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Statements

Subject Item
n2:RIV%2F00216208%3A11640%2F11%3A00367347%21RIV12-MSM-11640___
rdf:type
n11:Vysledek skos:Concept
dcterms:description
The recent unconventional monetary policy of the ECB and the Fed has stimulated an ongoing debate about the proper policy instruments to mitigate economic crises. The debate has revealed that existing macroeconomic models do not account for many aspects of financial crisis, including increased credit spreads, role of agents’ expectations in market volatility or over-pessimism of investors’ forecasts. In this paper we build a theoretical model which accommodates such features of the financial market as heterogeneous forecasts, both liquidity and default risk for the banking sector and collateral constraints. We show that in a set-up with risk-averse investors with heterogeneous beliefs, intermediaries tend to be over-pessimistic in times of crisis and underinvest, and that effect of central banks’ policy is undermined. The recent unconventional monetary policy of the ECB and the Fed has stimulated an ongoing debate about the proper policy instruments to mitigate economic crises. The debate has revealed that existing macroeconomic models do not account for many aspects of financial crisis, including increased credit spreads, role of agents’ expectations in market volatility or over-pessimism of investors’ forecasts. In this paper we build a theoretical model which accommodates such features of the financial market as heterogeneous forecasts, both liquidity and default risk for the banking sector and collateral constraints. We show that in a set-up with risk-averse investors with heterogeneous beliefs, intermediaries tend to be over-pessimistic in times of crisis and underinvest, and that effect of central banks’ policy is undermined.
dcterms:title
Investor sentiment and efficiency of central banks’ response to financial crisis Investor sentiment and efficiency of central banks’ response to financial crisis
skos:prefLabel
Investor sentiment and efficiency of central banks’ response to financial crisis Investor sentiment and efficiency of central banks’ response to financial crisis
skos:notation
RIV/00216208:11640/11:00367347!RIV12-MSM-11640___
n11:predkladatel
n13:orjk%3A11640
n3:aktivita
n4:S n4:Z
n3:aktivity
S, Z(MSM0021620846)
n3:dodaniDat
n6:2012
n3:domaciTvurceVysledku
n16:9233288
n3:druhVysledku
n17:O
n3:duvernostUdaju
n12:S
n3:entitaPredkladatele
n14:predkladatel
n3:idSjednocenehoVysledku
205762
n3:idVysledku
RIV/00216208:11640/11:00367347
n3:jazykVysledku
n9:eng
n3:klicovaSlova
quantitative easing; monetary policy; financial crisis; heterogeneous agents
n3:klicoveSlovo
n5:monetary%20policy n5:heterogeneous%20agents n5:quantitative%20easing n5:financial%20crisis
n3:kontrolniKodProRIV
[AC7C7E816732]
n3:obor
n8:AH
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:rokUplatneniVysledku
n6:2011
n3:tvurceVysledku
Audzei, Volha
n3:zamer
n15:MSM0021620846
n18:organizacniJednotka
11640