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Статті в журналах з теми "Asset price cycle"
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Zhu, Qing, Shuyu Bai, and Jia Wang. "Liquidity, Asset Price Volatility, and Monetary Policy Choices: Empirical Evidence from China." Complexity 2022 (May 26, 2022): 1–19. http://dx.doi.org/10.1155/2022/4710234.
Повний текст джерелаАнотація:
This article effectively identifies the high and low volatility state of asset prices in China by constructing the MS-AR model, and further investigates the relationship between different dimensions of liquidity and asset price volatility. Moreover, we try to incorporate liquidity into the analytical framework and adopt the TVP-SV-VAR model to study the time-varying characteristics between monetary policy, liquidity, asset price volatility and macroeconomy. The results are as follows: firstly, it shows that the high or low volatility state of China’s stock market and real estate market can be clearly divided, and display the consistency with the trend of asset price volatility. Secondly, liquidity has a strong ability to explain the high and low volatility state of asset prices, but it shows some hysteresis effects. Thirdly, the time-varying results reveal that monetary policy has a regulating effect on liquidity, and the response cycle of quantitative monetary policy is relatively short, which reflects the effects of macroeconomy precisely. However, price-based monetary policy has a longer response cycle and plays a vital role in the anticipatory adjustment and fine-tuning of asset price volatility. These conclusions can provide an explanation for the attention to asset price bubbles and potential financial risks, and offer decision-making references for the central bank to implement differentiated and dynamic monetary policy choices.
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Erturk, Korkut A. "ASSET PRICE BUBBLES, LIQUIDITY PREFERENCE AND THE BUSINESS CYCLE." Metroeconomica 57, no. 2 (2006): 239–56. http://dx.doi.org/10.1111/j.1467-999x.2006.00241.x.
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Sekizawa, Yoichi, and Yoko Konishi. "Are consumer confidence and asset value expectations positively associated with length of daylight?: An exploration of psychological mediators between length of daylight and seasonal asset price transitions." PLOS ONE 16, no. 1 (2021): e0245520. http://dx.doi.org/10.1371/journal.pone.0245520.
Повний текст джерелаАнотація:
Many economists claim that asset price transitions, particularly stock price transitions, have a seasonal cycle affected by length of daylight. Although they claim that the seasonal affective disorder (SAD) is a mediator between the length of daylight and asset price transitions, recent studies in psychology have been inconclusive about the existence of SAD, and some economics studies disagree regarding the involvement of SAD in seasonal stock price transitions. The purpose of the present study is to examine if there is any psychological mediator linking length of daylight and seasonal asset price transitions as an alternative or supplement to SAD. As a possible mediator, we examined Japan’s consumer confidence index (CCI) and asset value expectations (AVE), which indicate people’s optimism for future economy and are generated from a monthly household survey by the Japanese government. We analyzed individual longitudinal data from this survey between 2004 and 2018 and estimated four fixed-effects regression models to control for time-invariant unobserved heterogeneity across individual households. The results revealed that, (i) there was a seasonal cycle of CCI and AVE; the trough occurred in December and the peak in early summer; (ii) the length of daylight time was positively associated with CCI and AVE; and (iii) the higher the latitude, the larger the seasonal cycle of CCI and AVE became. These findings suggest that the length of the daylight may affect asset price transitions through the cycle of optimism/pessimism for future economy exemplified by the CCI and AVE.
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Andaiyani, Sri, and Telisa Aulia Falianty. "ASEAN CREDIT GROWTH AND ASSET PRICE RESPONSE TO GLOBAL FINANCIAL CYCLE." Buletin Ekonomi Moneter dan Perbankan 20, no. 2 (2017): 203–28. http://dx.doi.org/10.21098/bemp.v20i2.812.
Повний текст джерелаАнотація:
An upsurge and volatility of capital flows to Emerging Asian Economies indicated that there is the potential effect of global financial cycle to emerging market. It provides an overview of investor risk aversion in short term investment after financial crisis 2008. Global financial cycle could have a significant impact not only to credit growth but also asset prices, including equity prices and property prices. Rey (2015) has triggered an interesting discussion about global financial cycle. She found that there was a global financial cycle in capital flows, asset prices and credit growth. This cycle was co-moves with the VIX, a measure of uncertainty and risk aversion of the markets. Therefore, this study attempts to analyze empirically global financial cycle shocks, measured by the VIX, on credit, equity prices and property prices in ASEAN-4, namely Indonesia, Malaysia, Singapore, and Thailand. We estimate quarterly frequency data from Q1 1990 to Q2 2016 with Panel Vector Autoregressive (PVAR) approach. The result of this study showed that the response of asset markets and credit to global financial cycle shocks is negative. This result is consistent with ASEAN-4 as small open economies that remain vulnerable to the global factor. This study contributes to the literature in several ways. First, we identify not only cyclical expansions orcontraction in asset markets but also the impact of global financial cycle to credit growth and asset markets in ASEAN-4 countries. Second, we also identify the pattern of cycle in ASEAN-4 countries. Third, we used PVAR approach that can capture heterogeneity.
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Chakraborty, Suparna. "REAL ESTATE CYCLES, ASSET REDISTRIBUTION, AND THE DYNAMICS OF A CRISIS." Macroeconomic Dynamics 20, no. 7 (2016): 1873–905. http://dx.doi.org/10.1017/s1365100515000322.
Повний текст джерелаАнотація:
In this paper, I explore the dynamics of real estate market fluctuations and business cycle co-movements in a neoclassical setting. Applying a dynamic stochastic general equilibrium model of collateral constraints with asset reallocation to Japan, I find that public policy shocks account well for the business cycle dynamics. In particular, taxes on land holdings of households mimic the impact of a housing preference shock, and if volatile enough, can trigger large asset price fluctuations. However, in the absence of volatility, the impact on prices is intrinsically linked to the persistence of shocks. Dependence on fixed assets such as real estate to secure collateral-based financing significantly amplifies the effect of initial shocks on the real macro aggregates. The financial accelerator works through the “redistribution channel,” shifting a large fraction of the collateral between constrained and unconstrained agents in response to an external stimuli.
