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January 29, 2010 | History

Asset prices and monetary policy 1 edition

Asset prices and monetary policy
Maria Socorro Gochoco-Bautista

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Asset prices and monetary policy
booms and fat tails in East Asia
by Maria Socorro Gochoco-Bautista.

Published 2008 by Bank for International Settlements in Basel, Switzerland .
Written in English.

About the Book

Do housing and equity booms significantly raise the probability of extremely bad outcomes at the margin? This study addresses this question for a group of 8 East Asian countries. The main findings are the following: (i) Asset price booms in housing and equity markets, either separately or jointly but especially in housing, significantly raise the probability at the margin that (a) the real output gap will be in the left tail of its distribution, in which output is significantly below trend, and (b) the price-level gap will be in the right tail of its distribution, in which the price level is significantly above trend. At the margin, the risk of the occurrence of these particular tail events due to asset price booms is largely asymmetric and does not apply to the tails of good outcomes; and (ii) Expected real output and price level outcomes that are either obtained without conditioning on asset price booms or are obtained conditional on asset price booms using the normal approximation underestimate the risk of tail events and lead to less pessimistic but misleading inferences. One implication for monetary policy is that an approach that is ex-ante more compatible with risk management may be appropriate.

Edition Notes

Title from PDF file (viewed on Oct. 10, 2008).

"January 2008."

"Monetary and Economic Department."

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.

Series
BIS working papers -- no. 243

Classifications

Library of Congress
HG3879

The Physical Object

Format
Electronic resource

ID Numbers

Open Library
OL22649182M
LC Control Number
2008613027

History Created December 11, 2009 · 2 revisions Download catalog record: RDF / JSON

January 29, 2010 Edited by WorkBot add more information to works
December 11, 2009 Created by WorkBot add works page