IDEAS home Printed from https://ideas.repec.org/a/eee/jimfin/v21y2002i4p539-553.html
   My bibliography  Save this article

Budget deficits, inflation risk, and asset prices

Author

Listed:
  • Thorbecke, Willem

Abstract

No abstract is available for this item.

Suggested Citation

  • Thorbecke, Willem, 2002. "Budget deficits, inflation risk, and asset prices," Journal of International Money and Finance, Elsevier, vol. 21(4), pages 539-553, August.
    • Handle: RePEc:eee:jimfin:v:21:y:2002:i:4:p:539-553
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0261-5606(02)00007-4
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Campbell, John Y & Ammer, John, 1993. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
    2. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    3. Frenkel, Jacob A & Razin, Assaf, 1986. "The International Transmission and Effects of Fiscal Policies," American Economic Review, American Economic Association, vol. 76(2), pages 330-335, May.
    4. Bernanke, Ben S & Blinder, Alan S, 1992. "The Federal Funds Rate and the Channels of Monetary Transmission," American Economic Review, American Economic Association, vol. 82(4), pages 901-921, September.
    5. Ben S. Bernanke & Ilian Mihov, 1998. "Measuring Monetary Policy," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 113(3), pages 869-902.
    6. Seater, John J, 1993. "Ricardian Equivalence," Journal of Economic Literature, American Economic Association, vol. 31(1), pages 142-190, March.
    7. Mankiw, N. Gregory (ed.), 1997. "Monetary Policy," National Bureau of Economic Research Books, University of Chicago Press, edition 1, number 9780226503097, November.
    8. Fama, Eugene F. & Gibbons, Michael R., 1984. "A comparison of inflation forecasts," Journal of Monetary Economics, Elsevier, vol. 13(3), pages 327-348, May.
    9. Haliassos, Michael & Tobin, James, 1990. "The macroeconomics of government finance," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 2, chapter 17, pages 889-959, Elsevier.
    10. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    11. Kitchen, John, 1996. "Domestic and international financial market responses to Federal deficit announcements," Journal of International Money and Finance, Elsevier, vol. 15(2), pages 239-254, April.
    12. McElroy, Marjorie B & Burmeister, Edwin, 1988. "Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model: Iterated Nonlinear Seemingly Unrelated Regression Estimates," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(1), pages 29-42, January.
    13. Karl Brunner, 1986. "Deficits, Interest Rates, and Monetary Policy," Cato Journal, Cato Journal, Cato Institute, vol. 5(3), pages 709-731, Winter.
    14. Boschen, John F & Mills, Leonard O, 1995. "The Relation between Narrative and Money Market Indicators of Monetary Policy," Economic Inquiry, Western Economic Association International, vol. 33(1), pages 24-44, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Süleyman DEĞİRMEN & Filiz ELMAS, 2008. "Türkiye’de Faiz Ve Kur Politikalarının İhracat Üzerindeki Etkisi," Ekonomik Yaklasim, Ekonomik Yaklasim Association, vol. 19(69), pages 47-66.
    2. Kandil, Magda, 2005. "Money, interest, and prices: Some international evidence," International Review of Economics & Finance, Elsevier, vol. 14(2), pages 129-147.
    3. Thorbecke, Willem, 2000. "Monetary Policy, Time-Varying Risk, and the Bond Market Debacle of 1994," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 159-174, January.
    4. BUI, Duy-Tung & LLORCA, Matthieu & BUI, Thi Mai Hoai, 2018. "Dynamics between stock market movements and fiscal policy: Empirical evidence from emerging Asian economies," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 65-74.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Thorbecke, Willem, 2000. "Monetary Policy, Time-Varying Risk, and the Bond Market Debacle of 1994," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 159-174, January.
    2. Thorbecke, Willem, 1997. "On Stock Market Returns and Monetary Policy," Journal of Finance, American Finance Association, vol. 52(2), pages 635-654, June.
    3. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
    4. Cowan, Adrian M. & Joutz, Frederick L., 2006. "An unobserved component model of asset pricing across financial markets," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 86-107.
    5. Elder, John, 2001. "Can the Volatility of the Federal Funds Rate Explain the Time-Varying Risk Premium in Treasury Bill Returns?," Journal of Macroeconomics, Elsevier, vol. 23(1), pages 73-97, January.
    6. Peter Sellin, 2001. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
    7. Andreas Reschreiter, 2004. "Risk factors of inflation-indexed and conventional government bonds and the APT," Money Macro and Finance (MMF) Research Group Conference 2003 79, Money Macro and Finance Research Group.
    8. Sajjad Zaheer & Steven Ongena & Sweder J.G. van Wijnbergen, 2013. "The Transmission of Monetary Policy Through Conventional and Islamic Banks," International Journal of Central Banking, International Journal of Central Banking, vol. 9(4), pages 175-224, December.
    9. Bruzda, Joanna, 2019. "Complex analytic wavelets in the measurement of macroeconomic risks," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    10. Olivier Coibion, 2012. "Are the Effects of Monetary Policy Shocks Big or Small?," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(2), pages 1-32, April.
    11. Jiménez, Gabriel & Ongena, Steven & Peydró, José-Luis & Saurina, Jesús, 2010. "Credit supply - Identifying balance-sheet channels with loan applications and granted loans," Working Paper Series 1179, European Central Bank.
    12. Laopodis, Nikiforos T., 2009. "Fiscal policy and stock market efficiency: Evidence for the United States," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 633-650, May.
    13. Ongena, Steven & Schindele, Ibolya & Vonnák, Dzsamila, 2021. "In lands of foreign currency credit, bank lending channels run through?," Journal of International Economics, Elsevier, vol. 129(C).
    14. M. Imtiaz Mazumder & Nazneen Ahmad, 2010. "Greed, financial innovation or laxity of regulation?," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(2), pages 110-134, June.
    15. Nasseh, Alireza & Strauss, Jack, 2000. "Stock prices and domestic and international macroeconomic activity: a cointegration approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 40(2), pages 229-245.
    16. Thang, Doan Ngoc & Anh, Pham Thi Hoang & Long, Trinh & Dong, Do Phy & Dat, Luong Van, 2022. "Monetary Stance and Favorableness of Monetary Policy in the Media: The Case of Viet Nam," ADBI Working Papers 1325, Asian Development Bank Institute.
    17. Lin, Bing-Huei & Lin, Yueh-Neng & Chen, Yin-Jung, 2012. "Volatility risk premium decomposition of LIFFE equity options," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 315-326.
    18. Cetorelli, Nicola & Goldberg, Linda S., 2008. "Banking globalization, monetary transmission and the lending channel," Discussion Paper Series 1: Economic Studies 2008,21, Deutsche Bundesbank.
    19. Ramey, V.A., 2016. "Macroeconomic Shocks and Their Propagation," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 71-162, Elsevier.
    20. Xiong, Weibo, 2012. "Measuring the monetary policy stance of the People's bank of china: An ordered probit analysis," China Economic Review, Elsevier, vol. 23(3), pages 512-533.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:21:y:2002:i:4:p:539-553. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/30443 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.