| Author(s): |
prof. Roman Horváth Ph.D., Lorant Kaszab
|
| Type: |
IES Working Papers |
| Year: |
2016 |
| Number: |
4 |
| ISSN / ISBN: |
|
| Published in: |
IES Working Papers 04/2016 |
| Publishing place: |
Prague |
| Keywords: |
Limited Participation, Monetary Policy, DSGE, Equity Premium |
| JEL codes: |
E32, E44, G12 |
| Suggested Citation: |
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. |
| Grants: |
DYME – Dynamic Models in Economics
|
| Abstract: |
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. |
| Downloadable: |
wp_2016_04_horvath_kaszab
|
