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Stock market bubbles, time-varying r...

Ali, Magdy Fattouh.

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Stock market bubbles, time-varying risk premia, and monetary policy: Should the Fed respond to asset price fluctuations?

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Stock market bubbles, time-varying risk premia, and monetary policy: Should the Fed respond to asset price fluctuations?/
Author:	Ali, Magdy Fattouh.
Description:	99 p.
Notes:	Director: Willem Thorbecke.
Contained By:	Dissertation Abstracts International64-02A.
Subject:	Business Administration, Banking. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3082876

Stock market bubbles, time-varying risk premia, and monetary policy: Should the Fed respond to asset price fluctuations?
Ali, Magdy Fattouh.

Stock market bubbles, time-varying risk premia, and monetary policy: Should the Fed respond to asset price fluctuations? - 99 p.

Director: Willem Thorbecke.

Thesis (Ph.D.)--George Mason University, 2003.

There is an ongoing debate on whether monetary policy should react to asset price bubbles. In this dissertation we outline the current state of the debate and consider whether monetary policy should react or not and if so whether it should react moderately or aggressively. One key finding is that there is a large, time-varying risk premium associated with contractionary monetary policy. This implies that using contractionary monetary policy to pop a speculative bubble would increase the risk premium on assets like stocks, which are exposed to contractionary monetary policy. This in turn implies that an attempt to pop a bubble would not only affect the bubble term but also, by increasing risk premia, lower the fundamental value of stocks. In other words, an attempt to use monetary policy to pop a speculative bubble would cause stock prices to fall further than they would if the bubble popped on its own. This evidence indicates that it would be unwise to use monetary policy to pop speculative bubbles. This dissertation also considers four famous asset price bubbles: the U.S. stock market crash of the 1920s; the bursting of the Japanese equity and real estate bubble in the 1980s, the popping of the East Asian bubble of the 1990s and the U.S. stock market bubble of the late 1990s Analyzing these episodes indicates that using preemptive monetary policy to burst a bubble would be worse than allowing the bubble to pop on its own and then using expansionary monetary policy to contain the fallout. One important lesson from the narrative section is that a sound, well-regulated banking system can limit the damage caused by a bursting asset price bubble.Subjects--Topical Terms:

1018458
Business Administration, Banking.

Stock market bubbles, time-varying risk premia, and monetary policy: Should the Fed respond to asset price fluctuations?
LDR:02590nam 2200277 a 45 001 926537
005 20110422
008 110422s2003 eng d
035 $a (UnM)AAI3082876
035 $a AAI3082876
040 $a UnM $c UnM
100 1 $a Ali, Magdy Fattouh. $3 1250124
245 1 0 $a Stock market bubbles, time-varying risk premia, and monetary policy: Should the Fed respond to asset price fluctuations?
300 $a 99 p.
500 $a Director: Willem Thorbecke.
500 $a Source: Dissertation Abstracts International, Volume: 64-02, Section: A, page: 0578.
502 $a Thesis (Ph.D.)--George Mason University, 2003.
520 $a There is an ongoing debate on whether monetary policy should react to asset price bubbles. In this dissertation we outline the current state of the debate and consider whether monetary policy should react or not and if so whether it should react moderately or aggressively. One key finding is that there is a large, time-varying risk premium associated with contractionary monetary policy. This implies that using contractionary monetary policy to pop a speculative bubble would increase the risk premium on assets like stocks, which are exposed to contractionary monetary policy. This in turn implies that an attempt to pop a bubble would not only affect the bubble term but also, by increasing risk premia, lower the fundamental value of stocks. In other words, an attempt to use monetary policy to pop a speculative bubble would cause stock prices to fall further than they would if the bubble popped on its own. This evidence indicates that it would be unwise to use monetary policy to pop speculative bubbles. This dissertation also considers four famous asset price bubbles: the U.S. stock market crash of the 1920s; the bursting of the Japanese equity and real estate bubble in the 1980s, the popping of the East Asian bubble of the 1990s and the U.S. stock market bubble of the late 1990s Analyzing these episodes indicates that using preemptive monetary policy to burst a bubble would be worse than allowing the bubble to pop on its own and then using expansionary monetary policy to contain the fallout. One important lesson from the narrative section is that a sound, well-regulated banking system can limit the damage caused by a bursting asset price bubble.
590 $a School code: 0883.
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Economics, Finance. $3 626650
650 4 $a Economics, General. $3 1017424
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690 $a 0508
690 $a 0770
710 2 0 $a George Mason University. $3 1019450
773 0 $t Dissertation Abstracts International $g 64-02A.
790 $a 0883
790 1 0 $a Thorbecke, Willem, $e advisor
791 $a Ph.D.
792 $a 2003
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3082876