Detail publikace

Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation

Autor: doc. Roman Horváth Ph.D., ČSOB Corporate Chair, Lorant Kaszab
Typ: IES Working Papers
Rok: 2016
Číslo: 4
ISSN / ISBN:
Publikováno v: IES Working Papers 04/2016
Místo vydání: Prague
Klíčová slova: Limited Participation, Monetary Policy, DSGE, Equity Premium
JEL kódy: E32, E44, G12
Citace: Horvath R., Kaszab L. (2016): "Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation" IES Working Papers 04/2016. IES FSV. Charles University.
Granty: DYME – Dynamic Models in Economics
Abstrakt: 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.
Ke stažení: wp_2016_04_horvath_kaszab

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