Christian Drescher

Rohstoffe und wirtschaftliche Entwicklung

Rohstoffe und (welt-)wirtschaftliche Entwicklung sind uber verschiedene Wirkungskanale miteinander verbunden. Auf der einen Seite sind Rohstoffe notwendige Ressourcen fur die Produktion von Gutern und Dienstleistungen und damit eine wichtige Grundlage fur die wirtschaftliche Entwicklung. Auf der anderen Seite beeinflusst die wirtschaftliche Entwicklung das Angebot von und die Nachfrage nach Rohstoffen.

What determines simultaneous asset bubbles? An empirical analysis

ABSTRACT The recent global financial crisis demonstrated that the simultaneous collapse of asset bubbles in different countries is a major challenge for monetary policy. In order to evaluate determinants of these simultaneous asset bubbles, we detect rational asset bubbles in corporate equity and real estate markets worldwide using forward recursive right-sided ADF tests. Then we create dummy variables for simultaneous asset bubbles and analyse potential determinants using gravity models and spatial economics. Our empirical analysis suggests that simultaneous asset bubbles depend positively upon potential asset demand, capital account openness, monetary conditions, cultural similarities and negatively upon informational frictions and exchange rate flexibility. These findings imply that monetary policy can impede the probability of simultaneous asset bubbles by ensuring sound monetary conditions and choosing a flexible exchange regime.

Reviewing Excess Liquidity Measures - A Comparison for Asset Markets

The conduct of US monetary policy is often accompanied by controversial debates on the adequacy of monetary conditions. These can result from different concepts of excess liquidity measures. The paper analyzes the theoretical and empirical information content of these concepts for asset markets. The analysis classifies, reviews and assesses measures of monetary conditions. For those that qualify as excess liquidity measures, the analysis continues with a comparison of the sources of imbalances and a discussion of the adequacy for asset markets. The theoretical results are cross-checked with empirical evidence. All excess liquidity measures are estimated and compared in the light of recent US asset bubbles. The analysis draws the following main conclusions. Firstly, not all measures of monetary conditions qualify as excess liquidity measure. Secondly, the increasing relevance of asset markets leads to growing distortions of excess liquidity measures. Thirdly, the choice of excess liquidity measure has influence on the assessment of monetary conditions in asset markets.

Measuring Monetary Conditions in US Asset Markets - A Market Specific Approach

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 accounting based network that links balance sheet leverages of asset holders to their corresponding shares of ownership. Our empirical analysis yields the following results. Firstly, market specific monetary conditions can differ considerably among asset markets. Secondly, market specific monetary conditions are positively related to asset prices. Thirdly, US asset markets have experienced a loosening in market specific monetary conditions in the last decades. Fourthly, the loosening of market specific monetary conditions explains long-term increases in US asset prices. Fifthly, the recent convergence of market specific monetary conditions of real asset markets towards those of financial asset markets implies a rise in upside risk to future US asset price inflation.

The Fed's TRAP: A Taylor-type Rule with Asset Prices

The paper examines if US monetary policy implicitly responds to asset prices. Using real-time data and a GMM framework we estimate a Taylor-type rule with an asset cycle variable, which refers to real estate prices. To analyze the Feds responses we describe real estate price movements by means of an asset cycle dating procedure. This procedure reveals quasi real-time bull and bear markets. Our analysis yields two main findings. Firstly, the Fed does implicitly respond to real estate prices. Secondly, these responses are pro-cyclical and their intensity changes over time.