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Ertürk, Korkut Alp, and Jake Jennings. "Debt and Financial Sentiment. Early Keynes on Balance Sheet Effects of Asset Price Changes." Vierteljahrshefte zur Wirtschaftsforschung 89, no. 1 (2020): 45–58. http://dx.doi.org/10.3790/vjh.89.1.45.
Повний текст джерелаАнотація:
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.
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Khandelwal, Padamja, Ken Miyajima, and Andre Santos. "The impact of oil prices on the banking system in the Gulf Cooperation Council." Journal of Governance and Regulation 6, no. 2 (2017): 32–47. http://dx.doi.org/10.22495/jgr_v6_i2_p4.
Повний текст джерелаАнотація:
This paper examines the links between global oil price movements and macroeconomic and financial developments in the Gulf Cooperation Council (GCC). The GCC economies can be adversely affected by low oil prices due to their high dependence on oil and gas exports and macro-financial linkages which can amplify the effects of oil price movements over the financial cycle. Historically, systemic financial sector risks rose in the GCC countries with the oil price upswing in the years before the global financial crisis. Against this background, a range of multivariate panel approaches, including a panel vector autoregression approach, were applied to macroeconomic and bank-level data covering the six GCC economies and span 1999–2014. The paper finds strong empirical evidence of feedback loops between oil price movements, bank balance sheets, and asset prices. Empirical evidence also suggests that bank capital and provisioning have behaved countercyclically through the cycle. That is, these ratios increase during good times. This has helped strengthen the resilience of the financial system to the oil price decline since mid-2014.
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Boehm, Christoph E., and T. Niklas Kroner. "The US, Economic News, and the Global Financial Cycle." International Finance Discussion Paper, no. 1371 (February 2023): 1–104. http://dx.doi.org/10.17016/ifdp.2023.1371.
Повний текст джерелаАнотація:
We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all jump instantaneously upon news releases. The responses of stock indexes co-move across countries and are large - often comparable in size to the response of the S&P 500. Further, US macroeconomic news explains on average 23 percent of the quarterly variation in foreign stock markets. The joint behavior of stock prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated effects. Instead, the evidence points to a direct effect on investor’ risk-taking capacity. Our findings show that a byproduct of the United States' central position in the global financial system is that news about its business cycle has large effects on global financial conditions.
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Ryczkowski, Maciej. "MONEY, CREDIT, HOUSE PRICES AND QUANTITATIVE EASING – THE WAVELET PERSPECTIVE FROM 1970 TO 2016." Journal of Business Economics and Management 20, no. 3 (2019): 546–72. http://dx.doi.org/10.3846/jbem.2019.9859.
Повний текст джерелаАнотація:
This paper investigates the relationship between money/credit growth and house price inflation for a sample of twelve developed countries. The novel application of the continuous wavelet transform showed significant but time-varying linkages between these two variables. During quantitative easing in the United States and the United Kingdom, growth of respectively broad money and bank credit was leading house price inflation for the 2-8 years cycle. In contrast to this, the Bank of Japan and the European Central Bank either did not assign a separate role to house prices in their reaction functions or the two central banks were not capable to significantly increase house prices by extending money/credit during the business cycle. The significant co-movements of financial variables and house prices around booming episodes warn us that a new asset price boom might appear within the length of a business cycle as a consequence of overly expansionary monetary policy. In the euro area, the significant, long run, and close to a one-for-one link between growth of M3 and house price inflation is an argument for the monetary pillar of the European Central Bank. The present study contributes significantly to the literature by introducing a novel application of a continuous wavelet transform to study the housing prices in relation to money, credit and quantitative easing. The article uses a long-term dataset covering a period of almost half a century to analyse their varying relationship in the short-run to the long-run and from the historical perspective.
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Wong, Chin-Yoong, and Yoke-Kee Eng. "Asset price boom–burst cycle as an elastic money response to technological shocks." Economics Letters 114, no. 3 (2012): 292–95. http://dx.doi.org/10.1016/j.econlet.2011.10.005.
Повний текст джерелаДисертації з теми "Asset price cycle"
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Oshima, Katsuhiro. "SUBJECTIVE EXPECTATION，ASSET PRICE，AND MACRO ECONOMY." Kyoto University, 2020. http://hdl.handle.net/2433/253053.
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Toyoda, Hiroki. "Asset Prices and Business Cycles." Kyoto University, 2019. http://hdl.handle.net/2433/236600.
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Petukhov, Anton. "Business cycle, reallocation of labor and asset prices." Thesis, Massachusetts Institute of Technology, 2016. http://hdl.handle.net/1721.1/107863.
Повний текст джерелаАнотація:
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2016.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (pages 33-36).<br>Empirical literature on reallocation of resources during business cycles provides an evidence of increased reallocation of labor across firms during downturns. In this paper I build a theoretical model with search frictions in the labor market, that is consistent with this observation, and study implications of search and match frictions for the cross section of stock returns. In the model firms having more growth opportunities benefit from recessions due to more slack in the labor market which allows them to expand quicker and convert higher share of their growth opportunities into profitable projects. This feature generates a return spread between value and growth firms. In the model sorts of stocks based on different growth indicators yield patterns documented empirically in previous studies.<br>by Anton Petukhov.<br>S.M. in Management Research
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Bergantino, Steven M. (Steven Michael) 1967. "Life cycle investment behavior, demographics and asset prices." Thesis, Massachusetts Institute of Technology, 1998. http://hdl.handle.net/1721.1/9667.
