Project Details
Projekt
Macroeconomic fundamentals and asset prices – state dependence and implications for the conduct of monetary policy
Subject Area
Statistics and Econometrics
Economic Policy, Applied Economics
Economic Policy, Applied Economics
Term
from 2013 to 2022
Project identifier
Deutsche Forschungsgemeinschaft (DFG) - Project number 243691359
Following the burst of the US housing bubble, most recently, the global financial crisis (GFC) has provided a forceful reminder about the risks inherent in financial markets. The GFC has sparked intense debates about the role of economic and financial policies for effective crisis prevention and crisis management, in particular with regard to financial market regulation and monetary policy. It has challenged the understanding of macro- and financial economists about the linkages between the financial system and the real economy and the channels through which financial risks spill-over internationally. This project aims to deliver a valuable contribution to both, the existing academic literature and actual policy debate on monetary policy and financial stability. Apart from excess asset valuation, we consider second order dynamics (uncertainties, tail risks) as specific threats to financial stability which has become an important yardstick for the conduct of domestic monetary policies. We analyse international monetary policy spill-overs, the role of exchange rates in the mitigation of monetary policy shocks, the effectiveness of unconventional monetary policy tools, and the role of monetary developments for financial stability. From the methodological side we benefit from recent advances in structural dynamic modelling and aim at the detection of state specific model structures.
DFG Programme
Research Grants
