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.
- Language
-
Englisch
- Bibliographic citation
-
Series: IES Working Paper ; No. 04/2016
- Classification
-
Wirtschaft
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
-
limited participation
monetary policy
DSGE
equity premium
- Event
-
Geistige Schöpfung
- (who)
-
Horvath, Roman
Kaszab, Lorant
- Event
-
Veröffentlichung
- (who)
-
Charles University in Prague, Institute of Economic Studies (IES)
- (where)
-
Prague
- (when)
-
2016
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Horvath, Roman
- Kaszab, Lorant
- Charles University in Prague, Institute of Economic Studies (IES)
Time of origin
- 2016
Other Objects (12)
Equity premium and monetary policy in a model with limited asset market participation
The equity premium puzzle and emotional asset pricing
The equity premium puzzle and emotional asset pricing
Limited asset market participation: does it really matter for monetary policy?
Limited Asset Market Participation: Does it Really Matter for Monetary Policy?
Multi-Asset Equity Options
Saving based asset pricing models : a contribution to the solution of the equity premium puzzle
Equity Risk Premium and Regional Integration
The private equity premium puzzle revisited
Earnings inequality and the equity premium
Ambiguity and the historical equity premium
Ambiguity and the historical equity premium
Equity premium and monetary policy in a model with limited asset market participation
The equity premium puzzle and emotional asset pricing
The equity premium puzzle and emotional asset pricing
Limited asset market participation: does it really matter for monetary policy?
Limited Asset Market Participation: Does it Really Matter for Monetary Policy?
Multi-Asset Equity Options
Saving based asset pricing models : a contribution to the solution of the equity premium puzzle
Equity Risk Premium and Regional Integration
The private equity premium puzzle revisited
Earnings inequality and the equity premium
Ambiguity and the historical equity premium
Ambiguity and the historical equity premium
Equity premium and monetary policy in a model with limited asset market participation
The equity premium puzzle and emotional asset pricing
The equity premium puzzle and emotional asset pricing
Limited asset market participation: does it really matter for monetary policy?
Limited Asset Market Participation: Does it Really Matter for Monetary Policy?
Multi-Asset Equity Options
Saving based asset pricing models : a contribution to the solution of the equity premium puzzle
Equity Risk Premium and Regional Integration
The private equity premium puzzle revisited
Earnings inequality and the equity premium
Ambiguity and the historical equity premium