2002, 114. BIS.
9. Borio C., Lowe P. Securing sustainable price stability: should credit come back from the wilderness?. Working Paper 2004, 157. BIS.
10. Borio C., Zhu H. Capital regulation, risk-taking and monetary policy: a missing link in the transmission mechanism?. Working Paper 2008, 268. BIS.
11. Brunnermeier M., Crocket A., Goodhart C., Persaud A., Shin H. The fundamental principles of financial regulation. Geneva Report on the World Economy, 10 July, 2009 2009.
12. Bussière M., Fratzscher M. Low probability, high impact: policy making and extreme events. Journal of Policy Modeling 2008, 30(1):111-121.
13. Chui M., Gai P. Private Sector Involvement and International Financial Crises 2005, Oxford University Press.
14. Ciccarelli, M. and Mojon, B., 2010. Global Inflation. The Review of Economics and Statistics, MIT Press 92 (3), 524-535, 09.
15. Demirgüc-Kunt A., Detragiache E. Monitoring banking sector fragility: a multivariate logit approach with an application to the 1996-97 banking crisis. Policy Research Working Paper 1999, 2085. World Bank.
16. Detken C., Smets F. Asset price booms and monetary policy. Working Paper Series 2004, 364. European Central Bank.
17. Detken C., Gerdesmeier D., Roffia B. Interlinkages between money and credit and asset prices and their implications for consumer price inflation: recent empirical work. Enhancing Monetary Analysis 2010, European Central Bank. J. Stark, L. Papademos (Eds.).
18. Diamond D., Rajan R. Illiquidity and interest rate policy. NBER Working Paper 2009, 15197. National Bureau of Economic Research, Inc.
19. Edison H. Do indicators of financial crises work? An evaluation of an early warning system. International Journal of Finance and Economics 2003, 8(1):11-53.
20. Farhi E., Tirole J. Bubbly liquidity. IDEI Working Papers 2009, 577. Institut d'Économie Industrielle.
21. Gerdesmeier D., Roffia B., Reimers H.-E. Asset price misalignments and the role of money and credit. Working Paper Series 2009, 1068. European Central Bank.
22. Goodhart C., Hofmann B. House prices, money, credit and the macroeconomy. Working Paper Series 2008, 888. European Central Bank.
23. Gourinchas P.-O., Valdes R., Landerretche O. Lending booms: Latin America and the world. Economía 2001, 1(2):47-99.
24. de Haan J., Eijffinger S., Rybinski K. Central bank transparency and central bank communication: editorial introduction. European Journal of Political Economy 2007, 23:1-8.
25. Hoerova M., Monnet C., Temzelides T. Money talks. Working Paper Series 2009, 1091. European Central Bank.
26. Honohan P., Laeven L. Systemic Financial Distress: Containment and Resolution 2005, Cambridge University Press.
27. Jiménez G., Ongena S., Peydró-Alcalde J.-L., Saurina J. Hazardous times for monetary policy: what do twenty-three million bank loans say about the effects of monetary policy on credit risk?. Discussion Papers 2007, 6514. CEPR.
28. Kaminsky G., Reinhart C. The twin crises: the causes of banking and balance-of-payments problems. American Economic Review 1999, 89(3):473-500.
29. Kaminsky G., Lizondo S., Reinhart C. Leading indicators of currency crisis. IMF Staff Papers, Palgrave Macmillan Journals 1998, 45(1):1.
30. Kohn D. Monetary policy and asset prices revisited. Speech at the Cato Institute's 26th Annual Monetary Policy Conference, Washington, D.C. 2008, Available at www.federalreserve.gov/newsevents/speech/kohn20081119a.htm.
31. Loisel O., Pommeret A., Portier F. Monetary policy and herd behavior in new-tech investment. Paper presented at Banque de France/Fed Chicago conference on Asset Price Bubbles and Monetary Policy, Paris, 13-14 November, 2009 2009.
32. Mendoza E., Terrones M. An anatomy of credit booms: evidence from macro aggregates and micro data. NBER Working Paper 2008, 14049. National Bureau of Economic Research, Inc.
33. Ngai R., Tenreyro S. Hot and cold seasons in the housing market. CEP Discussion Papers 2009, 922. Centre for Economic Performance, LSE.
34. Rajan R. Has financial development made the world riskier?. NBER Working Paper 2005, 11728. National Bureau of Economic Research, Inc.
35. Rancière R., Tornell A., Westermann F. Systemic crises and growth. The Quarterly Journal of Economics 2008, 123(1):359-406.
36. Reinhart C., Rogoff K. Is the 2007 US sub-prime financial crisis so different? An international historical comparison. American Economic Review: Papers and Proceedings 2008, 98(2):339-344.
37. Reinhart C., Rogoff K. The aftermath of financial crises. NBER Working Paper Series 2009, 14656. National Bureau of Economic Research, Inc.
38. Schularick M., Taylor A. Credit booms gone bust: monetary policy, leverage cycles and financial crises, 1870-2008. NBER Working Papers 2009, 15512. National Bureau of Economic Research, Inc.
39. Taylor J. The financial crisis and the policy responses: an empirical analysis of what went wrong. NBER Working Paper Series 2009, 14631. National Bureau of Economic Research, Inc.