| Autor: |
prof. Roman Horváth Ph.D., 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
|
