G2TT
来源类型Discussion paper
规范类型论文
来源IDDP7397
DP7397 Expectations, Deflation Traps and Macroeconomic Policy
Seppo Honkapohja; George W. Evans
发表日期2009-08-09
出版年2009
语种英语
摘要We develop a DSGE model in which monetary policy generates endogenous movements in risk. The key feature of our model is that households rebalance their financial portfolio allocations infrequently, as they face a fixed cost of transferring cash across accounts. We show that the model can account for the mean returns on equity and the risk-free rate,and generates countercyclical movements in the equity premium that help explain the response of stock prices to monetary shocks. While stimulative monetary policy can lower risk in equity markets, it is also associated with higher inflation expectations and inflation risk premia. The model gives rise to periods in which the zero lower bound constraint on the nominal interest rate binds and demand for liquidity jumps, leading to procyclical movements in velocity.
主题International Macroeconomics
关键词Equity premium monetary policy Velocity
URLhttps://cepr.org/publications/dp7397
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/536234
推荐引用方式
GB/T 7714
Seppo Honkapohja,George W. Evans. DP7397 Expectations, Deflation Traps and Macroeconomic Policy. 2009.
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