Arbeitspapier
Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation
This short paper shows that a New Keynesian model with limited asset market participation can generate a high risk-premium on unlevered equity relative to short-term risk-free bonds and high variability of equity returns driven by monetary policy shocks with zero persistence.
- Sprache
-
Englisch
- Erschienen in
-
Series: IES Working Paper ; No. 04/2016
- Klassifikation
-
Wirtschaft
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
limited participation
monetary policy
DSGE
equity premium
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Horvath, Roman
Kaszab, Lorant
- Ereignis
-
Veröffentlichung
- (wer)
-
Charles University in Prague, Institute of Economic Studies (IES)
- (wo)
-
Prague
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Horvath, Roman
- Kaszab, Lorant
- Charles University in Prague, Institute of Economic Studies (IES)
Entstanden
- 2016
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