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See detailMacroprudential policy and household wealth inequality
Carpantier, Jean-Francois; Olivera, Javier; Van Kerm, Philippe UL

in Journal of International Money and Finance (2018), 85(C), 262-277

Macroprudential policies, such as caps on loan-to-value (LTV) ratios, have become part of the policy paradigm in emerging markets and advanced countries alike. Given that housing is the most important ... [more ▼]

Macroprudential policies, such as caps on loan-to-value (LTV) ratios, have become part of the policy paradigm in emerging markets and advanced countries alike. Given that housing is the most important asset in household portfolios, relaxing or tightening access to mortgages may affect the distribution of household wealth in the country. In a stylised model we show that the final level of wealth inequality depends on the size of the LTV ratio, housing prices, credit cost and the strength of a bequest motive, and therefore it is not possible to predict an unequivocal effect of LTV ratios on wealth inequality. These trade-offs are illustrated with estimations of `Gini Recentered Influence Function' regressions on household survey data from 12 Euro-zone countries that participated in the first wave of the Household Finance and Consumption Survey. The results show that, among the households with active mortgages, high LTV ratios at the time of acquisition are related to high contributions to wealth inequality today, while house price increases are negatively related to inequality contributions. A proxy for the strength of bequest motives tends to be negatively related with wealth inequality, but credit cost does not show a significant link to the distribution of wealth. [less ▲]

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See detailWashington meets Wall Street: A closer examination of the Presidential cycle puzzle
Kräussl, Roman UL; Lucas, A; Rijsbergen, D. et al

in Journal of International Money and Finance (2014), 43

We show that the annual excess return of the S&P 500 is almost 10 percent higher during the last two years of the presidential cycle than during the first two years. This pattern cannot be explained by ... [more ▼]

We show that the annual excess return of the S&P 500 is almost 10 percent higher during the last two years of the presidential cycle than during the first two years. This pattern cannot be explained by business-cycle variables capturing timevarying risk premia, differences in risk levels, or by consumer and investor sentiment. We formally test the presidential election cycle (PEC) hypothesis as the alternative explanation found in the literature for explaining the presidential cycle anomaly. The PEC states that incumbent parties and presidents have an incentive to manipulate the economy (via budget expansions and taxes) to remain in power. We formulate eight empirically-testable propositions relating to the fiscal, monetary, tax, unexpected inflation and political implications of the PEC hypothesis. We do not find statistically significant evidence confirming the PEC hypothesis as a plausible explanation for the presidential cycle effect. The presidential cycle effect in U.S. financial markets thus remains a puzzle that cannot be easily explained by politicians employing their economic influence to remain in power, as is often believed. [less ▲]

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See detailAre capital controls in the foreign exchange ?
Wolff, Christian UL; Stefan, T.M. Straetmans; Roald, J. Versteeg b

in Journal of International Money and Finance (2013), 35

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See detailReal Exchanges Rates in Commodity Producing Countries: A Reappraisal
Carpantier, Jean-Francois UL; Bodart, Vincent; Candelon, Bertrand

in Journal of International Money and Finance (2012), 31(6), 1482-1502

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See detailTime-Variation in Term Premia: International Survey-Based Evidence
Wolff, Christian UL; Jongen, R.; Verschoor, W.

in Journal of International Money and Finance (2011)

Detailed reference viewed: 85 (3 UL)