Повний текст джерелаАнотація:
Thesis (Ph.D.)--Massachusetts Institute of Technology, Dept. of Economics, 1998.<br>Includes bibliographical references (p. 127-131).<br>This thesis investigates the relationship between demographics and asset prices. More specifically it examines the effect of changes in the age distribution of the U.S. population on housing, stock, and bond prices over the post World War II period in the U.S. This is done in two steps. First, survey data on household asset holdings is used to construct age profiles of household demand for housing, stocks, bonds, and debt. These asset demand profiles are combined with data on the age distribution of the U.S. population to construct time series measures of aggregate demographic demand for housing, financial assets net of debt, and stocks in excess of bonds, which are then used to analyze the effects of demographically driven changes in aggregate asset demand on equilibrium asset prices over the period from 1946 through 1997. The results of this exercise suggest several interesting findings. With respect to the microeconomic issue of life cycle investment behavior, one finds that the scale and composition of household asset demand changes dramatically over the course of the economic life cycle. Young households, that is, households with heads under age 40, tend to draw credit out of financial markets, primarily by issuing mortgage contracts for the purchase of houses. The extent of this and other borrowing done by young households tends to exceed any gross contributions they make to financial markets through transactions accounts, mutual funds, retirement plans, etc., making them net negative investors in financial assets on average. In contrast, households with heads between ages 40 and 60, tend to provide substantial amounts of credit to financial markets. Much of this saving is, at least nominally, retirement saving, held in personal retirement accounts and employer provided pensions. Households with heads over age 60 tend, like younger households, to drain credit from financial markets. However, unlike young households, older households draw credit out of financial markets not by borrowing, rather, by using previously accumulated assets to fund consumption during retirement. Due to large shifts in the age distribution of the U.S. population since 1946, these life cycle investment patterns appear to have had significant macroeconomic consequences. Tests of the correlation between the constructed demographic demand variables and corresponding asset price series, suggest a statistically significant link between demographic changes in the U.S. population and observed long run movements in housing, stock, and bond prices. This is true even after controlling for the effects of other factors such as fluctuations in real GDP (in the case of housing and bond prices) and dividends (in the case of stock prices). Estimated elasticities of real housing prices with respect to the demographic demand for housing suggest that demographic factors can account for approximately 59% of the observed annual increase in real housing prices between 1966 and 1986. Similarly, demographically driven changes in the demand for financial assets can account for approximately 77% of the observed annual increase in real stock prices between 1986 and 1997 and can account for at least 81 % of the observed annual increase in real bond prices. As for the future, current Census Bureau population projections suggest that annual growth in demographic housing demand will provide a positive stimulus of about 0.35% per year to real housing price appreciation between 1997 and 2007, down from about 0.98% per year for the period between 1986 to 1997, and 1.02% per year for the period between 1966 and 1986. Growth in the demographic demand for financial assets is expected to provide a positive stimulus to real stock and bond price appreciation of about 8.76% per year between 1997 and 2007, up from about 6.62% per year for the period between 1986 and 1997, and -1.34% per year for the period between 1966 and 1986.<br>by Steven M. Bergantino.<br>Ph.D.
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BASSANIN, MARZIO. "Essays in Macro-Financial Linkages." Doctoral thesis, Luiss Guido Carli, 2019. http://hdl.handle.net/11385/201073.
Повний текст джерелаАнотація:
This thesis consists in three essays that study the linkages between real and financial factors
from different perspectives. Chapter 1, co-authored with Ester Faia and Valeria Patella, introduces
a full set of ambiguity attitudes, which endogenously induces agents' optimism in booms
and pessimism in recessions, in a model where borrowers face occasionally binding collateral
constraints. We use GMM techniques with latent value functions to estimate the ambiguity
attitudes process, showing that agents update their belief over the credit cycle in a way coherent
with our preferences specification. By simulating a crisis scenario, we show that optimism
in booms is responsible for strong leverage build-up before the crises while pessimism in recessions
implies sharper de-leveraging and asset price bursts. Analytically and numerically, using
global non-linear methods, we show that our ambiguity attitudes coupled with the collateral
constraints help to explain relevant asset price and leverage cycle facts around the unfolding of
financial crises. Chapter 2, co-authored with Carmelo Salleo, studies the strategic interactions
between monetary and macroprudential authorities through the lens of an open-economy monetary
model featuring trade and financial
ows between two symmetric countries. Characterizing
a set of Within-Country Cooperative and Nash Equilibria for different degrees of trade and financial
integration, the analysis identifies large costs associated to the strategic interaction between
the domestic authorities. Moreover, the gains from cooperation are strongly affected by the degree
of cross-country integration and by the channel through which the integration is realized:
larger trade
ows reduce the gains, while higher financial globalization makes cooperation more
valuable. Then, moving to a Between-Countries Cooperative and Nash Equilibria analysis, we
confirm that cooperation is beneficial from both the country-specific and the global perspective.
Chapter 3, co-authored with Javier Ojea Ferreiro and Elena Rancoita proposes an innovative
methodology for the design of adverse scenarios for macroprudential policies calibration and
impact assessment. Our methodology allows building tailored scenarios characterized by two
main features. First, there is a stable and transparent mapping of the cyclical systemic risk level
into the path of the scenario's target variables, which are those variables that determine the
overall scenario's severity. Second, the path of the other complementary variables is calibrates
with a multivariate copula model estimated with macro and financial data (MacroFin Copula).
Simulating the model for Euro Area countries, we show that our methodology is able to calibrate
adverse scenarios that properly replicate the global financial crises dynamics in terms of
severity and co-movement between the key macroeconomic and financial variables.
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Bhaskar, Sandeep. "Asset Prices, Banking and Economic Activity." Diss., Temple University Libraries, 2016. http://cdm16002.contentdm.oclc.org/cdm/ref/collection/p245801coll10/id/406182.
