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1、IntroductionBackgroundDataPredictingReturnsRobustnessMacroPredictionLiteratureSummaryFinancialIntermediation,AssetPrices,andMacroeconomicDynamicsTobiasAdrian1EmanuelMoench1HyunSongShin21NewYorkFed2PrincetonUniversityMay7,2010Theviewsexpressedherearethoseoftheauthorsanddonotnec
2、essarilyreflectthoseoftheFederalReserveBankofNewYorkortheFederalReserveSystemAdrian,Moench,ShinFinancialIntermediation,AssetPrices,andMacroeconomicDynamicsIntroductionBackgroundDataPredictingReturnsRobustnessMacroPredictionLiteratureSummaryBackground•Recentfinancialcrisissuggest
3、sthatbalancesheetadjustmentsofmarketbasedintermediariesamplifyassetpricemovements.•Marketbasedfinancialintermediariesmanagebalancesheetsactively,theymaximizereturnonequitysubjecttoconstraints(VaR,creditrating,haircuts,...).•Extenttowhichconstraintsarebindingaffectsintermediaries
4、’allocationoffundsintoriskyassets(“riskappetite”).⇒Riskappetiteentersthepricingkernel.•Weusebalancesheetgrowthoffinancialintermediariesasproxiesforriskappetiteandstudytheirimpactonriskpremiaandmacroaggregates.Adrian,Moench,ShinFinancialIntermediation,AssetPrices,andMacroeconomi
5、cDynamicsIntroductionBackgroundDataPredictingReturnsRobustnessMacroPredictionLiteratureSummaryQuestionsweaddress•Towhatextentareriskpremiadrivenbybalancesheetdynamicsoffinancialintermediaries?•Whichtypeofinstitutionsmattermost?•Banks?•SecurityBrokersandDealers?•Otherinstitution
6、s?•Whataretheimplicationsformacroeconomicdynamics?→Dobalancesheetvariablesalsopredictmacroeconomicaggregates?Adrian,Moench,ShinFinancialIntermediation,AssetPrices,andMacroeconomicDynamicsIntroductionBackgroundDataPredictingReturnsRobustnessMacroPredictionLiteratureSummaryWhatW
7、eDo•Weestimatepredictiveregressionsofquarterlyexcessreturnsforthreeassetclasses:equities,corporatebonds,Treasuries.•Weuselaggedleveragegrowthandlaggedgrowthoftotalfinancialassetsforvarioustypesoffinancialinstitutionsaspredictors,inadditiontoacomprehensivesetofmacrovariablesandbe
8、nchmarkreturnforecastingfactors.•Weemploysubsetselectionmetho
