| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3045 |
| DP3045 On the Evolution of the Firm Size Distribution: Facts and Theory | |
| Luis Cabral; José Mata | |
| 发表日期 | 2001-11-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | The risk premium in the US stock market has fallen far below its historic level, which Shiller (2000) attributes to a bubble driven by psychological factors. As an alternative explanation, we point out that the observed risk premium may be reduced by one-sided intervention policy on the part of the Federal Reserve which leads investors into the erroneous belief that they are insured against downside risk. By allowing for partial credibility and state dependent risk aversion, we show that this ?insurance? ? referred to as the Greenspan put ? is consistent with the observation that implied volatility rises as the market falls. Our bubble, like Shiller?s, involves market psychology: but what we describe is not so much ?irrational exuberance? as exaggerated faith in the stabilising power of Mr. Greenspan. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Asset bubble monetary policy Greenspan put risk premium |
| URL | https://cepr.org/publications/dp3045 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532076 |
| 推荐引用方式 GB/T 7714 | Luis Cabral,José Mata. DP3045 On the Evolution of the Firm Size Distribution: Facts and Theory. 2001. |
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