| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4323 |
| DP4323 Location Choices under Quality Uncertainty | |
| Nikolaos Vettas; Charalambos Christou | |
| 发表日期 | 2004-03-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | In this Paper, we present a dynamic optimizing model that allows explicitly for imperfect substitutability between different financial assets. This is specified in a manner that captures Tobin?s (1969) view that an expansion of one asset?s supply affects both the yield on that asset and the spread or ?risk premium? between returns on that asset and alternative assets. Our estimates of this model on US data confirm that some of the observed deviations of long-term rates from the expectations theory of the term structure can be traced to movements in the relative stocks of financial assets. The richer aggregate demand and asset specifications imply that there exists an additional channel of monetary policy. Our results suggest that central bank operations exercise a modest influence on the relative prices of alternative financial securities, and so exert an extra effect on long-term yields and aggregate demand separate from their effect on the expected path of short-term rates. |
| 主题 | International Macroeconomics |
| 关键词 | Transmission mechanism Imperfect asset substitution monetary policy Term structure |
| URL | https://cepr.org/publications/dp4323 |
| 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/533283 |
| 推荐引用方式 GB/T 7714 | Nikolaos Vettas,Charalambos Christou. DP4323 Location Choices under Quality Uncertainty. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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