T his paper investigates the existence of possible spillover effects among four main asset markets namely foreign exchange, stock, gold, and housing markets in Iran from 2002:03 to 2015:06. For this purpose, we have exploited Sigma-Point Kalman Filter (SPKF) to extract the bubble component of assets prices in the aforementioned Markets. Then, in order to analyze the price bubbles spi...

We analyze monetary conditions in US asset markets — corporate equity, real estate, Treasury bond and corporate & foreign bond — from a market specific perspective, proposing the concept of market leverage. Market leverage measures the average leverage of all asset holders in a particular asset market. The concept builds on an accountingbased network that links balance sheet leverages of asset ...

Recent literature shows how the destabilising e¤ect of portfolio insurance activity on the price of the underlying asset depends on the liquidity of the asset market. We build a simple model where market timers shift capital around asset markets in order to exploit gains from temporary excess-volatility of asset prices. In this way, market timers increase the liquidity of asset markets reducing...

Investors' individual arbitrage models introduce idiosyncratic risk into complex asset strategies, driving up average returns and Sharpe ratios. However, despite the attractive risk-return tradeoff, participation is limited. This because effective ratios in markets vary with investors' expertise. Investors higher expertise, better models, lower resulting exposures realize Their demand deters en...

The quality of information in financial asset markets is often hard to estimate. This paper analyzes information transmission in asset markets when agents treat information of unknown quality as ambiguous. We study the effects of information ambiguity on asset prices, trading volume, and market liquidity in noisy rational expectations equilibrium. We consider a market with risk-averse informed ...

We construct asset markets of the type studied in Smith et al. (1988), in which price bubbles and crashes are widely observed. In addition to a spot market, there are futures markets in operation, one maturing in each period of the life of the asset. We find that when futures markets are present, bubbles do not occur in the spot markets. The futures markets seem to reduce the speculation and th...

This paper studies a model where shocks to asset prices affect the real sector of the economy through a credit channel. As financial markets become internationally integrated, the economy becomes less vulnerable to domestic asset price shocks, but more vulnerable to foreign asset price shocks. To the extent that monetary policy stabilization is feasible and desirable, the globalization of finan...

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. In equilibrium, the efficiency of asset prices is linked to the efficiency of the asset management market: (1) if investors can find managers more easily then more money is allocated to active management, fees are lower, and asset pri...

We study how asset prices are affected by the amount of “liquidity”or cash that is available in asset markets. We find that higher levels of liquidity lead to higher asset prices and lower bid-ask spreads. An increase in inflation increases asset returns and decreases asset prices. The amount of liquidity available in asset markets depends on the fraction of agents who do not have immediate con...