Model misspecification, the equilibrium natural interest rate and the equity premium

Arbeitspapier

This paper analyses the determinants of the natural rate of interest in a non-linear model where agents are uncertain over both future technology growth and the future course of monetary policy. I show that the real natural rate can be affected by sizable uncertainty premia, including premia associated with monetary un-certainty. This result is potentially problematic for both the estimation of the natural rate and its use as a policy indicator. Monetary uncertainty can also contribute to amplify the equity premium, and to account for its apparent, positive link with inflation.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ECB Working Paper ; No. 808

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Interest Rates: Determination, Term Structure, and Effects ; Portfolio Choice; Investment Decisions
• Thema: equity premium puzzle ; model misspecification ; Natural rate of interest ; risk-free rate puzzle ; robust control ; Zins ; Risikoprämie ; Zinstheorie ; Geldpolitik ; Sparen ; Modellierung ; Theorie ; USA

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Tristani, Oreste
• Ereignis: Veröffentlichung
• (wer): European Central Bank (ECB)
• (wo): Frankfurt a. M.
• (wann): 2007

Weitere Informationen

• Handle: http://hdl.handle.net/10419/153242
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