Publication detail

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

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

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