Asset Prices and Macroeconomic Outcomes: A Survey

98 Pages Posted: 1 Dec 2017

See all articles by Stijn Claessens

Stijn Claessens

Bank for International Settlements (BIS)

M. Ayhan Kose

Development Prospects Group at the World Bank

Multiple version iconThere are 4 versions of this paper

Date Written: November 28, 2017

Abstract

This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these linkages? And third, what are the main challenges to the theoretical and empirical findings? The survey addresses these questions in the context of four major asset price categories: equity prices, house prices, exchange rates and interest rates, with a particular focus on their international dimensions. It also puts into perspective the evolution of the literature on the determinants of asset prices and their linkages with macroeconomic outcomes, and discusses possible future research directions.

Keywords: equity prices, exchange rates, house prices, interest rates, credit, output, consumption, investment, real-financial linkages, macro-financial linkages, imperfections, frictions

JEL Classification: D53, E21, E32, E44, E51, F36, F44, F65, G01, G10, G12, G14, G15, G21

Suggested Citation

Claessens, Stijn and Kose, M. Ayhan, Asset Prices and Macroeconomic Outcomes: A Survey (November 28, 2017). CAMA Working Paper No. 76/2017. Available at SSRN: https://ssrn.com/abstract=3079156 or http://dx.doi.org/10.2139/ssrn.3079156

Stijn Claessens

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
CH-4002 Basel
Switzerland

M. Ayhan Kose (Contact Author)

Development Prospects Group at the World Bank ( email )

1818 H Street, NW
Washington, DC 20433
United States

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