The DOI matches its Crossref record; 6 of the 6 references it cites were found in a registry or an index.
Liquidity Shocks and Asset Price Boom/Bust Cycles
Open accessAbstract
We provide systematic evidence for the association of liquidity shocks and aggregate asset prices during mechanically identified asset price boom/bust episodes for 18 OECD countries since the 1970s, while taking care of the endogeneity of money and credit. Our derivation of liquidity shocks allows for frequent shifts in velocity as they are derived as structural shocks from VARs in growth rates. Residential property price developments and money growth shocks accumulated over the boom periods are able to well explain the depth of post-boom recessions. We further suggest that liquidity shocks are a driving factor for real estate prices during boom episodes. During normal times however, the relative predictive power of liquidity shocks seems to shift from asset price inflation to consumer price inflation. The results only hold for broad money growth based liquidity shocks and not for private credit growth shocks. JEL Classification: C33, E41, E51, E58
Overview
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Integrity signals
Registry
Cites
Statistics
Verification
Claims the paper makes
The claims and statistics of this paper haven’t been checked yet.
Run the check — free, no account needed. It reads the open-access text and checks the sources it cites.
Self-check
Percentages, sums and reported differences re-computed from the paper’s own numbers.
The self-check needs the paper’s full text.
Citations
Cites
Initial conditions and moment restrictions in dynamic panel data models
Blundell, R., & Bond, S. (1998) · Journal of Econometrics · doi:10.1016/s0304-4076(98)00009-8 · Cited by 22,571
Another look at the instrumental variable estimation of error-components models
Arellano, M., & Bover, O. (1995) · Journal of Econometrics · doi:10.1016/0304-4076(94)01642-d · Cited by 19,880
Initial conditions and moment restrictions in dynamic panel data models
Blundell, R., & Bond, S. (1995) · Working Paper Series · doi:10.1920/wp.ifs.1995.9517 · Cited by 14,755
Biases in dynamic models with fixed effects
Nickell, S. (1981) · Econometrica · doi:10.2307/1911408 · Cited by 8,735
What To Do (and Not to Do) with Time-Series Cross-Section Data
Beck, N., & Katz, J. N. (1995) · American Political Science Review · doi:10.2307/2082979 · Cited by 6,840
Agency Costs, Net Worth, And Business Fluctuations
Bernanke, B., Gertler, M., Bernanke, B., & Gertler, M. (1988) · Unknown · doi:10.22004/ag.econ.292693 · Cited by 4,386
Cited by
Risk, uncertainty and monetary policy
Bekaert, G., Hoerova, M., & Lo Duca, M. (2013) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2013.06.003 · Cited by 1,235
A Survey of Systemic Risk Analytics
Bisias, D., Flood, M., Lo, A. W., & Valavanis, S. (2012) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-110311-101754 · Cited by 659
The EMU sovereign-debt crisis: Fundamentals, expectations and contagion
Arghyrou, M. G., & Kontonikas, A. (2012) · Journal of International Financial Markets, Institutions and Money · doi:10.1016/j.intfin.2012.03.003 · Cited by 458
A Survey of Systemic Risk Analytics
Bisias, D., Flood, M. D., Lo, A. W., & Valavanis, S. (2012) · SSRN Electronic Journal · doi:10.2139/ssrn.1983602 · Cited by 331
Metadata
- Authors
- Adalid, R., & Detken, C.
- Venue
- SSRN Electronic Journal
- Publisher
- Elsevier BV
- Published
- 2007
- ISSN
- 1556-5068 (ISSN-L)
- OpenAlex
- W2140455907
- Cited by
- 180
- References
- 6
- Type
- posted content
- Language
- en
- Open access
- green
About these checks
Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.
What counts as a claim ›How we measure confidence ›How we check this ›
Are you an author, or do you see a problem with this page? Request a review
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