Повний текст джерелаАнотація:
Economics<br>Ph.D.<br>This dissertation examines the role of asset prices to act as a transmission and amplification mechanism. Specifically, it looks at how changes in asset prices can help transmit and amplify technology shocks through the credit channel by changing the supply of loanable funds, or changing the supply of deposits, or both. Using a modified version of the Kiyotaki-Moore credit cycles model with concave utility and decreasing returns to scale production function, the dissertation illustrates that asset prices can as a credible amplification and transmission mechanism. Using concave utility and decreasing returns to scale production function allows the incorporation risk aversion into the credit cycles model. The model can help explain the gap between observed magnitude of shocks, and the corresponding changes in economic activity. The behavior of a heterogeneous agent economy in response to a technology shock is simulated using computer programs. The simulations show that a one percent technology shock translates into a more than four percent change in capital held by the constrained agents by moving capital from one agent type to the other. This moves the economy away from a first-best equilibrium. If the technology shock is positive there is an increased demand of capital from the more productive agents, and thus a more than proportionate increase in output. If the technology shock is negative, the opposite path is followed, and economic activity falls more than proportionately. There are credit constraints built into the model. Agents' access to credit is determined by the value of collateral on oer, which in turn depends on asset prices. Technology shocks change demand for assets, their prices, their value as collateral, and hence agents' access to credit. Further, since prices are forward looking, a shock in one period propagates through time. These simulations show that the effects of the shock can be felt up to 13 periods after it has hit. An event analysis with housing price data from 18 countries spanning a period of more than four decades is also performed. It shows that there is strong co-movement of housing prices and economic activity. In particular, larger changes in housing prices have been accompanied by qualitatively similar changes in economic activity. The period leading up to the peak of a real estate cycle is accompanied by a more than proportionate increase in private sector lending, and once the peak has been crested, there is a more than proportionate fall in nominal private sector lending. This evidence is in sync with the earlier observation that changes in asset prices influence agents' access to credit and contribute to the persistence of the effects of the shock far into the future. Further, the preferred measure of economic health, the rate of inflation, sees no measurable change in periods leading up to a real estate peak, and beyond. This throws up the need for some other measure of economic health that is better able to capture the events in asset markets. Policy makers have been paying more attention to this channel in the aftermath of the sub-prime mortgage crisis in the United States. There have been multiples changes in regulatory policy across the world, and specific steps are being taken to dampen exuberance in the real estate market. Only time can tell if these measures turn out to be effective, but at least a step has been taken towards realizing that housing market can lead to a wider economic and banking crisis.<br>Temple University--Theses
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Iacoviello, Matteo. "Monetary policy, asset prices andthe business cycle : a theoretical and empirical analysis." Thesis, London School of Economics and Political Science (University of London), 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.398255.
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Scheffel, Eric M. "Business cycles, velocity and asset prices in a Wicksellian banking time economy." Thesis, Cardiff University, 2010. http://orca.cf.ac.uk/55889/.
Повний текст джерелаАнотація:
This thesis collects three interrelated pieces of theoretical work, which are connected to each other in the sense of being rooted in an analysis and examination of a specific type of monetary general equilibrium model which is of a cash-in-advance nature. All of the three contributions extend the usual quantity-theoretic cash-in-advance (CIA) constraint to a more general exchange constraint, in that they include the possibility of allowing the representative household to pay for the consumption good using a (self-)produced alternative means-of-exchange, costly credit. The first two pieces extend the cash costly-credit production-based monetary RBC framework to include habit persistence in consumption and adjustment costs to investment. Most of the stochastic dynamic analysis emphasizes the role of a goods-sector productivity structural shock on/t/, so the thesis focuses on telling a story of a "Wicksellian" Banking time economy, in which it is predominantly this shock alone - and its effect on the Wicksellian equilibrium real rate of interest - that is driving both real and nominal variables in the economy. The growth rate of money is assumed to be of deterministic "k-percent" Friedman-type nature, so as to allow a more focused analysis of the endogenous variation in the demand for money. While the first piece discusses how the chosen modeling framework can success fully account for some factually observed measures related to consumption-money velocity, the second piece uses a similar model setup, but instead discusses the conditional behaviour of key real and nominal variables over the business cycle. Money balances, real quantities, real and nominal rates, as well as (expected) inflation rate series move conditionally over a Solow residual-driven business cycle, so as to closely mimick some of the salient features of a stylized monetary business cycle. Noteably, the additional introduction of credit production shocks allow the artificial economy to closely mimick the breakdown of a stable money demand relationship which is such a pertinent feature of the U.S. monetary business cycle in post-1980 data. Finally, the third piece deviates marginally from the first two contributions in that it constitutes a discussion of a labour-only economy. Here, credit production is de-centralized and produced subject to a debt- (or collateral-) requirement. Specifically, the decentralized financial intermediary is assumed to retain an amount of short-term government debt equal in value to credit on it's balances sheet, which it eventually pays out as a dividend to the household, reimbursing the latter for the cost of credit. The money market rate (obtained on a one-period saving deposit) is generally lower than the usual intertemporal risk-free rate, where the difference is always equal to the banking wage bill, which varies endogenously over the business cycle. This model setup and the implied banking wage tax levied on short-term saving deposits can help to explain some of the unconditional as well as conditional behaviour of the low risk-free, the equity premium, and the unconditional shape of the term structure of interest rates.
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Knütter, Rolf [Verfasser]. "Monetary Policy and Asset Prices: How Do Boom-Bust Cycles Influence the Optimal Strategy of Monetary Policy? / Rolf Knütter." Hagen : Fernuniversität Hagen, 2011. http://d-nb.info/1013332350/34.
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Hýža, David. "Stock market panics, safe havens and implications for the portfolio management." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-199200.
Повний текст джерелаАнотація:
The thesis addresses the instabilities in stock markets in the USA. There are many factors that may increase the price volatility, or even cause a panic. During these turbulent times investors can seek shelter in investment safe havens that allow protecting their portfolio against significant financial losses. The focus is put on identifying the situations where it is appropriate to use the safe havens and how to properly time all transactions. Historical insight, events study and investigating economic cycles are the integral part of the work.
Книги з теми "Asset price cycle"
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Fund, International Monetary, ed. Asset prices and the business cycle. International Monetary Fund, 2000.
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Campbell, John Y. Asset prices, consumption, and the business cycle. National Bureau of Economic Research, 1998.
