scholarly journals Should Monetary Authorities Prick Asset Price Bubbles? Evidence from a New Keynesian Model with an Agent-Based Financial Market

2017 ◽  
Author(s):  
Alexey Vasilenko
Keyword(s):  
Financial Market ◽  
Asset Price ◽  
New Keynesian ◽  
New Keynesian Model ◽  
Agent Based ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
Keynesian Model ◽  
Monetary Authorities

scholarly journals Monetary Policy and Bubbles in a New Keynesian Model with Overlapping Generations

2021 ◽  
Vol 13 (2) ◽  
pp. 121-167
Author(s):  
Jordi Galí
Keyword(s):  
Monetary Policy ◽  
Rational Expectations ◽  
Overlapping Generations ◽  
Asset Price ◽  
New Keynesian ◽  
New Keynesian Model ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
Keynesian Model ◽  
Welfare Implications

I analyze an extension of the New Keynesian model that features overlapping generations of finitely lived agents and (stochastic) transitions to inactivity. In contrast with the standard model, the proposed framework allows for the existence of rational expectations equilibria with asset price bubbles. I study the conditions under which bubble-driven fluctuations may emerge and the type of monetary policy rules that may prevent them. I conclude by discussing some of the model’s welfare implications. (JEL E12, E32, E44, E52, E63)

Estimation of Macro-financial Linkages for the Indian Economy

2020 ◽  
pp. 097265272092785
Author(s):  
Shesadri Banerjee ◽  
Jayanthi K. Anand ◽  
Shashanka Bhide
Keyword(s):  
Financial Market ◽  
Policy Evaluation ◽  
Global Financial Crisis ◽  
Emerging Market ◽  
Relevant Literature ◽  
New Keynesian ◽  
Market Segment ◽  
New Keynesian Model ◽  
Jel Codes ◽  
Keynesian Model

The widespread impacts of global financial crisis (2008-09) reinstate the need for better assessment of the macro-financial linkages for forecasting and policy evaluation. Our paper contributes to the relevant literature with evidence from the Indian financial sector. Following Castelnuovo (2013), a New Keynesian model with macro-financial linkages is estimated by the Bayesian technique for the sample period 2004: Q3 to 2019: Q1. We find that, in an Emerging Market Economy like India, business cycle leads financial cycle through the channel of expectations. Further, our results show that the linkages are heterogeneous in size depending on the financial market segment and market-specific shocks. JEL Codes: C11, E44, G10

Risk measures and the impact of asset price bubbles

2015 ◽  
Vol 17 (3) ◽  
pp. 35-56 ◽  
Author(s):  
Robert Jarrow ◽  
Felipe Bastos G. Silva
Keyword(s):  
Risk Measures ◽  
Asset Price ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
The Impact
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