Adrian, Tobias
[VerfasserIn]
;
Moench, Emanuel
[Sonstige Person, Familie und Körperschaft];
Shin, Hyun Song
[Sonstige Person, Familie und Körperschaft]
Financial Intermediation, Asset Prices and Macroeconomic Dynamics
Erschienen in:FRB of New York Staff Report ; No. 422
Umfang:
1 Online-Ressource (42 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.1532319
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2010 erstellt
Beschreibung:
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