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Measuring Monetary Conditions in US Asset Markets : A Market Specific Approach

Title data

Drescher, Christian ; Herz, Bernhard:
Measuring Monetary Conditions in US Asset Markets : A Market Specific Approach.
Bayreuth : Universität Bayreuth , 2010 . - (Wirtschaftswissenschaftliche Diskussionspapiere der Universität Bayreuth, Rechts- und Wirtschaftswissenschaftliche Fakultät ; 08-10 )

Official URL: Volltext

Abstract in another language

We analyze monetary conditions in US asset markets - corporate equity, real estate, Treasury bond and corporate & foreign bond - from a market specific perspective, proposing the concept of market leverage. Market leverage measures the average leverage of all asset holders in a particular asset market. The concept builds on an accounting based network that links balance sheet leverages of asset holders to their corresponding shares of ownership. Our empirical analysis yields the following results. Firstly, market specific monetary conditions can differ considerably among asset markets. Secondly, market specific monetary conditions are positively related to asset prices. Thirdly, US asset markets have experienced a loosening in market specific monetary conditions in the last decades. Fourthly, the loosening of market specific monetary conditions explains long-term increases in US asset prices. Fifthly, the recent convergence of market specific monetary conditions of real asset markets towards those of financial asset markets implies a rise in upside risk to future US asset price inflation.

Further data

Item Type: Working paper, discussion paper
Institutions of the University: Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I > Chair Economics I - Univ.-Prof. Dr. Bernhard Herz
Faculties
Faculties > Faculty of Law, Business and Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I
Result of work at the UBT: Yes
DDC Subjects: 300 Social sciences > 330 Economics
Date Deposited: 15 May 2015 12:22
Last Modified: 04 Apr 2019 05:40
URI: https://eref.uni-bayreuth.de/id/eprint/13545