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INTERNATIONAL MONETARY POLICY COORDINATION AND DISTRESS CONTAGION

The proposed research involves two lines of investigation. The first line is dedicated to the study the role of monetary policy in explaining international stock market correlations. It also contributes to our understanding of the... see more

30/11/2015

100K€

Project Budget: 100K€

Project leader

IE UNIVERSIDAD No se ha especificado una descripción o un objeto social para esta compañía.

without technological profile

PARTICIPATION DEPralty Sin fecha límite de participación.

Financing granted El organismo FP7 notifico la concesión del proyecto The day 2015-11-30 We do not have the information of the call

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characteristics of the participant

Este proyecto no cuenta con búsquedas de partenariado abiertas en este momento.

Private Information

No hay información privada compartida para este proyecto. Habla con el coordinador.

1 Participantes

0.00€ | Leader

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Project leader

IE UNIVERSIDAD No se ha especificado una descripción o un objeto social para esta compañía.

without technological profile

Project Budget 100K€

participation deadline Sin fecha límite de participación.

Project description The proposed research involves two lines of investigation. The first line is dedicated to the study the role of monetary policy in explaining international stock market correlations. It also contributes to our understanding of the international propagation of shocks. As highlighted by the recent financial crisis, understanding how monetary policy affects financial markets is crucial for the conduct of monetary policy. Central Banks are usually among the first policy makers to react to business cycle fluctuations,and to crisis and economic shocks. But they do not react in the same way. Central Banks have different objectives and beliefs that make them heterogeneous. The goal of this project is to focus on how the time varying nature of Central Bank policy coordination is reflected in stock markets. The second line of enquiry studies the cross-sectional asset-pricing implications of the technological connectivity among sectors/firms’ output, when the latter is subject to persistent distress events. We pursue this task in an equilibrium pure-exchange model, where incomplete information and learning account for imprecise knowledge of market fundamentals and play an important role in the crosssectional comovement of assets prices. Barro (2009) argues that the desire to hedge against chances of macroeconomic disasters is worth a significant portion of the GDP while the welfare cost from usual economic fluctuations is much smaller and hardly able to explain the properties of expected returns. The researer will develop a model of an economy with multiple assets in positive net supply (orchard) where the economy-wise propagation of firms‘/sectors‘ cycles of distress and recovery gives rise not only to the observed time-variation of correlations, and to empirically sound predictions for both the equity premium and the interest rate puzzles, but also to the cross-section of expected returns.

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