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Schinasi, Garry J. Asset prices, monetary policy, and the business cycle. International Monetary Fund, 1994.
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4
Gomes, Joao. Asset prices and business cycles with costly external finance. National Bureau of Economic Research, 2002.
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IMF. Research Dept. World Economic Outlook, May 2000: Asset Prices and the Business Cycle. International Monetary Fund, 2000. http://dx.doi.org/10.5089/9781557759368.081.
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IMF. Research Dept. World Economic Outlook, May 2000: Asset Prices and the Business Cycle. International Monetary Fund, 2000. http://dx.doi.org/10.5089/9781557759375.081.
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IMF. Research Dept. World Economic Outlook, May 2000: Asset Prices and the Business Cycle. International Monetary Fund, 2000. http://dx.doi.org/10.5089/9781557759382.081.
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Menzly, Lior. The time series of the cross section of asset prices. National Bureau of Economic Research, 2002.
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Fernando, Alvarez. Using asset prices to measure the cost of business cycles. National Bureau of Economic Research, 2000.
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Stock, James H. Forecasting output and inflation: The role of asset prices. National Bureau of Economic Research, 2001.
Знайти повний текст джерелаЧастини книг з теми "Asset price cycle"
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Pepper, Gordon. "Savings Imbalances and the Business Cycle." In Money, Credit and Asset Prices. Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1057/9780230375932_7.
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Pepper, Gordon. "Shifts in the Savings Demand for Money and the Business Cycle." In Money, Credit and Asset Prices. Palgrave Macmillan UK, 1994. http://dx.doi.org/10.1057/9780230375932_8.
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Semmler, Willi. "The Mechanism of Recent Boom-Bust Cycles: Credit, Complex Securities, and Asset Prices." In Asset Prices, Booms and Recessions. Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-20680-1_21.
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Shi, Shouyong. "Liquidity Shocks and Asset Prices in the Business Cycle." In The Global Macro Economy and Finance. Palgrave Macmillan UK, 2012. http://dx.doi.org/10.1057/9781137034250_7.
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Sterken, Elmer. "The Role of the Ifo Business Climate Indicator and Asset Prices in German Monetary Policy." In Ifo Survey Data in Business Cycle and Monetary Policy Analysis. Physica-Verlag HD, 2005. http://dx.doi.org/10.1007/3-7908-1605-1_8.
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Congdon, Tim. "Money, Asset Prices and the Boom-Bust Cycles in the UK: An Analysis of the Transmission Mechanism from Money to Macro-Economic Outcomes." In Issues in Monetary Policy. John Wiley & Sons, Inc., 2015. http://dx.doi.org/10.1002/9781119205814.ch9.
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"The Historical Pattern of Economic Cycles and Their Interaction with Asset Prices and Financial Regulation." In Asset Price Bubbles. The MIT Press, 2003. http://dx.doi.org/10.7551/mitpress/1459.003.0044.
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"Comments on “The Historical Pattern of Economic Cycles and Their Interaction with Asset Prices and Financial Regulation”." In Asset Price Bubbles. The MIT Press, 2003. http://dx.doi.org/10.7551/mitpress/1459.003.0047.
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"Cyclical Changes Associated with Business Cycles." In The Liquidity Theory of Asset Prices. John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673423.ch5.
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Rangvid, Jesper. "Monetary policy and the business cycle." In From Main Street to Wall Street. Oxford University Press, 2021. http://dx.doi.org/10.1093/oso/9780198866404.003.0010.
Повний текст джерелаАнотація:
This chapter describes monetary policy. Monetary policy aims at keeping consumer prices stable and the financial system well-functioning. Monetary policy is conducted by central banks. To achieve their goals, central banks use their monetary policy instruments, the most important of which is the monetary policy rate. By changing the short interest rate, central banks influence financial markets, first via its influence over other interest rates (longer interest rates on government bonds, interest rates on commercial debt, mortgage rates, etc.) and then via spill-overs to other asset prices, such as stock prices, exchange rates, house prices, etc. Changes in monetary policy thereby influence the business cycle and its future path. When monetary policy influences the business cycle, and the business cycle influences the stock market, there are good reasons to believe that monetary policy also influences the stock market.
Тези доповідей конференцій з теми "Asset price cycle"
1
Berry, Irene, Glen Merfeld, and Patrick Riley. "Mapping Energy Storage Physics to Application Economics." In ASME 2016 10th International Conference on Energy Sustainability collocated with the ASME 2016 Power Conference and the ASME 2016 14th International Conference on Fuel Cell Science, Engineering and Technology. American Society of Mechanical Engineers, 2016. http://dx.doi.org/10.1115/es2016-59597.
Повний текст джерелаАнотація:
The success of grid scale energy storage hinges on our ability to solve real problems economically. By mapping energy storage physics to application economics, this paper offers a technology neutral look at how energy storage can solve real problems. A value analytics methodology was developed that combines the physics of energy storage, application power commands, and market-specific economic constructs. This approach evaluates and optimizes the value of energy storage for specific projects by providing insight into the tradeoffs between the lifecycle costs and revenues. These analytics calculate the net present value (NPV) and internal rate of return (IRR) of select energy storage assets, markets, and applications by considering these key factors: • Duty profiles and control strategies • Market economics and revenue streams • Asset performance at cell, module, and system levels • Price projections including balance of plant (BOP) • Cycle and calendar life • Project length and financing terms The value analytics methodology combines three model streams. The first takes a high fidelity load profile (for example, the power output of a building, wind turbine, or solar farm), imposes a specific control strategy, and calculates revenue streams in a selected market. From this first model stream a storage power command is generated. This power command is fed into the second model stream that calculates the required size and price of a given storage type. Finally, a third model stream uses empirical life models to calculate degradation rates, replacement intervals, and maintenance costs. These are rolled up into a project specific financial analysis that forecasts project NPV and IRR. The underlying engine for this methodology is a large performance and price database of over 100 commercial and emerging energy storage assets that spans a wide range of technologies from ultracapacitors and flywheels to lead acid and lithium-ion batteries. The physics based performance of each asset is captured as an equivalent circuit model. These models are exercised to create performance envelops that describe the rate dependent power capability as a function of the type, amount, and age of installed storage. The energy storage value analytics described in this paper can be used to test key sensitivities. This methodology has been applied to standalone energy storage systems as well as the combination of energy storage with renewables and distributed power generation. As shown, the methodology is relevant for an even wider range of applications. Several solution maps will be shared that reveal, by market segment, the energy storage type, amount, and application that create the greatest customer value. This type of informed design and dispatch will solve real problems, create new value streams, and open new markets for grid scale energy storage.
