Fiscal adjustments and asset price changes

2011 ◽  
Vol 33 (2) ◽  
pp. 206-223 ◽  
Author(s):  
Athanasios Tagkalakis
Keyword(s):  
Asset Price ◽  
Price Changes ◽  
Fiscal Adjustments

scholarly journals Financial Entanglement: A Theory of Incomplete Integration, Leverage, Crashes, and Contagion

2015 ◽  
Vol 105 (7) ◽  
pp. 1979-2010 ◽  
Author(s):  
Nicolae Gârleanu ◽  
Stavros Panageas ◽  
Jianfeng Yu
Keyword(s):  
Market Integration ◽  
Market Access ◽  
Asset Price ◽  
Unified Model ◽  
Price Determination ◽  
Price Changes ◽  
Ex Ante ◽  
Participation Costs ◽  
Flow Reversals

We propose a unified model of limited market integration, asset-price determination, leveraging, and contagion. Investors and firms are located on a circle, and access to markets involves participation costs that increase with distance. Due to a complementarity between participation and leverage decisions, the equilibrium may exhibit diverse leverage and participation choices across investors, although investors are ex ante identical. Small changes in market-access costs can cause a change in the type of equilibrium, leading to discontinuous price changes, deleveraging, and portfolio-flow reversals. Moreover, the market is subject to contagion—an adverse shock to investors in some locations affects prices everywhere. (JEL D83, G11, G12, G32, G35)

scholarly journals Debt and Financial Sentiment. Early Keynes on Balance Sheet Effects of Asset Price Changes

2020 ◽  
Vol 89 (1) ◽  
pp. 45-58
Author(s):  
Korkut Alp Ertürk ◽  
Jake Jennings
Keyword(s):  
Economic Performance ◽  
Asset Prices ◽  
Asset Price ◽  
Balance Sheet ◽  
Future Expectations ◽  
Private Debt ◽  
Price Changes ◽  
Balance Sheet Effects ◽  
Current Asset ◽  
The Business Cycle

Summary: The paper explores the link between financial sentiment and private debt, using Keynes’s A Treatise on Money as a conceptual backdrop. In responding to his critics after the publication of his General Theory Keynes famously talked about unexpected, violent changes in conventional asset valuations resulting from doubts with a life of their own boiling over onto the surface. Such doubts he argued influenced the size of what he called the bear position, which in his Treatise on Money he took to be an index of financial sentiment. Minsky also drew from Keynes’s earlier work when he famously argued that optimistic future expectations raise asset prices, creating a margin that enables firms to access finance in the present. However, neither asset price speculation nor shifting financial sentiment over the business cycle received in his work the kind of attention they did in Keynes’s Treatise. The focus of this paper is what Minsky left unexplored on financial sentiment and the balance sheet effects of asset price changes in the Treatise, which sheds light on when private debt can become excessive. The central insight is that financial sentiment begins to diverge when economic performance unexpectedly falls short, raising doubts that current asset prices are excessive. While the economy might be debt-led when financial sentiment is strong it tends to become debt-burdened as sentiment weakens.

ASSET PRICE CHANGES AND MACROECONOMIC MEASUREMENT OF PROFITABILITY

2011 ◽  
Vol 57 (2) ◽  
pp. 364-378 ◽  
Author(s):  
GILBERT CETTE ◽  
DOMINIQUE DURANT ◽  
JEAN-PIERRE VILLETELLE
Keyword(s):  
Asset Price ◽  
Price Changes

scholarly journals On Variance Bounds for Asset Price Changes

2015 ◽  
pp. 1.000-29.000
Author(s):  
Kevin J. Lansing ◽  
Keyword(s):  
Asset Price ◽  
Variance Bounds ◽  
Price Changes

Limit theorems and price changes in financial markets

1998 ◽  
Vol 77 (5) ◽  
pp. 1353-1356
Author(s):  
Rosario N. Mantegna, H. Eugene Stanley
Keyword(s):  
Financial Markets ◽  
Limit Theorems ◽  
Price Changes
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