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Authors Mark Egan, Stefan Lewellen, and Adi Sunderam tackle this question by developing measures of value creation on both the deposit and the lending side of a bank's balance sheet.
Consistent with synergies in banking operations, the authors find significant correlations between a bank's productivity through these channels.
QE1, which targeted mortgage markets, had significant effects on aggregate demand and consumption.
QE2, which targeted treasuries, had more muted effects.
The authors also discuss trends in capital account restrictions and capital market integration during these decades.The resultant measures indicate that a bank's ability to generate deposits plays a primary role in bank value generation.Robin Greenwood, Andrei Shleifer, and Yang You FEB 2017 Nobel Laureate Eugene Fama once famously stated that stock markets do not exhibit price bubbles.Evidence supporting this claim boils down to the argument that past run up in stock prices do not seem to predict lower future returns.
Authors Greenwood, Shleifer, and You seek to evaluate Fama's claim using stock return data gathered from a variety of US industries, and a gamut of international stock market sectors.
Through the lense of a simple model of optimal bank regulation, the authors enumerate three core principles. Lucca, and Jonathan Wright MAR 2017 The standard expectation hypothesis posits that long term interest rates are expected sum of all the short term interest rates between issuance and maturity.