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Al-Aulaqi, Talal, Hussain Al Bulushi, Hashim Al Hashmi, et al. "Thermal EOR Conformance – A New Frontier for Asset Optimization: Steam Shutoff Pilot in Oman." In Abu Dhabi International Petroleum Exhibition & Conference. SPE, 2021. http://dx.doi.org/10.2118/207254-ms.
Повний текст джерелаАнотація:
Abstract Over the last 50 years, thermal EOR has been an effective method for reducing the viscosity of and recovering heavy oil from deep reservoirs. In mature thermal EOR projects, conformance is one of the main challenges for maximizing reserves and meeting long-term production expectations. In this paper, Occidental presents a novel pilot to address thermal conformance in the Mukhaizna field in Oman. This is a thermal EOR operation in deep reservoirs (&gt; 2,000 ft) with extremely high viscosity (&gt;10,000 cp) in harsh desert conditions with temperatures exceeding 500°F. The pilot area is a mature thermal area with 15 years of continuous steamflood operations. The novel conformance technique, based on a combination of chemical and zonal mechanical isolation systems, was developed in-house in a low oil price environment. The pilot area consists of multiple reservoir zones that have undergone vertical steam injection since 2005. Thermal conformance has emerged as a challenge because more than 60% of the injected steam has been preferentially entering the high-permeability zones, with only 40% of the steam entering the other zones, which hold a larger amount the remaining oil. The subsurface and well engineering teams collaborated to design a rigless operation using dual coiled tubing units, one for cooling water and one pumping a chemical gelation recipe that gels at a certain trigger gelation temperature at the target zone. Zonal isolation of the reservoir is achieved using a novel inflatable packer triggered mechanically by ball gravitation through coiled tubing at 500°F and retrieved after the temporary zonal isolation. The well and reservoir surveillance included gathering data for injectivity assessment, vertical injection logging, temperature profiles, tracer tests in offset producers, and well testing for determining water cut. The pilot improved vertical conformance, as injection logging showed 40% steam reduction was achieved in the target zone, and more steam was re-allocated to the shallow zones. In addition, there was a water cut reduction of more than 20% in offset producers, and oil production tripled over a period of 3 months, which paid back the cost of the pilot and generated positive cash flow. To our knowledge, based on an SPE literature search, this is the first successful thermal conformance operation conducted with the following combination of technologies: 1) Placing a novel chemical recipe through temporary zonal isolation with an inflatable packer, and 2) Using rigless operation of coiled tubing units at harsh conditions of &gt;500°F and high pressure &gt;1000 psi. The outcomes open a new frontier for thermal EOR development in multi-stack reservoirs, offering better utilization of steam injection and improving mobility control over the field life cycle. The cost of the pilot project was paid off in the first 6 weeks, and all chemicals used were developed in an eco-friendly system.
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Hurdle, Tim. "Cost-Effective Intelligent Engine Health Monitoring for Naval Gas Turbines." In ASME Turbo Expo 2007: Power for Land, Sea, and Air. ASMEDC, 2007. http://dx.doi.org/10.1115/gt2007-27507.
Повний текст джерелаАнотація:
The Marine Olympus and Tyne are long serving marine gas turbine engines, which entered service in the early 70’s and whose design heritage goes as far back as the 1950’s. The engines, still in active service with twenty three navies, continue to provide propulsion power for aircraft carriers, frigates and destroyers in every ocean around the globe. Rolls-Royce has developed a “Total Care” (TC) contract with one of its major naval customers to replace the traditional “as incurred” support arrangement. Under Total Care, Rolls-Royce for a fixed price will provide engines, their spares and technical support for a 12 year period. A fundamental element of the “Total Care” strategy was to install Data Acquisition and Intelligent Engine Health Monitor/Hazard alert systems. This paper will describe the technical requirement and business justification for the introduction of an Engine Health Monitor at a seemingly late stage in the engine product life cycle. The paper will also show how the customer and other stakeholders were satisfied that such an investment was both cost effective and achievable. Topics covered include the unique approach required for legacy products, system supplier and cost issues, sensor selection, prototyping, campaigning the equipment into the fleet and how to effectively manage large quantities of data. The paper will show how the use of intelligent hazard detection processes and diagnostic systems extract maximum value through asset longevity and protection for the benefit of both the service provider and customer.
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Reid, Michael, and Bernie Cook. "The Application of Smart, Connected Power Plant Assets for Enhanced Condition Monitoring and Improving Equipment Reliability." In ASME 2016 Power Conference collocated with the ASME 2016 10th International Conference on Energy Sustainability and the ASME 2016 14th International Conference on Fuel Cell Science, Engineering and Technology. American Society of Mechanical Engineers, 2016. http://dx.doi.org/10.1115/power2016-59189.
Повний текст джерелаАнотація:
The U.S. electric utility industry continues to undergo dramatic change due to a number of key trends and also prolonged uncertainty. These trends include: • Increasing environmental regulations uncertainty • Natural gas supply uncertainty and price • Economic / decoupling of electricity demand growth from GDP • Aging coal and nuclear generation fleet / coal retirements • Aging workforce • Increasing distributed energy resources • Increasing customer expectations The transformation ultimately demands significant increases in power plant generation operating capabilities (e.g. flexibility, operating envelop, ramp rates, turn-down etc.) and higher levels of equipment reliability, while reducing O&M and capital budgets. Achieving higher levels of equipment reliability and flexibility, with such tightening budget and resource constraints, requires a very disciplined approach to maintenance and an optimized mix of the following maintenance practices: • Reactive (run-to-failure) • Preventive (time-based) • Predictive (condition-based) • Proactive (combination of 1, 2 and 3 + root cause failure analysis) Many U.S. electric utilities with fossil generation have adopted and implemented elements of an equipment reliability process consistent with Institute of Nuclear Power Operations (INPO) AP-913. The Electric Power Research Institute has created a guideline modeled from the learnings of AP-913, that consists of six key sub-processes [1]: 1. Scoping and identification of critical components (identifying system and component criticality) 2. Continuing equipment reliability improvement (establishing and continuously improving system and component maintenance bases) 3. Preventive Maintenance (PM) implementation (implementing the PM program effectively) 4. Performance monitoring (monitoring system and component performance) 5. Corrective action 6. Life cycle management (long-term asset management) A significant proportion of Duke Energy’s coal fleet is of an age where individual components have reached their design intent end-of-life thereby creating an increased need for performance monitoring. Until recent times this was largely performed by maintenance technicians with handheld devices. This approach does not allow regular data collection for trending and optimization of maintenance practices across the fleet. Significant and recent advances in sensor technology, microprocessors, data acquisition, data storage, communication technology, and software have enabled the transformation of critical power plant assets such as steam turbines, combustion turbines, generators, transformers, and large balance-of-plant equipment into smart, connected power plant assets. These enhanced assets, in conjunction with visualization software, provide a comprehensive conditioning monitoring solution that continuously acquires sensory data and performs real time analysis to provide information and insight. This advanced condition monitoring capability has been successfully applied to obtain earlier detection of equipment issues and failures and is key to improving overall equipment reliability. This paper describes an approach by Duke Energy to create and apply smart, connected power plant assets to greatly enhance its fossil generation continuous condition monitoring capabilities. It will discuss the value that is currently being realized and also look at future possibilities to apply big data and analytics to enhance information, insight, and actionable intelligence.
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Zhang, Xiao-rong, Jian-gang Xu, and Zhi-guo Li. "Financial stability and interest rate adjustment in asset price boom-bust cycles." In 2011 International Conference on Electronics, Communications and Control (ICECC). IEEE, 2011. http://dx.doi.org/10.1109/icecc.2011.6068187.
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Raj, Komandur Sunder. "Technical/Technological Advances for Optimizing Heat Rate." In ASME 2015 Power Conference collocated with the ASME 2015 9th International Conference on Energy Sustainability, the ASME 2015 13th International Conference on Fuel Cell Science, Engineering and Technology, and the ASME 2015 Nuclear Forum. American Society of Mechanical Engineers, 2015. http://dx.doi.org/10.1115/power2015-49012.
Повний текст джерелаАнотація:
Heat rate in a power plant cycle is a calculated value expressed as the ratio of the amount of heat supplied to the cycle divided by the amount of power that is generated. It is directly affected by the heat source and associated auxiliaries, the prime mover, the regenerative feedwater heating cycle and, the heat sink. Heat rate computations also suffer from imprecision/time lags associated with fuel flow measurements, difficulties/uncertainties in determination of the actual amount of heat supplied to the power plant cycle and, measurement of the power that is generated. Consequently, many power plant owners and operators have reservations as to the intrinsic value of heat rate as a performance metric, since detailed analysis and evaluation of the underlying causes and issues are essential to account for deviations from predicted or expected values. Several innovations and advances have paved the way for real-time monitoring, trending, analyzing, evaluating, diagnosing and optimizing power generating asset performance. Using a coal-fired unit as a representative case study, this paper provides an overview of how technical/technological advances in optimizing power generating asset performance facilitate concomitant optimization of heat rate.
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Adamuscin, Andrej, Miroslav Panik, and Julius Golej. "Economic Impact of COVID-19 on Real Estate Prices in Slovakia." In 13th International Conference on Applied Human Factors and Ergonomics (AHFE 2022). AHFE International, 2022. http://dx.doi.org/10.54941/ahfe1002286.
Повний текст джерелаАнотація:
The Slovak real estate market is relatively young compared to developed countries. Real estate is one of the assets with a low risk of loss, but also with low liquidity. Real estate prices are subject to changes caused by economic cycles. Due to the rapidly changing market conditions, already realized real estate is considered a relatively certain investment, while investments in its construction are marked by high risk. Real estate prices are determined by several socio-economic and demographic factors.The COVID-19 disease also raised levels in the real estate market. None of us expected the crisis caused by the new coronavirus. Although many forecasters agree that the economic crisis is a phenomenon that recurs cyclically about every 10 years, few would have predicted the enormous global proportions it could have.The article aims to answer the questions of how the corona crisis-affected real estate prices in Slovakia and how prices will develop until the end of 2021.
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Nadig, Ranga. "Design of Fast and Reliable Steam Surface Condensers." In ASME 2020 Power Conference collocated with the 2020 International Conference on Nuclear Engineering. American Society of Mechanical Engineers, 2020. http://dx.doi.org/10.1115/power2020-16680.
Повний текст джерелаАнотація:
Abstract Power plants operating in cyclic mode, standby mode or as back up to solar and wind generating assets are required to come on line on short notice. Simple cycle power plants employing gas turbines are being designed to come on line within 10–15 minutes. Combined cycle plants with heat recovery steam generators and steam turbines take longer to come on line. The components of a combined cycle plant, such as the HRSG, steam turbine, steam surface condenser, cooling tower, circulating water pumps and condensate pumps, are being designed to operate in unison and come on line expeditiously. Major components, such as the HRSG, steam turbine and associated steam piping, dictate how fast the combined cycle plant can come on line. The temperature ramp rates are the prime drivers that govern the startup time. Steam surface condenser and associated auxiliaries impact the startup time to a lesser extent. This paper discusses the design features that could be included in the steam surface condenser and associated auxiliaries to permit quick startup and reliable operation. Additional design features that could be implemented to withstand the demanding needs of cyclic operation are highlighted.
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Jarmowski, Dennis, Paolo Capozzi, Jan Vogt, and Klaus Helbig. "Investigation of Advanced Lifetime Calculation Procedure for Steam Turbines in Flexible Operation." In ASME Turbo Expo 2017: Turbomachinery Technical Conference and Exposition. American Society of Mechanical Engineers, 2017. http://dx.doi.org/10.1115/gt2017-64147.
Повний текст джерелаАнотація:
At high intermittent renewable energy share, plants are forced to operate more flexible beyond their original design intent. Many plants are older than 30 years with only limited residual lifetime. Decreasing energy prices and capacity factors will further enforce older plants to more transient operation with steeper gradients. Steam Turbine (ST) protections systems on site often are not designed for such flexible operation and therefore do not properly supervise the resulting impact on lifetime consumption. Therefore precise lifetime management concepts are required to increase plant reliability and flexibility, mitigate risks for new implemented operation modes like faster start-ups and extended turn down. The prerequisite for properly managing a plants lifetime is the accurate knowledge of the current state of consumed lifetime, which is evaluated in a lifetime assessment (LTA). This includes a standardized process for the calculation of creep and fatigue damage. For this long-term field operation data is used as input. The current LTA procedure typically limits the analysis to transient operation during start-up and shut-down. Other types of transient operation such as improved turn-down also need to be considered in order to take all relevant operation modes into account. Therefore dedicated, new advanced methods are required for the precise estimation of the lifetime impact due to new operation modes with higher requirements compared to an assessment based on known current procedure. These methods will allow optimizing asset lifetime. In order to maintain power plant competitiveness, operation and maintenance cost must be reduced despite the demand for improved turn-down and more frequent start-up procedures. This paper presents results of ST lifetime studies combining long-term operation data (including improved turn-down operation), FEM calculations and simplified and advanced constitutive material models. In a first investigation, the rotor is modelled with FEM and thermal boundary conditions during isolated transient operation are derived from measurement data combined with generically elaborated new turn-down profiles. The impact of the start-stop (enclosing cycle) and turndown cycle (sub-cycle) on the lifetime consumption is evaluated. For this, sub-cycles are considered in combination with the enclosing cycle and as isolated cycle. In a second investigation, the above described calculation model is fed with 2 years of continuous operation data. Postprocessing is performed with common rain-flow methods and compared to an accumulative start-stop cycle assessment. Based on the input of the calculation with the advanced constitutive material model further fracture mechanic investigations are performed. The paper closes with an outlook on opportunities arising from digitalization of power generation equipment.
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Pérez, Romel Antonio, Héctor Arnoldo Rodréguez, Gabriel Julian Rendón, et al. "Optimizing Production Performance, Energy Efficiency and Carbon Intensity with Preformed Foams in Cyclic Steam Stimulation in a Mature Heavy Oil Field: Pilot Results and Development Plans." In SPE Improved Oil Recovery Conference. SPE, 2022. http://dx.doi.org/10.2118/209399-ms.
Повний текст джерелаАнотація:
Abstract Steam injection has been the thermal Enhanced Oil Recovery (EOR) to develop heavy and extra heavy crude oil reservoirs worldwide. However, oil price volatility, trends in the energy transition, and steam injection carbon footprint are influential factors limiting the commercial deployment of steam-based EOR technologies. In response to these new challenges, hybrid steam methods such as cyclic steam stimulation (CSS) with preformed foam have become energy and environmentally efficient technology revitalizing mature wells in Colombia. Since mid-2019, six field tests of preformed foam injection previous to the steam cycle have been implemented to optimize CSS processes in mature wells (&gt; 10 cycles) of a heavy oil field located in the Middle Magdalena Valley (MMV). The technology includes injecting the foaming agent with nitrogen as non-condensable gas using a specially designed wellhead mixer that can generate a stable foam at the surface and inject it as a diverting agent before the steam cycle is injected. This paper describes the field test evaluation from design to production performance, including foam formation monitoring strategies based on produced water geochemistry. Results will also be described in terms of energy efficiency (E.E.) and carbon intensity (C.I) indexes, defined as criteria to evaluate potential development plans in different assets of the MMV. The first two pilot wells initiated last July 2019 have reported incremental oil recoveries that exceed 20 KBO. As of October 2021, one of the wells is still producing above the baseline, representing an improvement in E.E. and C.I. Once the baseline production is reached, a second CSS with foam is scheduled as part of the EOR program. In December 2020, two additional tests were implemented. Higher steam injection pressures were observed, suggesting the flow diversion to lower permeabilities and unswept oil intervals as recorded during the first pilot wells. Both wells are showing encouraging performance, and results will also be described. Regarding the geochemical analysis, the increase in the total concentration of water-soluble organic compounds (WSOC) confirms the production of unswept zones within the pay interval. Specific WSOC were identified (i.e., Ox and OxS classes, where X ≥ 2, detected by (-)ESI FT-ICR-MS) as natural tracers to complement ongoing project interpretation. Based on the results observed, different development scenarios are under consideration. This study provides new insights to optimize CSS in mature wells operating since the early 1980s supported by a novel surface foam generator, affordable monitoring strategies, and developed energy efficiency indexes aligned with lower carbon footprint goals established in Colombia in the era of the energy transition.
Звіти організацій з теми "Asset price cycle"
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Campbell, John. Asset Prices, Consumption, and the Business Cycle. National Bureau of Economic Research, 1998. http://dx.doi.org/10.3386/w6485.
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Gomes, Joao, Amir Yaron, and Lu Zhang. Asset Prices and Business Cycles with Costly External Finance. National Bureau of Economic Research, 2002. http://dx.doi.org/10.3386/w9364.
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Alvarez, Fernando, and Urban Jermann. Using Asset Prices to Measure the Cost of Business Cycles. National Bureau of Economic Research, 2000. http://dx.doi.org/10.3386/w7978.
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